Measuring portfolio performance using a modified measure of risk

This paper reports the results of an investigation into the properties of a theoretical modification of beta proposed by Leland (1999) and based on earlier work of Rubinstein (1976). It is shown that when returns are elliptically symmetric, beta is the appropriate measure of risk and that there are other situations in which the modified beta will be similar to the traditional measure based on the capital asset pricing model. For the case where returns have a normal distribution, it is shown that the criterion either does not exist or reduces exactly to the conventional beta. It is therefore conjectured that the modified measure will only be useful for portfolios that have nonstandard return distributions which incorporate skewness. For such situations, it is shown how to estimate the measure using regression and how to compare the resulting statistic with a traditional estimated beta using Hotelling's test. An empirical study based on stocks from the FTSE350 does not find evidence to support the use of the new measure even in the presence of skewness.Journal of Asset Management (2007) 7, 388-403. doi:10.1057/palgrave.jam.225005

Mechanical strain-mediated reduction in RANKL expression is associated with RUNX2 and BRD2

Mechanical loading-related strains trigger bone formation by osteoblasts while suppressing resorption by osteoclasts, uncoupling the processes of formation and resorption. Osteocytes may orchestrate this process in part by secreting sclerostin (SOST), which inhibits osteoblasts, and expressing receptor activator of nuclear factor-κB ligand (RANKL/TNFSF11) which recruits osteoclasts. Both SOST and RANKL are targets of the master osteoblastic transcription factor RUNX2. Subjecting human osteoblastic Saos-2 cells to strain by four point bending down-regulates their expression of SOST and RANKL without altering RUNX2 expression. RUNX2 knockdown increases basal SOST expression, but does not alter SOST down-regulation following strain. Conversely, RUNX2 knockdown does not alter basal RANKL expression, but prevents its down-regulation by strain. Chromatin immunoprecipitation revealed RUNX2 occupies a region of the RANKL promoter containing a consensus RUNX2 binding site and its occupancy of this site decreases following strain. The expression of epigenetic acetyl and methyl writers and readers was quantified by RT-qPCR to investigate potential epigenetic bases for this change. Strain and RUNX2 knockdown both down-regulate expression of the bromodomain acetyl reader BRD2. BRD2 and RUNX2 co-immunoprecipitate, suggesting interaction within regulatory complexes, and BRD2 was confirmed to interact with the RUNX2 promoter. BRD2 also occupies the RANKL promoter and its occupancy was reduced following exposure to strain. Thus, RUNX2 may contribute to bone remodeling by suppressing basal SOST expression, while facilitating the acute strain-induced down-regulation of RANKL through a mechanosensitive epigenetic loop involving BRD2

Developing and applying heterogeneous phylogenetic models with XRate

Modeling sequence evolution on phylogenetic trees is a useful technique in computational biology. Especially powerful are models which take account of the heterogeneous nature of sequence evolution according to the "grammar" of the encoded gene features. However, beyond a modest level of model complexity, manual coding of models becomes prohibitively labor-intensive. We demonstrate, via a set of case studies, the new built-in model-prototyping capabilities of XRate (macros and Scheme extensions). These features allow rapid implementation of phylogenetic models which would have previously been far more labor-intensive. XRate's new capabilities for lineage-specific models, ancestral sequence reconstruction, and improved annotation output are also discussed. XRate's flexible model-specification capabilities and computational efficiency make it well-suited to developing and prototyping phylogenetic grammar models. XRate is available as part of the DART software package: http://biowiki.org/DART .Comment: 34 pages, 3 figures, glossary of XRate model terminolog

Ancient Chinese medicine and mechanistic evidence of acupuncture physiology

Acupuncture has been widely used in China for three millennia as an art of healing. Yet, its physiology is not yet understood. The current interest in acupuncture started in 1971. Soon afterward, extensive research led to the concept of neural signaling with possible involvement of opioid peptides, glutamate, adenosine and identifying responsive parts in the central nervous system. In the last decade scientists began investigating the subject with anatomical and molecular imaging. It was found that mechanical movements of the needle, ignored in the past, appear to be central to the method and intracellular calcium ions may play a pivotal role. In this review, we trace the technique of clinical treatment from the first written record about 2,200 years ago to the modern time. The ancient texts have been used to introduce the concepts of yin, yang, qi, de qi, and meridians, the traditional foundation of acupuncture. We explore the sequence of the physiological process, from the turning of the needle, the mechanical wave activation of calcium ion channel to beta-endorphin secretion. By using modern terminology to re-interpret the ancient texts, we have found that the 2nd century b.c. physiologists were meticulous investigators and their explanation fits well with the mechanistic model derived from magnetic resonance imaging (MRI) and confocal microscopy. In conclusion, the ancient model appears to have withstood the test of time surprisingly well confirming the popular axiom that the old wine is better than the new

Annotation of two large contiguous regions from the Haemonchus contortus genome using RNA-seq and comparative analysis with Caenorhabditis elegans

