Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons

Our primary goal in this paper is to ascertain whether the absolute and relative rankings of managed funds are sensitive to the benchmark chosen to measure normal performance. We employ the standard CAPM benchmarks and a variety of APT benchmarks to investigate this question. We found that there is little similarity between the absolute and relative mutual fund rankings obtained from alternative benchmarks which suggests the importance of knowing the appropriate model for risk and expected return in this context. In addition, the rankings are quite sensitive to the method used to construct the APT benchmark. One would reach very different conclusions about the funds' performance using smaller numbers of securities in the analysis or the less efficient methods for estimating the necessary factor models than one would arrive at using the maximum likelihood procedures with 750 securities. We did, however, find the rankings of the funds are not very sensitive to the exact number of common sources of systematic risk that are assumed to impinge on security returns. Finally, we found statistically significant measured abnormal performance using all the benchmarks. The economic explanation of this phenomenon appears to be an open question.

The Empirical Foundations of the Arbitrage Pricing Theory I: The Empirical Tests

This paper provides a detailed and extensive examination of the validity of the APT based on maximum likelihood factor analysis of large cross-sections of securities. Our empirical implementation of the theory proved in capable of explaining expected returns on portfolios composed of securities with different market capitalizations although it provided an adequate account of the expected returns of portfolios formed on the basis of dividend yield and own variance where risk adjustment with the CAPM employing the usual market proxies failed. In addition, it appears that the zero beta version of the APT is sharply rejected in favor of the riskless rate model and that there is little basis for discriminating among five and ten factor versions of the theory.

Diversification and the Optimal Construction of Basis Portfolios

Nontrivial diversification possibilities arise when a factor model describes security returns. In this paper, we provide a comprehensive examination of the merits of various strategies for constructing basis portfolios that are, in principle, highly correlated with the common factors underlying security returns. Three main conclusions emerge from our study. First, increasing the number of securities included in the analysis dramatically improves basis portfolio performance. Our results indicate that factor models involving 750 securities provide markedly superior performance to those involving 30 or 250 securities. Second, comparatively efficient estimation procedures such as maximum likelihood and restricted maximum likelihood factor analysis (which imposes the APT mean restriction) significantly outperform the less efficient instrumental variables and principal components procedures that have been proposed in the literature. Third, a variant of the usual Fama-MacBeth portfolio formation procedure, which we call the minimum idiosyncratic risk portfolio formation procedure, outperformed the Fama-MacBeth procedure and proved equal to or better than more expensive quadratic programming procedures.

Modeling semi-conductor thermal properties. The dispersion role

We study heat transport in semiconductor nanostructures by solving the Boltzmann Transport Equation (BTE) by means of the Discrete Ordinate Method (DOM). Relaxation time and phase and group velocitiy spectral dependencies are taken into account. The Holland model of phonon relaxation time is revisited and recalculated from dispersion relations (taken in litterature) in order to match bulk silicon and germanium values. This improved model is then used to predict silicon nanowire and nanofilm thermal properties in both ballistic and mesoscopic regimes

Monte Carlo transient phonons transport in silicon and germanium at nanoscales

Heat transport at nanoscales in semiconductors is investigated with a statistical method. The Boltzmann Transport Equation (BTE) which characterize phonons motion and interaction within the crystal lattice has been simulated with a Monte Carlo technique. Our model takes into account media frequency properties through the dispersion curves for longitudinal and transverse acoustic branches. The BTE collisional term involving phonons scattering processes is simulated with the Relaxation Times Approximation theory. A new distribution function accounting for the collisional processes has been developed in order to respect energy conservation during phonons scattering events. This non deterministic approach provides satisfactory results in what concerns phonons transport in both ballistic and diffusion regimes. The simulation code has been tested with silicon and germanium thin films; temperature propagation within samples is presented and compared to analytical solutions (in the diffusion regime). The two materials bulk thermal conductivity is retrieved for temperature ranging between 100 K and 500 K. Heat transfer within a plane wall with a large thermal gradient (250 K-500 K) is proposed in order to expose the model ability to simulate conductivity thermal dependence on heat exchange at nanoscales. Finally, size effects and validity of heat conduction law are investigated for several slab thicknesses

Clonality and timing of relapsing colorectal cancer metastasis revealed through whole-genome single-cell sequencing

Financiado para publicación en acceso aberto: Universidade de Vigo/CISUGRecurrence of tumor cells following local and systemic therapy is a significant hurdle in cancer. Most patients with metastatic colorectal cancer (mCRC) will relapse, despite resection of the metastatic lesions. A better understanding of the evolutionary history of recurrent lesions is required to identify the spatial and temporal patterns of metastatic progression and expose the genetic and evolutionary determinants of therapeutic resistance. With this goal in mind, here we leveraged a unique single-cell whole-genome sequencing dataset from recurrent hepatic lesions of an mCRC patient. Our phylogenetic analysis confirms that the treatment induced a severe demographic bottleneck in the liver metastasis but also that a previously diverged lineage survived this surgery, possibly after migration to a different site in the liver. This lineage evolved very slowly for two years under adjuvant drug therapy and diversified again in a very short period. We identified several non-silent mutations specific to this lineage and inferred a substantial contribution of chemotherapy to the overall, genome-wide mutational burden. All in all, our study suggests that mCRC subclones can migrate locally and evade resection, keep evolving despite rounds of chemotherapy, and re-expand explosively.Ministerio de Ciencia e Innovación | Ref. PID2019-106247GB-I00AXA Research FundAsociación Española Contra el CáncerXunta de Galicia | Ref. ED481A-2018/30

Safety of daily co-trimoxazole in pregnancy in an area of changing malaria epidemiology: a phase 3b randomized controlled clinical trial.

