A Dynamic Model for the Forward Curve

This paper develops and estimates a dynamic arbitrage-free model that models the current forward curve as the sum of (i) an unconditional component, (ii) a maturity-specific component and (iii) a date-specific component. The model combines features of the Preferred Habitat model, the Expectations Hypothesis and affine yield curve models. We show how to construct alternative parametric examples of the three components from a sum of exponential functions, verify that the resulting forward curves satisfy the Heath-Jarrow-Morton conditions, and derive the risk-neutral dynamics for the purpose of pricing interest rate derivatives. We select a model from alternative affine examples that are fitted to the Fama-Bliss Treasury data over an initial training period and use it to generate out-of-sample forecasts for forward rates and yields. For forecast horizons of 6-months or longer, the forecasts of this model significantly outperform forecasts from common benchmark models

Profiting from Mean-Reverting Yield Curve Trading Strategies

Published in Journal of Fixed Income, 2006, 15 (4), 20-33. https://doi.org/10.3905/jfi.2006.627836</p

Chemsex among gay, bisexual, and other men who have sex with men in Singapore and the challenges ahead: a qualitative study

Background: Sexualised substance use, or 'chemsex' has been shown to be a major factor driving the syndemic of HIV/AIDS in communities of gay, bisexual, and other men who have sex with men (GBMSM) around the world. However, there is a paucity of research on chemsex among GBMSM in Singapore due to punitive drug laws and the criminalisation of sexual behaviour between men. This qualitative descriptive study is the first to explore perceptions towards, motivators to engaging in, and the barriers to addressing the harms associated with chemsex among GBMSM in Singapore. Methods: We conducted 30 semi-structured in-depth interviews with self-identifying GBMSM between the ages of 18–39 in Singapore following a purposive sampling strategy. Interview topics included participants' perceptions of drug use among GBMSM in Singapore, perceptions towards chemsex, reasons for drug use and chemsex, and recommendations to address the harms associated with chemsex in Singapore. Interviews were audio-recorded, transcribed, coded, and analysed using thematic analysis. Results: Participants reported that it was common to encounter chemsex among GBMSM in Singapore as it could be easily accessed or initiated using social networking phone apps. Enhancement and prolongation of sexual experiences, fear of rejection from sexual partners and peers, and its use as a means of coping with societal rejection were three main reasons cited for engaging in chemsex. The impact of punitive drug laws on disclosure and stigmatisation of GBMSM who use drugs were reported to be key barriers towards addressing chemsex. Participants suggested using gay-specific commercial venues as avenues for awareness and educational campaigns, and social media to reach out to younger GBMSM. Conclusions: This study highlights the complexities behind chemsex use among GBMSM in Singapore, and the range of individual to institutional factors to be addressed. We recommend that community-based organisations and policy-makers find ways to destigmatise discussion of chemsex and provide safe spaces to seek help for drug use

Measuring investment skills of fund managers

This article concerns the measurement of the investment skills of fund managers. A method is proposed that allows for a measurement and comparison of fund managers' performance across time and asset portfolios. The measure, the 'Excess Sharpe Ratio' (ESR) involves the construction of an appropriate benchmark for each fund manager, and then computing the difference between the Sharpe ratio of the manager and that of the benchmark. This procedure allows for a consistent measure of a manager's investment performance with respect to the relevant asset classes that the manager can invest in at any point in time. Using this measure, it is possible to detect significant persistence of managerial skills of up to 11 years. Also, new light is shed on the relationship of expenses to gross returns-even though firms with higher expenses have higher average gross returns, they in fact achieve this through higher risk-taking. Therefore, their ESR scores and Sharpe ratios are lower than firms with lower expenses.

Effective fair pricing of international mutual funds

We propose a new methodology to provide fair prices of international mutual funds by adjusting prices at the individual security level using a comprehensive and economically relevant information set. Stepwise regressions are used to endogenously determine the stock-specific optimal set of factors. Using 16 synthetic funds whose characteristics are extracted from 16 corresponding actual US-based Japanese mutual funds, we demonstrate that our method estimates fund prices significantly more accurately than existing methods. Although existing fair-pricing methods provide an improvement over the current practice of simply using Japanese market closing prices, they are still highly vulnerable to exploitation by market-timers. By contrast, our method is the most successful in preventing such strategic exploitation since no competing method can profit from our stated prices.Stale pricing Fair pricing International mutual funds Stepwise regression