Performance Evaluation with Stochastic Discount Factors

We study the use of stochastic discount factor (SDF) models in evaluating the investment performance of portfolio managers. By constructing artificial mutual funds with known levels of investment ability, we evaluate a large set of SDF models. We find that the measures of performance are not highly sensitive to the SDF model, and that most of the models have a mild negative bias when performance is neutral. We use the models to evaluate a sample of U.S. equity mutual funds. Adjusting for the observed bias, we find that the average mutual fund has enough ability to cover its transactions costs. Extreme funds are more likely to have good rather than poor risk adjusted performance. Our analysis also reveals a number of implementation issues relevant to other applications of SDF models.

Hot subdwarf stars and their connection to thermonuclear supernovae

Hot subdwarf stars (sdO/Bs) are evolved core helium-burning stars with very thin hydrogen envelopes, which can be formed by common envelope ejection. Close sdB binaries with massive white dwarf (WD) companions are potential progenitors of thermonuclear supernovae type Ia (SN Ia). We discovered such a progenitor candidate as well as a candidate for a surviving companion star, which escapes from the Galaxy. More candidates for both types of objects have been found by crossmatching known sdB stars with proper motion and light curve catalogues. The Gaia mission will provide accurate astrometry and light curves of all the stars in our hot subdwarf sample and will allow us to compile a much larger all-sky catalogue of those stars. In this way we expect to find hundreds of progenitor binaries and ejected companions.Comment: Proceedings of the 11th Pacific Rim Conference on Stellar Astrophysics, Hong Kong 2015, Journal of Physics: Conference Series, in pres

The orbits of subdwarf-B + main-sequence binaries. II. Three eccentric systems; BD+29 3070, BD +34 1543 and Feige 87

The predicted orbital-period distribution of the subdwarf-B (sdB) population is bi-modal with a peak at short ( 250 days) periods. Observationally, many short-period sdB systems are known, but the predicted long period peak is missing as orbits have only been determined for a few long-period systems. As these predictions are based on poorly understood binary-interaction processes, it is of prime importance to confront the predictions with reliable observational data. We therefore initiated a monitoring program to find and characterize long-period sdB stars. In this paper we aim to determine the orbital parameters of the three long-period sdB+MS binaries BD+29 3070, BD+34 1543 and Feige 87, to constrain their absolute dimensions and the physical parameters of the components. High-resolution spectroscopic time series were obtained with HERMES at the Mercator telescope on La Palma, and analyzed to determine the radial velocities of both the sdB and MS components. Photometry from the literature was used to construct the spectral-energy distribution (SED) of the binaries. Atmosphere models were used to fit these SEDs and to determine the surface gravities and temperatures of both components of all systems. Spectral analysis was used to check the results of the SEDs. An orbital period of 1283 +- 63 d, a mass ratio of q = 0.39 +- 0.04 and a significant non-zero eccentricity of e = 0.15 +- 0.01 were found for BD+29 3070. For BD+34 1543 we determined P = 972 +- 2 d, q = 0.57 +- 0.01 and again a clear non-zero eccentricity of e = 0.16 +- 0.01. Last, for Feige 87 we found P = 936 +- 2 d, q = 0.55 +- 0.01 and e = 0.11 +- 0.01. BD+29 3070, BD+34 1543 and Feige 87 are long period sdB + MS binaries on clearly eccentric orbits. These results are in conflict with the predictions of stable Roche-lobe overflow models.Comment: 15 pages, 6 figures, Accepted by A&

