Portfolios of Hedge Funds What Investors Really Invest In

Using monthly return data over the period June 1994 – May 2001 we investigate the performance of randomly selected baskets of hedge funds ranging in size from 1 to 20 funds. The analysis shows that increasing the number of funds can be expected to lead not only to a lower standard deviation but also, and less attractive, to lower skewness and increased correlation with the stock market. Most of the change occurs for relatively small portfolios. Holding more than 15 funds changes little. The population average appears to be a good approximation for the average basket of 15 or more funds. With 15 funds, however, there is still a substantial degree of variation in performance between baskets, which dissolves only slowly when the number of funds is increased. Survivorship bias is largely independent of portfolio size and thus cannot be diversified away. Finally, our efficiency test indicates that one only needs to combine a small number of funds to obtain a substantially more efficient risk-return profile than that offered by the average individual hedge fund.

Stocks, Bond and Hedge Funds: Not a Free Lunch

We study the diversification effects from introducing hedge funds into a traditional portfolio of stocks and bonds. Our results make it clear that in terms of skewness and kurtosis equity and hedge funds do not combine very well. Although the inclusion of hedge funds may significantly improve a portfolio’s mean-variance characteristics, it can also be expected to lead to significantly lower skewness as well as higher kurtosis. This means that the case for hedge funds includes a definite trade-off between profit and loss potential. Our results also emphasize that to have at least some impact on the overall portfolio, investors will have to make an allocation to hedge funds which by far exceeds the typical 1-5% that many institutions are currently considering.

Who Should Buy Hedge Funds? The effect of including Hedge Funds in Portfolios of Stocks and Bonds

Using monthly return data on 455 hedge funds over the period 1994-2001 we study the diversification effects from introducing hedge funds into a traditional portfolio of stocks and bonds. Our results indicate that although the inclusion of hedge funds may significantly improve a portfolio’s mean-variance characteristics, it can also be expected to lead to significantly lower skewness as well as higher kurtosis. This means that the case for hedge funds includes a definite trade-off between profit and loss potential and suggests that, contrary to popular belief, hedge funds might be more suitable for institutional than for private investors. Our results also emphasize the fact that to have at least some impact on the overall portfolio, one has to make an allocation to hedge funds which exceeds the typical 1-3% that many institutions are currently considering.

Welcome to the Dark Side - Hedge Fund Attrition and Survivorship Bias over the period 1994-2001

Hedge funds exhibit a high rate of attrition that has increased substantially over time. Using data over the period 1994-2001, we show that lack of size, lack of performance and an increasingly aggressive attitude of old and new fund managers alike are the main factors behind this. Although attrition is high, survivorship bias in hedge fund data is quite modest, which reflects the relatively small difference in performance between surviving and defunct funds. Concentrating on survivors only will overestimate the average hedge fund return by around 2% per annum. For small, young, and leveraged funds, however, the bias can be as high as 4-6%. We also find significant survivorship bias in estimates of the standard deviation, skewness and kurtosis of individual hedge fund returns. When not corrected for, this will lead investors to seriously overestimate the benefits of hedge funds. We find fund of funds attrition to be much lower than for hedge funds. Combined with a small difference in performance between surviving and defunct funds of funds, this yields relatively low survivorship bias estimates for funds of funds.

Adaptive Content Control for Communication amongst Cooperative Automated Vehicles

Cooperative automated vehicles exchange information to assist each other in creating a more precise and extended view of their surroundings, with the aim of improving automated-driving decisions. This paper addresses the need for scalable communication among these vehicles. To this end, a general communication framework is proposed through which automated cars exchange information derived from multi-resolution maps created using their local sensing modalities. This method can extend the region visible to a car beyond the area directly sensed by its own sensors. An adaptive, probabilistic, distance-dependent strategy is proposed that controls the content of the messages exchanged among vehicles based on performance measures associated with the load on the communication channel.Comment: 7 Pages, 10 Figures, Sixth International Symposium on Wireless Vehicular Communications (WiVEC'2014

