Momentum and Contrarian Stock-Market Indices

We propose a new class of investable momentum and contrarian stock-market indices that partition a benchmark index, such as the Russell 1000. Our momentum indices overweight stocks that have recently outperformed, while our contrarian indices underweight these same stocks. Our index construction methodology is extremely flexible, and allows the index provider to trade-off the distinctiveness of the momentum/contrarian strategies with portfolio turnover. Momentum investment styles in particular typically entail a high level of turnover, and hence high associated transaction costs. The creation of momentum and contrarian indices and exchange traded funds (ETFs) based on our methodology would allow investors to access these styles at lower cost than is currently possible. Our indices also provide performance benchmarks for momentum/contrarian investment managers, and good proxies for a momentum factor. Over the period 1995- 2007 we find that short term momentum and long term contrarian indices outperform the reference Russell 1000 index. We also document the changing interaction between the momentum/contrarian and value/growth styles.Momentum index; Contrarian index; Performance measurement; Turnover; Momentum factor; Behavioral finance

Graduate Recital:Jon Hill, Guitar

Kemp Recital Hall Thursday Evening April 15, 1999 7:30p.m

High Performance: Exploratory Study into the High Performance Model and Qualitative Secondary Analysis of Elite Sport Management in the United States

This dissertation examines the area of high performance in elite sport through high performance professionals’ perspectives in the United States Olympic and Paralympic National Governing Bodies. The study’s purpose was to establish a shared meaning of the high performance sport management model by its elements in the athletic arena. Interviews with 16 high performance directors and managers were conducted to establish definitions, backgrounds, and anatomy of high performance in sport: high performance, high performance sport, high performance management, high performance model. A qualitative secondary analysis was conducted to examine the high performance model in the U.S. and explore the job responsibilities of high performance directors in elite sport. In particular to this study, the secondary research questions were a part of the original question script, allowing data analysis from responses within the original interviews. This paper introduces and recognizes two separate high performance models, an International and a United States model, along with introducing a functional definition of the elements that represent the two models. As part of improving the high performance approach, management and leadership characteristics are presented to strengthen organizations and leaders in elite sport development. A university degree program and internship placement strategies are suggested as a core education and student experience to introduce future elite sports leaders to the high performance environment. The study’s findings show a lack of definition, implementation, and understanding of high performance management and the high performance model in this country. High performance consists of elite-level athletes competing on the professional or world stage, supported by coaches, sport sciences, and a high performance department that assists performance improvement through management and administration, not solely through direct athlete performance services. Establishing a common approach to high performance management is essential for performance development personnel to progress and enhance training quality for the athlete and staff here in the United States

Mutual Fund Style, Characteristic-Matched Performance Benchmarks and Activity Measures: A New Approach

We propose a new approach for measuring mutual fund style and constructing characteristic-matched performance benchmarks that requires only portfolio holdings and two reference portfolios in each style dimension. The characteristic-matched performance benchmark literature typically follows a bottom-up approach by first matching individual stocks with benchmarks and then obtaining a portfolio’s excess return as a weighted average of the excess returns on each of its constituent stocks. Our approach is fundamentally different in that it matches portfolios and benchmarks directly. We illustrate our approach using portfolio holdings of 1183 fund managers over the period 2002-2009. We characterize the cross-section of fund manager styles and show how average style changes over time. The tracking error volatilities of our characteristic-matched benchmarks compare favorably with those of existing methods. Using our benchmarks we explore the link between activity and performance.Performance Measurement; Tailored Benchmark; Characteristic Matching; Size Profile; Growth Profile; Activity; Excess Return.

The use of clamping grips and friction pads by tree frogs for climbing curved surfaces

Most studies on the adhesive mechanisms of climbing animals have addressed attachment against flat surfaces, yet many animals can climb highly curved surfaces, like twigs and small branches. Here we investigated whether tree frogs use a clamping grip by recording the ground reaction forces on a cylindrical object with either a smooth or anti-adhesive, rough surface. Furthermore, we measured the contact area of fore and hindlimbs against differently sized transparent cylinders and the forces of individual pads and subarticular tubercles in restrained animals. Our study revealed that frogs use friction and normal forces of roughly a similar magnitude for holding on to cylindrical objects. When challenged with climbing a non-adhesive surface, the compressive forces between opposite legs nearly doubled, indicating a stronger clamping grip. In contrast to climbing flat surfaces, frogs increased the contact area on all limbs by engaging not just adhesive pads but also subarticular tubercles on curved surfaces. Our force measurements showed that tubercles can withstand larger shear stresses than pads. SEM images of tubercles revealed a similar structure to that of toe pads including the presence of nanopillars, though channels surrounding epithelial cells were less pronounced. The tubercles' smaller size, proximal location on the toes and shallow cells make them probably less prone to buckling and thus ideal for gripping curved surfaces