INTRODUCTION: Antibiotic therapy during pregnancy may be beneficial and impacts positively on the reduction of adverse pregnancy outcomes. No studies have been done so far on the effects of daily Co-trimoxazole (CTX) prophylaxis on birth outcomes. A phase 3b randomized trial was conducted to establish that daily CTX in pregnancy is not inferior to SP intermittent preventive treatment (IPT) in reducing placental malaria; preventing peripheral parasitaemia; preventing perinatal mortality and also improving birth weight. To establish its safety on the offspring by measuring the gestational age and birth weight at delivery, and compare the safety and efficacy profile of CTX to that of SP. METHODS: Pregnant women (HIV infected and uninfected) attending antenatal clinic were randomized to receive either daily CTX or sulfadoxine-pyrimethamine as per routine IPT. Safety was assessed using standard and pregnancy specific measurements. Women were followed up monthly until delivery and then with their offspring up to six weeks after delivery. RESULTS: Data from 346 pregnant women (CTX = 190; SP = 156) and 311 newborns (CTX = 166 and SP = 145) showed that preterm deliveries (CTX 3.6%; SP 3.0%); still births (CTX 3.0%; SP 2.1%), neonatal deaths (CTX 0%; SP 1.4%), and spontaneous abortions (CTX 0.6%; SP 0%) were similar between study arms. The low birth weight rates were 9% for CTX and 13% for SP. There were no birth defects reported. Both drug exposure groups had full term deliveries with similar birth weights (mean of 3.1 Kg). The incidence and severity of AEs in the two groups were comparable. CONCLUSION: Exposure to daily CTX in pregnancy may not be associated with particular safety risks in terms of birth outcomes such as preterm deliveries, still births, neonatal deaths and spontaneous abortions compared to SP. However, more data are required on CTX use in pregnant women both among HIV infected and un-infected individuals. TRIAL REGISTRATION: Clinicaltrials.gov NCT00711906

Safety and efficacy of dihydroartemisinin-piperaquine versus artemether-lumefantrine in the treatment of uncomplicated Plasmodium falciparum malaria in Zambian children

<p>Abstract</p> <p>Background</p> <p>Malaria in Zambia remains a public health and developmental challenge, affecting mostly children under five and pregnant women. In 2002, the first-line treatment for uncomplicated malaria was changed to artemether-lumefantrine (AL) that has proved to be highly efficacious against multidrug resistant <it>Plasmodium falciparum</it>.</p> <p>Objective</p> <p>The study objective was to determine whether dihydroartemisinin-piperaquine (DHA/PQP) had similar efficacy, safety and tolerability as AL for the treatment of children with uncomplicated <it>P. falciparum </it>malaria in Ndola, Zambia.</p> <p>Methods</p> <p>Between 2005 and 2006, 304 children (6-59 months old) with uncomplicated <it>P. falciparum </it>were enrolled, randomized to AL (101) or DHA/PQP (203) and followed up for 42 days. Outcome of treatment was defined according to the standard WHO classification, i.e. early treatment failure (ETF), late clinical failure (LCF, late parasitological failure (LPF) and adequate clinical and parasitological response (ACPR). Recurrent infections were genotyped to distinguish between recrudescence and new infection.</p> <p>Results</p> <p>No ETF was observed. At day 28, PCR-uncorrected ACPR was 92% in the DHA/PQP and 74% in the AL arm (OR: 4.05; 95%CI: 1.89-8.74; p < 0.001). Most failure were new infections and PCR-corrected ACPR was similar in the two study arms (OR: 0.69; 95%CI: 0.22-2.26; p = 0.33). Similar results were observed for day 42, i.e. higher PCR-uncorrected ACPR for DHA/PQP, mainly due to the difference observed up to day 28, while the PCR-corrected ACPR was similar: DHA/PQP: 93% (179/192), AL: 93% (84/90), (OR: 0.92; 95%CI: 0.30-2.64; p = 0.85). Except for cough, more frequent in the DHA/PQP arm (p = 0.04), there were no differences between treatment arms in the occurrence of adverse events. Two serious adverse events were probably associated to AL treatment.</p> <p>Conclusion</p> <p>DHA/PQP was as efficacious, safe and well tolerated in treatment of uncomplicated malaria as AL, though in the latter group more new infections during the follow up were observed. DHA/PQP seems a potential candidate to be used as an alternative first-line or rescue treatment in Zambia.</p> <p>Trial Registration</p> <p><a href="http://www.controlled-trials.com/ISRCTN16263443">ISRCTN16263443</a>, at <url>http://www.controlled-trials.com/isrctn</url></p