Hedge fund replication strategies: implications for investors and regulators.

Over the past decade, academic research has identified a number of replication strategies capable of capturing between 40% to 80% of the average return of many popular hedge fund strategies. Investors are beginning to take notice of these replication strategies, especially because of their rule based, transparent features and the fact that they can be executed at low cost. Armed with this alternative way of accessing passive hedge fund returns, investors can effectively structure incentive fee contracts to reward skill-based returns (i.e., alternative alpha) differently from passive index-liked returns (i.e., alternative beta). This can raise the barrier to entry for new funds to the industry in that hedge fund managers must demonstrate skill in order to participate in profi t sharing. This should reduce the risk of herding by hedge fund managers who may otherwise be enticed by incentive fee contracts that rewards them for taking popular factor bets.

Hedge funds: an industry in its adolescence

The dramatic increase in the number of hedge funds and the "institutionalization" of the industry over the past decade have spurred rigorous research into hedge fund performance. This research has tended to uncover more questions than answers about the dynamic and multifaceted hedge fund industry. ; This article presents a simple hedge fund business model in which fund returns are a function of three key elements -- how the funds trade, where they trade, and how the positions are financed. The article also provides methods to help investors, intermediaries, and regulators identify systemic risk factors inherent in hedge fund strategies. ; Estimating these risk factors requires having an accurate history of hedge fund performance. The authors examine recent statistics from three commercial hedge fund databases and discuss the problems with database biases that must be recognized to obtain accurate measures of returns. ; While the data show that today's hedge funds use myriad strategies that have no uniform definition, the proposed business model implies that hedge fund managers are diversifying in order to maximize the enterprise value of their firms. But this diversification does not preclude the risk of leveraged opinions converging onto the same set of bets. Preventing convergence risk will require action by investors, intermediaries, regulators, and fund managers to improve industry-level disclosure and transparency while preserving the privacy of individual hedge funds' positions.Hedge funds

Polymorphisms of the XRCC1, XRCC3, & XPD genes, and colorectal cancer risk: a case-control study in Taiwan

BACKGROUND: Recent studies relating to the association between DNA repair-gene polymorphisms and colorectal cancer risk would, to the best of our knowledge, appear to be very limited. This study was designed to examine the polymorphisms associated with three DNA repair genes, namely: XRCC1 Arg399Gln, XRCC3 Thr241Met and XPD Lys751Gln, and investigate their role as susceptibility markers for colorectal cancer. METHODS: We conducted a case-control study including 727 cases of cancer and 736 hospital-based age- and sex-matched healthy controls to examine the role of genetic polymorphisms of three DNA-repair genes (XRCC1, XRCC3 and XPD) in the context of colorectal cancer risk for the Taiwanese population. Genomic DNA isolated from 10 ml whole blood was used to genotype XRCC1 Arg399Gln, XRCC3 Thr241Met and XPD Lys751Gln by means of polymerase chain reaction (PCR) and restriction fragment length polymorphism (RFLP) analysis. RESULTS: The risk for colorectal cancer did not appear to differ significantly amongst individuals featuring the XRCC1 399Arg/Arg genotype (OR = 1.18; 95% CI, 0.96–1.45), the XRCC3 241Thr/Thr genotype (OR = 1.25; 95% CI, 0.88–1.79) or the XPD 751Gln allele (OR = 1.20; 95% CI, 0.90–1.61), although individuals featuring a greater number of risk genotypes (genotype with OR greater than 1) did experience a higher risk for colorectal cancer when compared to those who didn't feature any risk genotypes (Trend test P = 0.03). Compared with those individuals who didn't express any putative risk genotypes, individuals featuring all of the putative risk genotypes did experience a significantly greater cancer risk (OR = 2.43, 95% CI = 1.21–4.90), particularly for individuals suffering tumors located in the rectum (OR = 3.18, 95% CI = 1.29–7.82) and diagnosed prior to the age of 60 years (OR = 4.90, 95% CI = 1.72–14.0). CONCLUSIONS: Our results suggest that DNA-repair pathways may simultaneously modulate the risk of colorectal cancer for the Taiwanese population, and, particularly for rectal cancer and younger patients

