Faut-il corriger les rentabilités des hedge funds?

Ce papier examine deux principaux mécanismes proposés dans la littérature pour corriger les rentabilités lissées des hedge funds et l'impact de cette correction sur les caractéristiques statistiques de la distribution des rentabilités et sur la performance des fonds. Nos résultats suggèrent que le délissage a pour conséquence de modifier considérablement la distribution des rentabilités - augmenter l'écart-type, augementer ou baisser la skewness et la kurtosis. En revanche, la moyenne reste inchangée. Ce résultat indique une modification non négligeable du profil derisque des fonds suite au délissage. Concernant la performance des fonds mesurée par le ratio de Sharpe et l'indice Omega, nous trouvons que leur classement par rapport aux indices de marché reste plus ou moins inchangé. Malgré une corrélation assez forte entre les classements d'avant et d'après le délissage, des modifications de rang assez nettes ont été observées au sein des stratégies des hedge funds. Par ailleurs, le choix de la méthode de délissage a un impact non négligeable sur les résultats obtenus.hedge funds, mesures de performance, ratio de Sharpe,indice Omega, rentabilités lissées

Pseudo-steady state solutions for solidification in a wedge

Polubarinova-Kochina's analytical differential equation method is used to determine the pseudo-steady-state solution to problems involving the freezing (solidification) of wedges of liquid which are initially at their fusion temperature. In particular, we consider four distinct problems for wedges which are: freezing with the same constant boundary temperature, freezing with the same constant boundary heat fluxes, freezing with distinct constant boundary temperatures and freezing with distinct constant fluxes at the boundaries. For the last two problems, a Heun's differential equation with an unknown singularity is derived, which in both cases admits a particularly elegant simple solution for the special case when the wedge angle is ?. The moving boundaries obtained are shown pictorially

Trihalomethane formation by chlorination of ammonium- and bromide-containing groundwater in water supplies of Hanoi, Vietnam

The occurrence and the fate of trihalomethanes (THMs) in the water supply system of Hanoi City, Vietnam was investigated from 1998 to 2001. The chlorination efficiency, THM speciation, and, THM formation potential (THMFP) was determined in the water works and in tap water. With regard to THM formation, three types of groundwater resources were identified: (I) high bromide, (II) low bromide, and (III) high bromide combined with high ammonia and high dissolved organic carbon (DOC) concentrations. Under typical treatment conditions (total chlorine residual 0.5-0.8 mg/L), the total THM formation was always below WHO, EU, and USEPA drinking water standards and decreased in the order type I > type II > type III, although the THMFP was > 400 mug/L for type III water. The speciation showed > 80% of bromo-THMs in type I water due to the noticeable high bromide level (less than or equal to 140 mug/L). In type II water, the bromo-THMs still accounted for some 40% although the bromide concentration is significantly lower (less than or equal to 30 mug/L). In contrast, only traces of bromo-THMs were formed (similar to 5%) in type III water, despite bromide levels were high (less than or equal to 240 mug/L). This observation could be explained by competition kinetics of chlorine reacting with ammonia and bromide. Based on chlorine exposure (CT) estimations, it was concluded that the current chlorination practice for type I and II waters is sufficient for greater than or equal to2-log inactivation of Giardia lamblia cysts. However, in type III water the applied chlorine is masked as chloramine with a much lower disinfection efficiency. In addition to high levels of ammonia, type III groundwater is also contaminated by arsenic that is not satisfactory removed during treatment. N-nitro sodimethylamine, a potential carcinogen suspected to be formed during chloramination processes, was below the detection limit of 0.02 mug/L in type III water. (C) 2003 Elsevier Science Ltd. All rights reserved