The genomes of numerous parasitic nematodes are currently being sequenced, but their complexity and size, together with high levels of intra-specific sequence variation and a lack of reference genomes, makes their assembly and annotation a challenging task. Haemonchus contortus is an economically significant parasite of livestock that is widely used for basic research as well as for vaccine development and drug discovery. It is one of many medically and economically important parasites within the strongylid nematode group. This group of parasites has the closest phylogenetic relationship with the model organism Caenorhabditis elegans, making comparative analysis a potentially powerful tool for genome annotation and functional studies. To investigate this hypothesis, we sequenced two contiguous fragments from the H. contortus genome and undertook detailed annotation and comparative analysis with C. elegans. The adult H. contortus transcriptome was sequenced using an Illumina platform and RNA-seq was used to annotate a 409 kb overlapping BAC tiling path relating to the X chromosome and a 181 kb BAC insert relating to chromosome I. In total, 40 genes and 12 putative transposable elements were identified. 97.5% of the annotated genes had detectable homologues in C. elegans of which 60% had putative orthologues, significantly higher than previous analyses based on EST analysis. Gene density appears to be less in H. contortus than in C. elegans, with annotated H. contortus genes being an average of two-to-three times larger than their putative C. elegans orthologues due to a greater intron number and size. Synteny appears high but gene order is generally poorly conserved, although areas of conserved microsynteny are apparent. C. elegans operons appear to be partially conserved in H. contortus. Our findings suggest that a combination of RNA-seq and comparative analysis with C. elegans is a powerful approach for the annotation and analysis of strongylid nematode genomes

DNA adducts in fish following an oil spill exposure

On 12 December 1999, one third of the load of the Erika tanker, amounting to about 10,000 t crude oil flowed into sea waters close to the French Atlantic Coast. This oil contained polycyclic aromatic compounds (PAC) that are known to be genotoxic. Genotoxic effects induce DNA adducts formation, which can thus be used as pollution biomarkers. Here, we assessed the genotoxic impact of the “Erika” oil spill by DNA adducts detection in the liver of immature fishes (Solea solea) from four locations of the French Brittany coasts. Two months after the spill, a high amount of DNA adducts was found in samples from all locations, amounting to 92–290 DNA adduct per 109 nucleotides. Then total DNA adduct levels decreased to reach about 50 adducts per 109 nucleotides nine months after the spill. In vitro experiments using human cell cultures and fish liver microsomes evidence the genotoxicity of the Erika fuel. They also prove the formation of reactive species able to create DNA adducts. Furthermore, in vitro and in vivo DNA adducts fingerprints are similar, thus confirming that DNA adducts are a result of the oil spill

Neural correlates of enhanced visual short-term memory for angry faces: An fMRI study

Copyright: © 2008 Jackson et al.Background: Fluid and effective social communication requires that both face identity and emotional expression information are encoded and maintained in visual short-term memory (VSTM) to enable a coherent, ongoing picture of the world and its players. This appears to be of particular evolutionary importance when confronted with potentially threatening displays of emotion - previous research has shown better VSTM for angry versus happy or neutral face identities.Methodology/Principal Findings: Using functional magnetic resonance imaging, here we investigated the neural correlates of this angry face benefit in VSTM. Participants were shown between one and four to-be-remembered angry, happy, or neutral faces, and after a short retention delay they stated whether a single probe face had been present or not in the previous display. All faces in any one display expressed the same emotion, and the task required memory for face identity. We find enhanced VSTM for angry face identities and describe the right hemisphere brain network underpinning this effect, which involves the globus pallidus, superior temporal sulcus, and frontal lobe. Increased activity in the globus pallidus was significantly correlated with the angry benefit in VSTM. Areas modulated by emotion were distinct from those modulated by memory load.Conclusions/Significance: Our results provide evidence for a key role of the basal ganglia as an interface between emotion and cognition, supported by a frontal, temporal, and occipital network.The authors were supported by a Wellcome Trust grant (grant number 077185/Z/05/Z) and by BBSRC (UK) grant BBS/B/16178

Maximising response to postal questionnaires – A systematic review of randomised trials in health research

Background Postal self-completion questionnaires offer one of the least expensive modes of collecting patient based outcomes in health care research. The purpose of this review is to assess the efficacy of methods of increasing response to postal questionnaires in health care studies on patient populations. Methods The following databases were searched: Medline, Embase, CENTRAL, CDSR, PsycINFO, NRR and ZETOC. Reference lists of relevant reviews and relevant journals were hand searched. Inclusion criteria were randomised trials of strategies to improve questionnaire response in health care research on patient populations. Response rate was defined as the percentage of questionnaires returned after all follow-up efforts. Study quality was assessed by two independent reviewers. The Mantel-Haenszel method was used to calculate the pooled odds ratios. Results Thirteen studies reporting fifteen trials were included. Implementation of reminder letters and telephone contact had the most significant effect on response rates (odds ratio 3.7, 95% confidence interval 2.30 to 5.97 p = <0.00001). Shorter questionnaires also improved response rates to a lesser degree (odds ratio 1.4, 95% confidence interval 1.19 to 1.54). No evidence was found that incentives, re-ordering of questions or including an information brochure with the questionnaire confer any additional advantage. Conclusion Implementing repeat mailing strategies and/or telephone reminders may improve response to postal questionnaires in health care research. Making the questionnaire shorter may also improve response rates. There is a lack of evidence to suggest that incentives are useful. In the context of health care research all strategies to improve response to postal questionnaires require further evaluation