Hedge fund franchises

We investigate the growth strategies of hedge fund firms. We find that firms with successful first funds are able to launch follow-on funds that charge higher performance fees, set more onerous redemption terms, and attract greater inflows. Motivated by the aforementioned spillover effects, first funds outperform follow-on funds, after adjusting for risk. Consistent with the agency view, greater incentive alignment moderates the performance differential between first and follow-on funds. Moreover, multiple-product firms underperform single-product firms but harvest greater fee revenues, thereby hurting investors while benefitting firm partners. Investors respond to this growth strategy by redeeming from first funds of firms with follow-on funds that do poorly. Empirically, the multiple-product firm has become the dominant business model for the hedge fund industry

Discordant Findings of Skeletal Metastasis Between Tc99m MDP Bone Scans and F18 FDG PET/CT Imaging for Advanced Breast and Lung Cancers—Two Case Reports and Literature Review

Traditionally, Tc99m methyl diphosphate (MDP) bone scintigraphy provides high-sensitivity detection of skeletal metastasis from breast and lung cancers in regular follow-up. Fluorodeoxyglucose (FDG) positron emission tomography/computed tomography (PET/CT), based on the glucose metabolism of malignant cells, plays a role in describing rumor growth, proliferation of neoplasm and the extent of metastasis. In general, concordant findings of skeletal metastasis are seen on both types of image, especially in cases of breast and lung cancer. However, there were extremely discordant findings of skeletal metastasis between bone scans and F18 FDG PET/CT imaging in two cases among 300 consecutive F18 FDG PET/CT follow-up exams of patients with malignancies, during the past year, in our center. Both cases, one of breast cancer and one of lung cancer, had negative bone scintigraphic findings, but a diffusely high grade of F18 FDG avid marrow infiltration in the axial spine, leading to the diagnosis of stage IV disease in both cases. Owing to variant genetic aberrance of malignance, F18 FDG PET/CT reveals direct evidence of diffuse, rapid neoplasm metabolism in the bone marrow of the spine, but not of secondary osteoblastic reactions in vivo. F18 FDG PET/CT should always be employed in the follow-up of patients with malignancies

Sequence Effect of Self-Assembling Peptides on the Complexation and In Vitro Delivery of the Hydrophobic Anticancer Drug Ellipticine

A special class of self-assembling peptides has been found to be capable of stabilizing the hydrophobic anticancer agent ellipticine in aqueous solution. Here we study the effect of peptide sequence on the complex formation and its anticancer activity in vitro. Three peptides, EAK16-II, EAK16-IV and EFK16-II, were selected to have either a different charge distribution (EAK16-II vs. EAK16-IV) or a varying hydrophobicity (EAK16-II vs. EFK16-II). Results on their complexation with ellipticine revealed that EAK16-II and EAK16-IV were able to stabilize protonated ellipticine or ellipticine microcrystals depending on the peptide concentration; EFK16-II could stabilize neutral ellipticine molecules and ellipticine microcrystals. These different molecular states of ellipticine were expected to affect ellipticine delivery. The anticancer activity of these complexes was tested against two cancer cell lines: A549 and MCF-7, and related to the cell viability. The viability results showed that the complexes with protonated ellipticine were effective in eradicating both cancer cells (viability <0.05), but their dilutions in water were not stable, leading to a fast decrease in their toxicity. In contrast, the complexes formulated with EFK16-II were relatively stable upon dilution, but their original toxicity was relatively low compared to that with protonated ellipticine. Overall, the charge distribution of the peptides seemed not to affect the complex formation and its therapeutic efficacy in vitro; however, the increase in hydrophobicity of the peptides significantly altered the state of stabilized ellipticine and increased the stability of the complexes. This work provides essential information for peptide sequence design in the development of self-assembling peptide-based delivery of hydrophobic anticancer drugs

Mixed‐methods content and sentiment analysis of adolescents’ voice‐diaries describing daily experiences with asthma and self‐management decision‐making