Modelling of Reefs and Shallow Marine Carbonates

Carbonate sediments are often highly heterogeneous due to the numerous factors that control deposition. Understanding the processes and controls that are responsible for such complexity has, however, proved problematic. In addition, several of these processes are non-linear, so that depositional stratigraphies may consequently form complicated, perhaps even chaotic, geometries. Forward modelling can help us to understand the interactions between the various processes involved. Here a new three-dimensional forward model of carbonate production and deposition is presented, Carbonate GPM, which is specifically designed to test the interactions between the three main carbonate production controls: light intensity, wave power and carbonate supersaturation, the latter of which is unique to this model. The model also includes transport processes specific to the reef sediment only. The effect of supersaturation and reef transport is demonstrated by comparing the output of three, otherwise, identical runs. From these simulations the need to accurately model the flow of water around a reef system and to correctly take into the account the binding nature of reefal sediments can be seen. Analysis of the stratigraphy generated by changing the antecedent topography by 1m in one locality over a 50km square platform suggest that it may be impossible to predict in detail the stratigraphy of carbonate deposits due to its sensitivity to initial conditions or controlling parameters. This reinforces the conclusions reached using previous process models. However, unlike previous models, our model does not explicitly include nonlinear biological interactions as a control. Instead it shows that similar sensitive behaviour may originate from physicochemical processes alone. External factors, such as sea-level changes, will also influence the complex stratigraphy generated by the model. The effect of several different relative sea-level curves was assessed, each corresponding to a combination of three different hierarchies of sea-level oscillations. Large-scale external processes dominate internal processes, dampening their effect on stratigraphy. However, small-scale, high frequency external processes coupled with autocyclic processes do not show any discernable stratigraphic differences from autocyclcic processes alone. The model also produces an exponential cycle thickness distributions that are similar to those found in ancient deposits

Markov chain analysis of succession in a rocky subtidal community

Author Posting. © University of Chicago Press, 2004. This article is posted here by permission of University of Chicago Press for personal use, not for redistribution. The definitive version was published in American Naturalist 164 (2004): E46-E61.We present a Markov chain model of succession in a rocky subtidal community based on a long-term (1986–1994) study of subtidal invertebrates (14 species) at Ammen Rock Pinnacle in the Gulf of Maine. The model describes successional processes (disturbance, colonization, species persistence, and replacement), the equilibrium (stationary) community, and the rate of convergence. We described successional dynamics by species turnover rates, recurrence times, and the entropy of the transition matrix. We used perturbation analysis to quantify the response of diversity to successional rates and species removals. The equilibrium community was dominated by an encrusting sponge (Hymedesmia) and a bryozoan (Crisia eburnea). The equilibrium structure explained 98% of the variance in observed species frequencies. Dominant species have low probabilities of disturbance and high rates of colonization and persistence. On average, species turn over every 3.4 years. Recurrence times varied among species (7–268 years); rare species had the longest recurrence times. The community converged to equilibrium quickly (9.5 years), as measured by Dobrushin’s coefficient of ergodicity. The largest changes in evenness would result from removal of the dominant sponge Hymedesmia. Subdominant species appear to increase evenness by slowing the dominance of Hymedesmia. Comparison of the subtidal community with intertidal and coral reef communities revealed that disturbance rates are an order of magnitude higher in coral reef than in rocky intertidal and subtidal communities. Colonization rates and turnover times, however, are lowest and longest in coral reefs, highest and shortest in intertidal communities, and intermediate in subtidal communities.This research was supported by National Science Foundation grants DEB-9527400, OCE-981267, OCE-9302238, and OCE-0083976 and by the National Oceanic and Atmospheric Administration’s National Undersea Research Program, University of Connecticut—Avery Point

The Supertree Toolkit 2:A new and improved software package with a Graphical User Interface for supertree construction

Building large supertrees involves the collection, storage, and processing of thousands of individual phylogenies to create large phylogenies with thousands to tens of thousands of taxa. Such large phylogenies are useful for macroevolutionary studies, comparative biology and in conservation and biodiversity. No easy to use and fully integrated software package currently exists to carry out this task. Here, we present a new Python-based software package that uses well defined XML schema to manage both data and metadata. It builds on previous versions by 1) including new processing steps, such as Safe Taxonomic Reduction, 2) using a user-friendly GUI that guides the user to complete at least the minimum information required and includes context-sensitive documentation, and 3) a revised storage format that integrates both tree- and meta-data into a single file. These data can then be manipulated according to a well-defined, but flexible, processing pipeline using either the GUI or a command-line based tool. Processing steps include standardising names, deleting or replacing taxa, ensuring adequate taxonomic overlap, ensuring data independence, and safe taxonomic reduction. This software has been successfully used to store and process data consisting of over 1000 trees ready for analyses using standard supertree methods. This software makes large supertree creation a much easier task and provides far greater flexibility for further work

How Design of Online Learning Materials can Accommodate the Heterogeneity in Student Abilities, Aptitudes and Aspirations

We describe the challenges facing higher education in terms of the heterogeneity of the cohort of students that arrive at university. The reasons why such diversity exists are many: students differ widely in terms of their preparedness for study at university, their degree choice aspirations and the issue of motivation for study of a particular subject. We illustrate how well-designed e-learning course materials can support many of the particular facets of heterogeneity by offering an inherently non-linear pathway through a collection of materials, so as to offer a degree of personalisation of the learning experience.\ud Drawing on our own experience of several years’ development of extensive online materials to support the traditional teaching methods of a large first year physics course at the University of Edinburgh, we highlight three aspects of the design of e-learning materials that facilitate this personalisation. These are: a highly granular source of individual learning objects; online constructions (‘one-downs’ and ‘popups’) that provide additional depth and breadth of material; and the ability to import external resources adapted to the local context