The MUCHFUSS photometric campaign

Hot subdwarfs (sdO/Bs) are the helium-burning cores of red giants, which lost almost all of their hydrogen envelopes. This mass loss is often triggered by common envelope interactions with close stellar or even substellar companions. Cool companions like late-type stars or brown dwarfs are detectable via characteristic light curve variations like reflection effects and often also eclipses. To search for such objects we obtained multi-band light curves of 26 close sdO/B binary candidates from the MUCHFUSS project with the BUSCA instrument. We discovered a new eclipsing reflection effect system ($P=0.168938$~d) with a low-mass M dwarf companion ($0.116 M_{\rm \odot}$). Three more reflection effect binaries found in the course of the campaign were already published, two of them are eclipsing systems, in one system only showing the reflection effect but no eclipses the sdB primary is found to be pulsating. Amongst the targets without reflection effect a new long-period sdB pulsator was discovered and irregular light variations were found in two sdO stars. The found light variations allowed us to constrain the fraction of reflection effect binaries and the substellar companion fraction around sdB stars. The minimum fraction of reflection effect systems amongst the close sdB binaries might be greater than 15\% and the fraction of close substellar companions in sdB binaries might be as high as $8.0\%$. This would result in a close substellar companion fraction to sdB stars of about 3\%. This fraction is much higher than the fraction of brown dwarfs around possible progenitor systems, which are solar-type stars with substellar companions around 1 AU, as well as close binary white dwarfs with brown dwarf companions. This might be a hint that common envelope interactions with substellar objects are preferentially followed by a hot subdwarf phase.Comment: accepted for A&

The Deuterium, Oxygen, and Nitrogen Abundance Toward LSE 44

We present measurements of the column densities of interstellar DI, OI, NI, and H2 made with FUSE, and of HI made with IUE toward the sdO star LSE 44, at a distance of 554+/-66 pc. This target is among the seven most distant Galactic sight lines for which these abundance ratios have been measured. The column densities were estimated by profile fitting and curve of growth analyses. We find D/H = (2.24 +1.39 -1.32)E-5, D/O = (1.99 +1.30 -0.67)E-2, D/N = (2.75 +1.19 -0.89)E-1, and O/H = (1.13 +0.96 -0.71)E-3 (2 sigma). Of the most distant Galactic sight lines for which the deuterium abundance has been measured LSE 44 is one of the few with D/H higher than the Local Bubble value, but D/O toward all these targets is below the Local Bubble value and more uniform than the D/H distribution. (Abstract abridged.)Comment: 20 pages, including 9 figures. Accepted for publication in Ap

The MultiSite Spectroscopic Telescope campaign: 2m spectroscopy of the V361 Hya variable PG1605+072

We present results and analysis for the 2m spectroscopic part of the MultiSite Spectroscopic Telescope (MSST) campaign undertaken in May/June 2002. The goal of the project was to observe the pulsating subdwarf B star PG1605+072 simultaneously in velocity and photometry and to resolve as many of the >50 known modes as possible, which will allow a detailed asteroseismological analysis. We have obtained over 150 hours of spectroscopy, leading to an unprecedented noise level of only 207m/s. We report here the detection of 20 frequencies in velocity, with two more likely just below our detection threshold. In particular, we detect 6 linear combinations, making PG1605+072 only the second star known to show such frequencies in velocity. We investigate the phases of these combinations and their parent modes and find relationships between them that cannot be easily understood based on current theory. These observations, when combined with our simultaneous photometry, should allow asteroseismology of this most complicated of sdB pulsators.Comment: 9 pages, 5 figures, accepted for publication in A&A; Figure 1 at lower resolution than accepted versio

The Unseen Population of F to K-type Companions to Hot Subdwarf Stars

We present a method to select hot subdwarf stars with A to M-type companions using photometric selection criteria. We cover a wide range in wavelength by combining GALEX ultraviolet data, optical photometry from the SDSS and the Carlsberg Meridian telescope, near-infrared data from 2MASS and UKIDSS. We construct two complimentary samples, one by matching GALEX, CMC and 2MASS, as well as a smaller, but deeper, sample using GALEX, SDSS and UKIDSS. In both cases, a large number of composite subdwarf plus main-sequence star candidates were found. We fit their spectral energy distributions with a composite model in order to estimate the subdwarf and companion star effective temperatures along with the distance to each system. The distribution of subdwarf effective temperature was found to primarily lie in the 20,000 - 30,000 K regime, but we also find cooler subdwarf candidates, making up ~5-10 per cent. The most prevalent companion spectral types were seen to be main-sequence stars between F0 and K0, while subdwarfs with M-type companions appear much rarer. This is clear observational confirmation that a very efficient first stable Roche-lobe overflow channel appears to produce a large number of subdwarfs with F to K-type companions. Our samples thus support the importance of binary evolution for subdwarf formation.Comment: 30 pages, 10 figures, 11 tables. Accepted for publication in MNRA