Evaluating the performance of global emerging markets equity exchange-traded funds

We examine the performance of passively managed exchange-traded funds (ETFs) that provide exposure to global emerging markets equities. We find that the tracking errors of these funds are substantially higher than previously reported levels for developed markets ETFs. ETFs that use statistical index replication techniques turn out to be especially prone to high tracking errors, and particularly so during periods of high cross-sectional dispersion in stock returns. At the same time, we find no convincing evidence that these funds earn higher returns than ETFs that rely on full-replication techniques

Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes

In this paper we examine global tactical asset allocation (GTAA) strategies across a broad range of asset classes. Contrary to market timing for single asset classes and tactical allocation across similar assets, this topic has received little attention in the existing literature. Our main finding is that momentum and value strategies applied to GTAA across twelve asset classes deliver statistically and economically significant abnormal returns. For a long top-quartile and short bottom-quartile portfolio based on a combination of momentum and value signals we find a return of 12% per annum over the 1986-2007 period. Performance is stable over time, also present in an out-of-sample period and sufficiently high to overcome transaction costs in practice. The return cannot be explained by potential structural biases towards asset classes with high risk premiums, nor the Fama French and Carhart hedge factors. We argue that financial markets may be macro inefficient due to insufficient ‘smart money’ being available to arbitrage mispricing effects away

The Volatility Effect: Lower Risk without Lower Return

We present empirical evidence that stocks with low volatility earn high risk-adjusted returns. The annual alpha spread of global low versus high volatility decile portfolios amounts to 12% over the 1986-2006 period. We also observe this volatility effect within the US, European and Japanese markets in isolation. Furthermore, we find that the volatility effect cannot be explained by other well-known effects such as value and size. Our results indicate that equity investors overpay for risky stocks. Possible explanations for this phenomenon include (i) leverage restrictions, (ii) inefficient two-step investment processes, and (iii) behavioral biases of private investors. In order to exploit the volatility effect in practice we argue that investors should include low risk stocks as a separate asset class in the strategic asset allocation phase of their investment process

Residual Momentum

Conventional momentum strategies exhibit substantial time-varying exposures to the Fama and French factors. We show that these exposures can be reduced by ranking stocks on residual stock returns instead of total returns. As a consequence, residual momentum earns risk-adjusted profits that are about twice as large as those associated with total return momentum; is more consistent over time; and less concentrated in the extremes of the cross-section of stocks. Our results are inconsistent with the notion that the momentum phenomenon can be attributed to a priced risk factor or market microstructure effects

Integrating Virtual Reality into the Asynchronous Learning Environment

4 presentations Covers a spectrum of subject matter Real to virtual and virtual to real Want to highlight What the goal was How it was integrated into effective learning experience

Efficient analytic computation of higher-order QCD amplitudes

URL: http://www-spht.cea.fr/articles/t95/026/ Le calcul analytique efficace des amplitudes aux ordres supérieurs en QCDWe review techniques simplifying the analytic calculation of one-loop QCD amplitudes with many external legs, for use in next-to-leading-order corrections to multi-jet processes. Particularly useful are the constraints imposed by perturbative unitarity, collinear singularities and a supersymmetry-inspired organization of helicity amplitudes. Certain sequences of one-loop helicity amplitudes with an arbitrary number of external gluons have been obtained using these constraints

Benchmarking Benchmarks

Benchmarking benchmarks is a bundle of six studies that are inspired by the prevalence of benchmarking in academic finance research as well as in investment practice. Three studies examine if current benchmark asset pricing models adequately describe the cross-section of stock returns. We present a momentum strategy based on residual stock returns that vastly improves upon traditional momentum strategies, evidence that low-volatility stocks earn abnormally high risk-adjusted returns and a critical discussion of the recently proposed “fundamental indexation” approach. Two studies examine whether active asset allocation can add value over a benchmark strategic asset allocation (SAA) portfolio. We empirically find that value and momentum effects do not only exist within, but also across asset classes, and we present a practical framework for dynamic strategic asset allocation based on the business cycle. The final study examines whether benchmark index returns can actually be obtained in reality. We find that passive funds listed in Europe lag their benchmarks by a statistically and economically significant amount of 50-150 basis points per annum, as a result of expenses and dividend taxes. Based on the overall results we hypothesize that the phenomenon of benchmarking itself may lie at the root of some of our key findings and that the challenge is to adapt benchmarks in such a way that desired behavior is better encouraged

Effects of negative energy balance on liver gene and protein expression during the early postpartum period and its impacts on dairy cow fertility

End of project reportNegative energy balance (NEB) is a severe metabolic affecting high yielding dairy cows early post partum with both concurrent and latent negative effects on cow fertility as well as on milk production and cow health. The seasonal nature of Irish dairy production necessitates high cow fertility and a compact spring calving pattern in order to maximise grass utilisation. Poor dairy cow reproductive performance currently costs the Irish cattle industry in excess of €400 million annually. High milk yields have been associated with lower reproductive efficiency, and it has been suggested that this effect is probably mediated through its effects on the energy balance of the cow during lactation. The modern high genetic merit dairy cow prioritises nutrient supply towards milk production in early lactation and this demand takes precedence over the provision of optimal conditions for reproduction. In this study we used the bovine Affymetrix 23,000 gene microarray, which contains the most comprehensive set of bovine genes to be assembled and provides a means of investigating the modifying influences of energy balance on liver gene expression. Cows in severe negative energy balance (SNEB) in early lactation showed altered hepatic gene expression in metabolic processes as well as a down regulation of the insulin-like growth factor (IGF) system, where insulin like growth factor-1 (IGF-1), growth hormone receptor variant 1A (GHR1A) and insulin-like growth factor binding protein-acid labile subunit (IGFBP-ALS) were down regulated compared to the cows in the moderate negative energy balance MNEB group, consistent with a five-fold reduction in systemic concentrations of IGF1 in the SNEB group.Cows in SNEB showed elevated expression of key genes involved in the inflammatory response such as interleukin-8 (IL-8). There was a down regulation of genes involved in cellular growth in SNEB cows and moreover a negative regulator of cellular proliferation (HGFIN) was up regulated in SNEB cows, which is likely to compromise adaptation and recovery from NEB. The puma method of analysis revealed that 417 genes were differentially regulated by EB (P<0.05), of these genes 190 were up-regulated while 227 were down-regulated, with 405 genes having known biological functions. From Ingenuity Pathway Analysis (IPA), lipid catabolism was found to be the process most affected by differences in EB status