Commodity Trading Advisor Indexes And Alpha Generation Relationships

This research investigates the trend following relationships between Commodity Trading Advisor (CTA) Indexes and a widely known trend following proxy Index using a database covering 21 years with 24 CTA, Managed Futures, and Hedge Fund (that can trade CTA-like) Indexes.  The trend following relationships are tested using a modification of the Methodology employed by Baesel, Gonzalez-Heres, Chen, & Shin (2012).  A unique Alpha adjustment is proposed to include the traditional Alpha plus or minus a reward or penalty for displaying relationships to the larger positive and negative returns of the trend following Index proxy.  Results for the first sample period show evidence of at least some association of the returns of the trend following proxy to those of the individual CTA Indexes; however, most of the Indexes showed little to no statistical support for much traditional or adjusted Total Alpha generation.  For the second sample period the regression results show that almost none of the Indexes had a statistically significant association with the monthly total returns of the trend following proxy Index.  Instead, generally all of the Indexes showed the impact of the larger monthly returns of the trend following proxy Index such that the Alpha adjustments overall were positive and, on average, generated approximately 50% of the Total Alpha of the individual CTA Indexes

Hedge Funds: Do They Do What They Say They Do?

The purpose of this research is two-fold, to determine if hedge funds follow their stated strategy styles and to examine how hedge funds’ strategy allocations evolve over time in response to changed economic and market conditions.  Our key advance is that we show that standard linear style models like that of Sharpe (1992) can be applied to hedge fund returns as long as the returns of the style indices in the model themselves display the nonlinear option-like characteristics of hedge fund returns.  For our research, the returns of our sample of Funds of Hedge Funds are strongly correlated to the returns of portfolios of hedge fund investment style indices.  In this way, we capture the spirit of Fung & Hsieh's (2002) Asset-Based Style Factors for Hedge Funds.  Based on our results, it appears that the answer to the first question is “somewhat”, while we find ample evidence of significant shifts in allocation among the Fund of Hedge Funds from the first sample period (1997-2001) to the second (2002-2006).  The changes in allocation appear to rationally reflect the changed economic conditions and investment opportunities existing at the time

Learning To Invest A New Frontier

The purpose of this paper is to introduce a new and innovative course in the field of Finance, promoting the notion of “hands-on” instruction through the management of real-dollars.  This course solely focuses on the management of such a Student Managed Fund (SMF).  Employing a seminar setting on the undergraduate level, while using the latest security analysis technology, students take part in every aspect of fund management.  From the initial stages of forming an investment strategy, to the later stages of portfolio reallocation, students are grounded in reality.  This paper will illustrate the objectives set forth by the professor(s) and the methods used by the students to accomplish said goals.  The focus will be on the differences in risk preferences and actions due to the management of real money versus simulated “play money,” as well as the benefits garnered from such a course.  In conjunction with the introduction of this new course, this research will formulate the methodology behind the use of a real-time financial analysis platform, such as SDS MarketWatch, to create and manage a portfolio.  Lastly, the benefits of using such a real-time financial analysis platform will be made evident

A Cross-Sectional Analysis of the Association between Physical Activity and Visceral Adipose Tissue Accumulation in a Multiethnic Cohort

Higher levels of VAT at the same body size and lower levels of physical activity (PA) have been reported in persons of Chinese and South Asian origin compared to European origin. The purpose of this study was to test the hypothesis that higher levels of VAT in persons of Chinese and South Asian origin versus European origin are associated with lower levels of PA. Chinese, European, and South Asian participants were assessed for sociodemographics, obesity-related measures, anthropometrics, and PA. Bivariate correlations, analysis of covariance, and regression models were used to explore ethnic differences in PA and the role of PA in explaining obesity-related measures. We observed ethnic differences in both body fat distribution and PA. Chinese and South Asians had higher amounts of VAT at a given BMI but lower amounts of moderate PA, vigorous PA, and moderate-to-vigorous PA (MVPA). Furthermore, we found ethnic-specific differences in the associations between body fat distribution and PA with only Europeans showing a consistent negative relationship between body fat distribution and PA. When ethnic differences in PA were taken into account, there were no longer any differences in VAT between the Chinese and European groups, while VAT remained higher in South Asians than Europeans

Effect of Transforming Growth Factor Beta (TGF Beta) and Vitamin D3 Metabolites on Protein Kinase C Mediated Signal Transduction in Rat Costochondral Chondrocyte Cultures.

