Hedge fund performance persistence after weak markets

Abstract. Our aim for this thesis is to study whether hedge fund performance persists after weak markets, and do the results differ from performance persistence after strong markets. We are interested in overall market situations’ impact on performance persistence of hedge funds. Our data is from Lipper TASS hedge fund database, with 18891 hedge funds and 1261782 observations from December 1993 to June 2013. The data is modified so that we’ve cleared out non-USD funds, non-monthly filing funds, and funds with unknown strategy. We’ve also excluded the first 18 months of returns for every fund to control the backfill bias. This leaves us with 9107 funds. We divide the time series into periods of recessions and expansions based on the overall stock market situation. The main recession periods are the dot-com bubble from 31st May 2000 to 30th September 2002 and the financial crisis from 31st August 2007 to 28th February 2009. Otherwise the time periods between 30th June 1997 to 30th June 2013 are considered as expansion periods. The main steps after cleaning our data are: First we calculate the logarithmic excess returns of the funds. Then we use the Fung and Hsieh seven factor model over the past 12 months’ returns to estimate the time-varying t-value of alpha for each fund. Next we sort the funds into decile portfolios based on their t-values of alpha. After that we calculate the monthly equal-weighted returns for the decile portfolios using three-month and twelve-month holding periods. We also calculate the monthly equal weighted returns for the spread portfolio between the top and bottom portfolios. Next, we calculate for the decile portfolios the annualized mean, standard deviation, Sharpe ratio, t value of Sharpe ratio, p-value of Sharpe ratio, annualized Fung-Hsieh seven-factor alpha, t value of alpha and p-value of alpha. The null-hypothesis is that there is no difference in performance persistence after recession and expansion periods. What we can conclude from our results is that badly performing portfolios likely keep on performing badly despite the overall market situation, and even though there is some indications that the very best portfolios can make at least short-term profit even in bust periods, the performance is not persistent. We cannot identify the skilled fund managers from others by looking at hedge fund’s performance during market crisis. For further studies, the Lipper TASS database’s information of the hedge fund strategy categories could be used to identify the underlying factors in conditional performance persistence of hedge funds

Ownership and governance of Finnish infrastructure networks

This research report investigates and analyzes the pros and cons of different ownership and governance models of infrastructure networks. The report covers most infrastructure networks: transportation networks (roads, streets, railways, airports, harbors) and utility networks (water and sewage, energy and electricity). There is no unifying solution that would fit all sectors in terms of the most efficient ownership model. However, in many sectors reforms are needed towards more elaborated client-supplier frameworks to ensure greater efficiency and cost transparency. Surprisingly, traditional organizational structures do not seem to impact on financial returns of those networks that provide user-financed services. In Finland technical infrastructure networks are typically owned, administered and managed by the public sector as they are considered public goods and critical assets for the wellbeing of citizens. In many ways the sectors have remained passive and with little interaction towards more innovative service provision solutions or organizational models. In terms of developing the networks’ services and their profitability, the greatest business opportunity would result from allowing open entry to market and competition in contracting. This would mean abandonment of negotiated contracts and proactive evolution of functional markets. The scope of business opportunities will increase in all aspect of service delivery; from management to engineering and economic studies, asset management systems, construction and maintenance works, and the labor to do all that

Experimental mechanical strain measurement of tissues

Strain, an important biomechanical factor, occurs at different scales from molecules and cells to tissues and organs in physiological conditions. Under mechanical strain, the strength of tissues and their micro- and nanocomponents, the structure, proliferation, differentiation and apoptosis of cells and even the cytokines expressed by cells probably shift. Thus, the measurement of mechanical strain (i.e., relative displacement or deformation) is critical to understand functional changes in tissues, and to elucidate basic relationships between mechanical loading and tissue response. In the last decades, a great number of methods have been developed and applied to measure the deformations and mechanical strains in tissues comprising bone, tendon, ligament, muscle and brain as well as blood vessels. In this article, we have reviewed the mechanical strain measurement from six aspects: electro-based, light-based, ultrasound-based, magnetic resonance-based and computed tomography-based techniques, and the texture correlation-based image processing method. The review may help solving the problems of experimental and mechanical strain measurement of tissues under different measurement environments