Background Accurate symptom assessment remains challenging in teen populations. Little is known of usual symptom/response patterns, and self‐reported paper diaries have traditionally low compliance rates. Therefore, we used concurrent digital voice‐diaries to capture daily asthma experiences. Objective (1) To qualitatively explore usual symptom patterns and self‐management responses; and (2) to quantitatively explore relationships between symptom severity and sentiment scores (a marker of emotional response to events). Methods Fourteen minority and non‐minority teenagers (age 13‐17) with controlled (50%) and uncontrolled asthma used digital recorders to report about their asthma once daily over 14 days. Dairy entries were coded for symptom frequency, severity, type, and self‐management responses, while sentiment analysis was used to evaluate the emotional valence of diary entries and to explore whether increased symptom levels correlated with greater negative sentiment. Results Symptom frequency and severity recorded in voice‐diaries was much higher than teens indicated at baseline, and was discordant with clinical assessments of asthma control. Of 175 entries, teens had symptoms 69.1% of days (121/175) and severe symptoms on one‐third of these. Atypical symptoms (coughing, throat‐clearing) were reported twice as often as traditional symptoms (wheezing, chest tightness), and often not recognized as asthma, but rather attributed to being “sick” (25.6% of symptom days). Teens frequently minimized symptoms, used rescue and controller medication inconsistently, and resorted to alternative strategies to manage symptoms. Sentiment was not significantly correlated with assessed control (β=0.14, p=0.28), but for teens reporting severe symptoms, sentiment scores decreased by 0.31 relative to teens without symptoms (P=0.006). Conclusions & Clinical Relevance Teens may minimize symptoms and have greater symptom frequency and severity than is recognized by themselves or providers. Screening for specific symptoms including coughing, throat‐clearing, and respiratory illness may be needed to identify those experiencing burden from asthma

Cost-effectiveness of non-invasive methods for assessment and monitoring of liver fibrosis and cirrhosis in patients with chronic liver disease: systematic review and economic evaluation

BACKGROUND: Liver biopsy is the reference standard for diagnosing the extent of fibrosis in chronic liver disease; however, it is invasive, with the potential for serious complications. Alternatives to biopsy include non-invasive liver tests (NILTs); however, the cost-effectiveness of these needs to be established. OBJECTIVE: To assess the diagnostic accuracy and cost-effectiveness of NILTs in patients with chronic liver disease. DATA SOURCES: We searched various databases from 1998 to April 2012, recent conference proceedings and reference lists. METHODS: We included studies that assessed the diagnostic accuracy of NILTs using liver biopsy as the reference standard. Diagnostic studies were assessed using the Quality Assessment of Diagnostic Accuracy Studies (QUADAS-2) tool. Meta-analysis was conducted using the bivariate random-effects model with correlation between sensitivity and specificity (whenever possible). Decision models were used to evaluate the cost-effectiveness of the NILTs. Expected costs were estimated using a NHS perspective and health outcomes were measured as quality-adjusted life-years (QALYs). Markov models were developed to estimate long-term costs and QALYs following testing, and antiviral treatment where indicated, for chronic hepatitis B (HBV) and chronic hepatitis C (HCV). NILTs were compared with each other, sequential testing strategies, biopsy and strategies including no testing. For alcoholic liver disease (ALD), we assessed the cost-effectiveness of NILTs in the context of potentially increasing abstinence from alcohol. Owing to a lack of data and treatments specifically for fibrosis in patients with non-alcoholic fatty liver disease (NAFLD), the analysis was limited to an incremental cost per correct diagnosis. An analysis of NILTs to identify patients with cirrhosis for increased monitoring was also conducted. RESULTS: Given a cost-effectiveness threshold of £20,000 per QALY, treating everyone with HCV without prior testing was cost-effective with an incremental cost-effectiveness ratio (ICER) of £9204. This was robust in most sensitivity analyses but sensitive to the extent of treatment benefit for patients with mild fibrosis. For HBV [hepatitis B e antigen (HBeAg)-negative)] this strategy had an ICER of £28,137, which was cost-effective only if the upper bound of the standard UK cost-effectiveness threshold range (£30,000) is acceptable. For HBeAg-positive disease, two NILTs applied sequentially (hyaluronic acid and magnetic resonance elastography) were cost-effective at a £20,000 threshold (ICER: £19,612); however, the results were highly uncertain, with several test strategies having similar expected outcomes and costs. For patients with ALD, liver biopsy was the cost-effective strategy, with an ICER of £822. LIMITATIONS: A substantial number of tests had only one study from which diagnostic accuracy was derived; therefore, there is a high risk of bias. Most NILTs did not have validated cut-offs for diagnosis of specific fibrosis stages. The findings of the ALD model were dependent on assuptions about abstinence rates assumptions and the modelling approach for NAFLD was hindered by the lack of evidence on clinically effective treatments. CONCLUSIONS: Treating everyone without NILTs is cost-effective for patients with HCV, but only for HBeAg-negative if the higher cost-effectiveness threshold is appropriate. For HBeAg-positive, two NILTs applied sequentially were cost-effective but highly uncertain. Further evidence for treatment effectiveness is required for ALD and NAFLD. STUDY REGISTRATION: This study is registered as PROSPERO CRD42011001561. FUNDING: The National Institute for Health Research Health Technology Assessment programme