Arsenic Trioxide with Ascorbic Acid and High-Dose Melphalan: Results of a Phase II Randomized Trial

AbstractArsenic trioxide (ATO) is synergistic with ascorbic acid (AA) and melphalan against myeloma both in vitro and in vivo. The aim of this randomized phase II trial was to determine the safety and efficacy of a combination of ATO, melphalan, and AA as preparative regimen in 48 patients undergoing autologous hematopoietic stem cell transplantation (ASCT) for multiple myeloma (MM). Forty-eight patients received melphalan 200 mg/m2 i.v. over 2 days and AA 1000 mg i.v. over 7 days in 3 treatment arms: no ATO (arm 1), ATO 0.15 mg/kg i.v. × 7 days (arm 2), and ATO 0.25 mg/kg i.v. × 7 days (arm 3). No dose-limiting toxicity, engraftment failure, or nonrelapse mortality (NRM) was seen in the first 100 days post-ASCT. Complete responses (CR) were seen in 12 of 48 patients (25%), with an overall response rate (ORR = CR + PR) of 85%. Median progression-free survival (PFS) was 25 months; median overall survival (OS) has not yet been reached. There was no significant difference in CR, PFS, or OS among the 3 treatment arms, and no adverse effect of ATO on melphalan pharmacokinetics. Addition of ATO + AA to high-dose melphalan is safe and well tolerated as a preparative regimen for MM

Deletion of the Short Arm of Chromosome 1 (del 1p) is a Strong Predictor of Poor Outcome in Myeloma Patients Undergoing an Autotransplant

AbstractSeveral chromosomal abnormalities detected by conventional cytogenetic analysis have an adverse impact on the outcome in myeloma patients. A wide spectrum of abnormalities involving chromosomes 1, 13, 14, and 17 has been described. We analyzed the outcome of 83 patients with clonal cytogenetic abnormalities, who underwent high-dose therapy and autologous stem cell transplantation for multiple myeloma at our institution. Clonal abnormalities were detected at diagnosis by conventional cytogenetic analysis in 83 patients. Patients underwent a single autologous transplant between April 2000 and May 2005. Preparative regimen was high-dose melphalan alone (73), or a combination of topotecan, melphalan, and cyclophosphamide (TMC = 10). The most commonly observed chromosomal abnormalities were deletion of chromosome 13 (32%), hyperdiploidy (21%), deletion of chromosome 1p (18%), and t (11; 14) in 7% patients. Median follow-up among surviving patients was 25.5 months. Median interval from diagnosis to autotransplant was 7.7 months (range: 2.5-52). Median progression-free survival (PFS) for the entire group was 19 months and the median overall survival (OS) was 52 months. On univariate analysis, both PFS and OS were significantly shorter in patients with deletion 1p (P = .001 and <.0001, respectively). Thirty-two patients whose cytogenetic abnormalities returned to normal prior to autotransplant had longer PFS and OS than patients with persistent abnormalities (P = .02 and .08, respectively). Deletion 1p is associated with a significantly shorter remission and survival in patients undergoing high-dose therapy and a single autologous transplant for myeloma

Enhanced combined assimilative and bound phosphorus uptake in concurrence with nitrate removal in pre-anoxic cyclic sequencing batch reactor