Anterior cruciate ligament transection alters the n-3/n-6 fatty acid balance in the lapine infrapatellar fat pad

The infrapatellar fat pad (IFP) of the knee joint has received lots of attention recently due to its emerging role in the pathogenesis of osteoarthritis (OA), where it displays an inflammatory phenotype. The aim of the present study was to examine the infrapatellar fatty acid (FA) composition in a rabbit (Oryctolagus cuniculus) model of early OA created by anterior cruciate ligament transection (ACLT).Peer reviewe

3D morphometric analysis of calcified cartilage properties using micro-computed tomography

Objective: Our aim is to establish methods for quantifying morphometric properties of calcified cartilage (CC) from micro-computed tomography (mu CT). Furthermore, we evaluated the feasibility of these methods in investigating relationships between osteoarthritis (OA), tidemark surface morphology and open subchondral channels (OSCCs). Method: Samples (n = 15) used in this study were harvested from human lateral tibial plateau (n = 8). Conventional roughness and parameters assessing local 3-dimensional (3D) surface variations were used to quantify the surface morphology of the CC. Subchondral channel properties (percentage, density, size) were also calculated. As a reference, histological sections were evaluated using Histopathological osteoarthritis grading (OARSI) and thickness of CC and subchondral bone (SCB) was quantified. Results: OARSI grade correlated with a decrease in local 3D variations of the tidemark surface (amount of different surface patterns (r(s) = -0.600, P = 0.018), entropy of patterns (EP) (r(s) = -0.648, P = 0.018), homogeneity index (HI) (r(s) = 0.555, P = 0.032)) and tidemark roughness (TMR) (r(s) = -0.579, P = 0.024). Amount of different patterns (ADP) and EP associated with channel area fraction (CAF) (r(p) = 0.876, P <0.0001; r(p) = 0.665, P = 0.007, respectively) and channel density (CD) (r(p) = 0.680, P = 0.011; r(p) = 0.582, P = 0.023, respectively). TMR was associated with CAF (r(p) = 0.926, P <0.0001) and average channel size (r(p) = 0.574, P = 0.025). CC topography differed statistically significantly in early OA vs healthy samples. Conclusion: We introduced a mu-CT image method to quantify 3D CC topography and perforations through CC. CC topography was associated with OARSI grade and OSCC properties; this suggests that the established methods can detect topographical changes in tidemark and CC perforations associated with OA. (c) 2018 The Authors. Published by Elsevier Ltd on behalf of Osteoarthritis Research Society International. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).Peer reviewe

Near infrared spectroscopic evaluation of biochemical and crimp properties of knee joint ligaments and patellar tendon

Knee ligaments and tendons play an important role in stabilizing and controlling the motions of the knee. Injuries to the ligaments can lead to abnormal mechanical loading of the other supporting tissues (e.g., cartilage and meniscus) and even osteoarthritis. While the condition of knee ligaments can be examined during arthroscopic repair procedures, the arthroscopic evaluation suffers from subjectivity and poor repeatability. Near infrared spectroscopy (NIRS) is capable of non-destructively quantifying the composition and structure of collagen-rich connective tissues, such as articular cartilage and meniscus. Despite the similarities, NIRS-based evaluation of ligament composition has not been previously attempted. In this study, ligaments and patellar tendon of ten bovine stifle joints were measured with NIRS, followed by chemical and histological reference analysis. The relationship between the reference properties of the tissue and NIR spectra was investigated using partial least squares regression. NIRS was found to be sensitive towards the water (R2CV = .65) and collagen (R2CV = .57) contents, while elastin, proteoglycans, and the internal crimp structure remained undetectable. As collagen largely determines the mechanical response of ligaments, we conclude that NIRS demonstrates potential for quantitative evaluation of knee ligaments.publishedVersionPeer reviewe

Organometallic iridium(III) anticancer complexes with new mechanisms of action: NCI-60 screening, mitochondrial targeting, and apoptosis