It is Imown that vitamin D3 metabolites and transforming growth factor % (TOF-J3) regulate proliferation and differentiation of chondrocytes isolated from the growth zone or resting zone of rat costochondral cartilage. It was hypothesized that both TGF-% and the vitamin D metabolites play a role in signal transduction in the rat costochondral chondrocyte model and that the regulation of protein kinase C by these metabolites would be cell maturation- dependent. Confluent, fourth passage cultures of growth zone and resting zone chondrocytes were treated with vitamin D3 metabolites for up to 24 hours, lysed, and the cell extracts assayed for protein kinase C (PKC) specific activity using a specific peptide substrate. The addition of i,25-(OH)2D3 to growth zone chondrocyte cultures resulted in a rapid, dose dependent stimulation of PKC specific activity.http://archive.org/details/effectoftransfor109451080

FREIGHT CONTAINER LIFTING STANDARD

This standard details the correct methods of lifting and handling Series 1 freight containers following ISO-3874 and ISO-1496. The changes within RPP-40736 will allow better reading comprehension, as well as correcting editorial errors

Development and Validation of a Multi-domain Multimorbidity Resilience Index for an Older Population: Results from the Baseline Canadian Longitudinal Study on Aging

Background  Multimorbidity is recognized as a major public health issue that increases with age and affects approximately two-thirds of older people in Canada, the US, Australia and many European countries. This study develops and tests a three domain (functional, social and psychological) multimorbidity resilience composite index based on a previously developed lifecourse model of multimorbidity resilience, incorporating measures of adversity and positive adaptation. The criterion validity of the measure is demonstrated by means of an analysis of key outcome variables drawn from the literature. Methods  We used the baseline data from the Comprehensive Cohort of the Canadian Longitudinal Study on Aging. Associations of functional, social, psychological as well as total resilience with two health utilization and three illness context outcome variables were examined using logistic regression analyses, adjusted for age, gender, marital status, income, education, region, and number of chronic conditions. Results  The sample included all 6771 Canadian adults aged 65 or older (mean age 73.0, 57% women) who reported two or more of 27 possible chronic conditions. Total resilience was associated with: perceived health (OR = 1.68, CI 1.59–1.77); sleep quality (OR = 1.34, CI 1.30–1.38); perceived pain (OR = 0.80, CI 0.77–0.83); hospital overnight stays (OR = 0.87, CI 0.83–0.91); and emergency department visits (OR = 0.90, CI 0.87–0.94)., after adjusting for socio-demographic factors, and number of chronic conditions. These associations were similar for the unadjusted models, as well as for the functional, social and psychological resilience sub-indices. Conclusions  Combining components of adversity and positive adaptation within functional, social and psychological domains produces a measure of multimorbidity resilience that is associated with more positive health outcomes. Several implications of a composite multimorbidity resilience measure for clinical practice are identified. This measure can be replicated using measures found in other secondary health data sets. Future validation using longitudinal data is warranted

A Stein characterisation of the generalized hyperbolic distribution

The generalized hyperbolic (GH) distributions form a five parameter family of probability distributions that includes many standard distributions as special or limiting cases, such as the generalized inverse Gaussian distribution, Student's $t$-distribution and the variance-gamma distribution, and thus the normal, gamma and Laplace distributions. In this paper, we consider the GH distribution in the context of Stein's method. In particular, we obtain a Stein characterisation of the GH distribution that leads to a Stein equation for the GH distribution. This Stein equation reduces to the Stein equations from the current literature for the aforementioned distributions that arise as limiting cases of the GH superclass.Comment: 19 pages, to appear in ESAIM: Probability and Statistics, 2017