Evidence for a disorder driven phase transition in the condensation of 4He in aerogels

We report on thermodynamic and optical measurements of the condensation process of $^4$He in three silica aerogels of different microstructures. For the two base-catalysed aerogels, the temperature dependence of the shape of adsorption isotherms and of the morphology of the condensation process show evidence of a disorder driven transition, in agreement with recent theoretical predictions. This transition is not observed for a neutral-catalysed aerogel, which we interpret as due to a larger disorder in this case.Comment: 11 page

Crack path instabilities in DCDC experiments in the low speed regime

We studied the low speed fracture regime (0.1mm/s - 1nm/s) in different glassy materials (soda-lime glass, glass-ceramics) with variable but controlled length scale of heterogeneity. The chosen mechanical system enabled us to work in pure mode I (tensile) and at a fixed load on DCDC (double cleavage drilled compression) specimen. The internal residual stresses of studied samples were carefully relaxed by appropriate thermal treatment. By means of optical and atomic force (AFM) microscopy techniques fracture surfaces have been examined. We have shown for the first time that the crack front line underwent an out-of-plane oscillating behavior as a result of a reproducible sequence of instabilities. The wavelength of such a phenomenon is in the micrometer range and its amplitude in the nanometer range. These features were observed for different glassy materials providing that a typical length scale characterizing internal heterogeneities was lower than a threshold limit estimated to few nanometers. This effect is the first clear experimental evidence of crack path instabilities in the low speed regime in a uniaxial loading experiment. This phenomenon has been interpreted by referring to the stability criterion for a straight crack propagation as presented by Adda-Bedia et al. (Phys. Rev. Letters (1996) 76} p1497).Comment: 16 pages, 10 figures, submitted to Journal of Non-Crystalline Solid

Momentum meets value investing in a small European market

In this paper, we investigate two prominent market anomalies documented in the finance literature – the momentum effect and value-growth effect. We conduct an out- of-sample test to the link between these two anomalies recurring to a sample of Portuguese stocks during the period 1988–2015. We find that the momentum of value and growth stocks is significantly different: growth stocks exhibit a much larger momentum than value stocks. A combined value and momentum strategy can generate statistically significant excess annual returns of 10.8%. These findings persist across several holding periods up to a year. Moreover, we show that macroeconomic variables fail to explain value and momentum of individual and combined returns. Collectively, our results contradict market efficiency at the weak form and pose a challenge to existing asset pricing theories.info:eu-repo/semantics/publishedVersio

Pension fund performance and costs: small is beautiful.

Abstract Using the CEM pension fund data set, we document the cost structure and performance of a large sample of US pension funds. To date, self-reporting biases and a deficiency of comprehensive return and cost data have severely hindered pension fund performance studies. The bias-free CEM dataset resolves these issues and provides detailed information on fund-specific returns, benchmarks and costs for all types of pension plans and equity mandates. We find that pension fund cost levels are substantially lower than mutual fund fees. The domestic equity investments of US pension funds tend to generate abnormal returns (after expenses and trading costs) close to zero or slightly positive, contrasting the average underperformance of mutual funds. However, small cap mandates of defined benefit funds have outperformed their benchmarks by about 3% a year. While larger scale brings costs advantages, liquidity limitations seem to allow only smaller funds, and especially small cap mandates, to outperform their benchmarks. JEL Classifications : G23, G11, G14 Acknowledgements Our thanks to Keith Ambachtsheer, CEM Benchmarking Inc. for providing the pension fun

How Active is Your Fund Manager? A New Measure That Predicts Performance

Abstract We introduce a new measure of active portfolio management, Active Share, which represents the share of portfolio holdings that di¤er from the benchmark index holdings. We compute Active Share for domestic equity mutual funds from 1980 to 2003. We relate Active Share to fund characteristics such as size, expenses, and turnover in the cross-section, and we also examine its evolution over time. Active Share predicts fund performance: funds with the highest Active Share signi…cantly outperform their benchmarks, both before and after expenses, and they exhibit strong performance persistence. Non-index funds with the lowest Active Share underperform their benchmarks. JEL classi…cation: G10, G14, G20, G2