Platinum complexes related to cisplatin, cis-[PtCl2(NH3)2], are successful anticancer drugs; however, other transition metal complexes offer potential for combating cisplatin resistance, decreasing side effects, and widening the spectrum of activity. Organometallic half-sandwich iridium (IrIII) complexes [Ir(Cpx)(XY)Cl]+/0 (Cpx = biphenyltetramethylcyclopentadienyl and XY = phenanthroline (1), bipyridine (2), or phenylpyridine (3)) all hydrolyze rapidly, forming monofunctional G adducts on DNA with additional intercalation of the phenyl substituents on the Cpx ring. In comparison, highly potent complex 4 (Cpx = phenyltetramethylcyclopentadienyl and XY = N,N-dimethylphenylazopyridine) does not hydrolyze. All show higher potency toward A2780 human ovarian cancer cells compared to cisplatin, with 1, 3, and 4 also demonstrating higher potency in the National Cancer Institute (NCI) NCI-60 cell-line screen. Use of the NCI COMPARE algorithm (which predicts mechanisms of action (MoAs) for emerging anticancer compounds by correlating NCI-60 patterns of sensitivity) shows that the MoA of these IrIII complexes has no correlation to cisplatin (or oxaliplatin), with 3 and 4 emerging as particularly novel compounds. Those findings by COMPARE were experimentally probed by transmission electron microscopy (TEM) of A2780 cells exposed to 1, showing mitochondrial swelling and activation of apoptosis after 24 h. Significant changes in mitochondrial membrane polarization were detected by flow cytometry, and the potency of the complexes was enhanced ca. 5× by co-administration with a low concentration (5 μM) of the γ-glutamyl cysteine synthetase inhibitor L-buthionine sulfoximine (L-BSO). These studies reveal potential polypharmacology of organometallic IrIII complexes, with MoA and cell selectivity governed by structural changes in the chelating ligands

Localized delivery of compounds into articular cartilage by using high-intensity focused ultrasound

Localized delivery of drugs into an osteoarthritic cartilaginous lesion does not yet exist, which limits pharmaceutical management of osteoarthritis (OA). High-intensity focused ultrasound (HIFU) provides a means to actuate matter from a distance in a non-destructive way. In this study, we aimed to deliver methylene blue locally into bovine articular cartilage in vitro. HIFU-treated samples (n = 10) were immersed in a methylene blue (MB) solution during sonication (f = 2.16 MHz, peak-positivepressure = 3.5 MPa, mechanical index = 1.8, pulse repetition frequency = 3.0 kHz, cycles per burst: 50, duty cycle: 7%). Adjacent control 1 tissue (n = 10) was first pre-treated with HIFU followed by immersion into MB; adjacent control 2 tissue (n = 10) was immersed in MB without ultrasound exposure. The MB content was higher (p 0.05). To conclude, HIFU delivers molecules into articular cartilage without major short-term concerns about safety. The method is a candidate for a future approach for managing OA.Peer reviewe

Complete Mitochondrial Genomes Reveal Neolithic Expansion into Europe

The Neolithic transition from hunting and gathering to farming and cattle breeding marks one of the most drastic cultural changes in European prehistory. Short stretches of ancient mitochondrial DNA (mtDNA) from skeletons of pre-Neolithic hunter-gatherers as well as early Neolithic farmers support the demic diffusion model where a migration of early farmers from the Near East and a replacement of pre-Neolithic hunter-gatherers are largely responsible for cultural innovation and changes in subsistence strategies during the Neolithic revolution in Europe. In order to test if a signal of population expansion is still present in modern European mitochondrial DNA, we analyzed a comprehensive dataset of 1,151 complete mtDNAs from present-day Europeans. Relying upon ancient DNA data from previous investigations, we identified mtDNA haplogroups that are typical for early farmers and hunter-gatherers, namely H and U respectively. Bayesian skyline coalescence estimates were then used on subsets of complete mtDNAs from modern populations to look for signals of past population expansions. Our analyses revealed a population expansion between 15,000 and 10,000 years before present (YBP) in mtDNAs typical for hunters and gatherers, with a decline between 10,000 and 5,000 YBP. These corresponded to an analogous population increase approximately 9,000 YBP for mtDNAs typical of early farmers. The observed changes over time suggest that the spread of agriculture in Europe involved the expansion of farming populations into Europe followed by the eventual assimilation of resident hunter-gatherers. Our data show that contemporary mtDNA datasets can be used to study ancient population history if only limited ancient genetic data is available