Needless to specify, controlling nitrogen and phosphorus discharge from wastewater treatment plants is synonymous with the prevention of eutrophication of surface waters, as one of the major issues related to water security. The present study investigates the performance of a pre-anoxic sequencing batch reactor (SBR) working on the basis of intermittent aeration, operated at varied carbon (bCOD) to nitrogen (C/N) ratio of 3, 7.5, and 10, and readily biodegradable (rbCOD) to slowly biodegradable (sbCOD) ratio of 0.1, 0.25, and 0.5. The findings revealed that an enhanced nitrogen removal was observed, together with higher C/N and rbCOD to sbCOD ratios. The results also show a consistent increase in total phosphorus removal with an increase in nitrogen removal. The phosphorus uptake of sludge varied from 0.02 – 0.045 mgP/mgVSS (avg. 0.031 ± 0.004), which resulted in enrichment levels of 0.88 – 1.68 times the stoichiometric value of 0.0267 mgP/mgVSS (avg. 1.45 ± 0.14). On an average basis, the assimilative total phosphate (TP) content was increased by 0.008 gTP/gNO -/3 -N removal rate. The excess phosphorus removal was due to the formation of poorly soluble polyvalent phosphate compounds, which was found based on dry analysis, which persisted as bound phosphate in the sludge

Dietary Crocin is Protective in Pancreatic Cancer while Reducing Radiation-Induced Hepatic Oxidative Damage

Pancreatic cancer is one of the fatal causes of global cancer-related deaths. Although surgery and chemotherapy are standard treatment options, post-treatment outcomes often end in a poor prognosis. In the present study, we investigated anti-pancreatic cancer and amelioration of radiation-induced oxidative damage by crocin. Crocin is a carotenoid isolated from the dietary herb saffron, a prospect for novel leads as an anti-cancer agent. Crocin significantly reduced cell viability of BXPC3 and Capan-2 by triggering caspase signaling via the downregulation of Bcl-2. It modulated the expression of cell cycle signaling proteins P53, P21, P27, CDK2, c-MYC, Cyt-c and P38. Concomitantly, crocin treatment-induced apoptosis by inducing the release of cytochrome c from mitochondria to cytosol. Microarray analysis of the expression signature of genes induced by crocin showed a substantial number of genes involved in cell signaling pathways and checkpoints (723) are significantly affected by crocin. In mice bearing pancreatic tumors, crocin significantly reduced tumor burden without a change in body weight. Additionally, it showed significant protection against radiation-induced hepatic oxidative damage, reduced the levels of hepatic toxicity and preserved liver morphology. These findings indicate that crocin has a potential role in the treatment, prevention and management of pancreatic cancer

The burden of unintentional drowning : global, regional and national estimates of mortality from the Global Burden of Disease 2017 Study

Background Drowning is a leading cause of injury-related mortality globally. Unintentional drowning (International Classification of Diseases (ICD) 10 codes W65-74 and ICD9 E910) is one of the 30 mutually exclusive and collectively exhaustive causes of injury-related mortality in the Global Burden of Disease (GBD) study. This study's objective is to describe unintentional drowning using GBD estimates from 1990 to 2017. Methods Unintentional drowning from GBD 2017 was estimated for cause-specific mortality and years of life lost (YLLs), age, sex, country, region, Socio-demographic Index (SDI) quintile, and trends from 1990 to 2017. GBD 2017 used standard GBD methods for estimating mortality from drowning. Results Globally, unintentional drowning mortality decreased by 44.5% between 1990 and 2017, from 531 956 (uncertainty interval (UI): 484 107 to 572 854) to 295 210 (284 493 to 306 187) deaths. Global age-standardised mortality rates decreased 57.4%, from 9.3 (8.5 to 10.0) in 1990 to 4.0 (3.8 to 4.1) per 100 000 per annum in 2017. Unintentional drowning-associated mortality was generally higher in children, males and in low-SDI to middle-SDI countries. China, India, Pakistan and Bangladesh accounted for 51.2% of all drowning deaths in 2017. Oceania was the region with the highest rate of age-standardised YLLs in 2017, with 45 434 (40 850 to 50 539) YLLs per 100 000 across both sexes. Conclusions There has been a decline in global drowning rates. This study shows that the decline was not consistent across countries. The results reinforce the need for continued and improved policy, prevention and research efforts, with a focus on low- and middle-income countries.Peer reviewe