Benchmark-adjusted performance of US equity mutual funds and the issue of prospectus benchmarks

This study examines the impact of mismatch between prospectus benchmark and fund objectives on benchmark-adjusted fund performance and ranking in a sample of 1281 US equity mutual funds. All funds in our sample report S&P500 index as a prospectus benchmark, yet 2/3 of those are placed in the Morningstar category with risk and objectives different to those of the S&P500 index. We identify more appropriate ‘category benchmarks’ for those mismatched funds and obtain their benchmark-adjusted alphas using recent Angelidis et al. (J Bank Finance 37(5):1759–1776, 2013) methodology. We find that S&P500-adjusted alphas are higher than ‘category benchmark’-adjusted alphas in 61.2% of the cases. In terms of fund quartile rankings, 30% of winner funds lose that status when the prospectus benchmark is substituted with the one better matching their objectives. In the remaining performance quartiles, there is no clear advantage of using S&P 500 as a benchmark. Hence, the prospectus benchmark can mislead investors about fund’s relative performance and ranking, so any reference to performance in a fund’s prospectus should be treated with caution

UK equity mutual fund alphas make a comeback

In this study, we re-visit the performance of 887 active UK equity mutual funds using a new approach proposed by Angelidis, Giamouridis, and Tessaromatis. The authors argue that mutual funds stock selection is driven by the benchmark index, so if the benchmark generates alpha, there will be a bias in interpretation of manager's stock-picking ability. In their model, the alpha of a fund is adjusted by the benchmark's alpha. By applying this method, we eliminate bias inflicted by the persistently negative alphas of FTSE 100 Index in the period 1992-2013. We find that adjusted Fama-French and Carhat alphas of UK equity mutual funds are higher than those implied by the standard three- and four-factor models and are overall positive, contrary to most of the existing literature on UK fund performance. This result is consistent across funds' investment styles and robust to the use of FTSE Small Cap as benchmark for a sub-sample of small cap funds

Review of new trends in the literature on factor models and mutual fund performance

In this paper we provide critical review of recent developments in the mutual fund performance evaluation literature. The new literature centres around two main themes: enhancing explanatory power of the standard Fama-French-Carhart factor models by augmenting them with different factors and altering standard models to account for presence of non-zero alphas in passive indices used as fund benchmarks. The latter includes the literature providing solutions for scenarios in which those benchmarks do not match fund objectives. We find that in the plethora of suggested ‘missing’ factors, not one can be universally used to explain all anomalies or price all stocks. We also find that new models that adjust a fund's standard Carhart alpha for alpha of its benchmark or for commonalities in its peer–group, provide additional information on fund performance to that given by the standard models. Specifically, these models give account of fund's relative performance - to the benchmark or the peer-group, which is of use to investors

Diffusion behavior of water confined in deformed carbon nanotubes

We use molecular dynamics simulations to study the diffusion of water inside deformed carbon nanotubes, with different degrees of eccentricity at 300K. We found a water structural transition between tubular-like to single-file for the (7,7) nanotubes associated with a change from a high to low mobility regimes. The water which in the undeformed (9,9) nanotubes is frozen, becomes liquid for the distortion above a certain threshold. These water diffusion enhancement (suppresion) is related to a reduction (increase) in the number of hydrogen bonds. This suggests that the shape of the nanotube is a particularly important ingredient when considering the dynamical and structural properties of confined water.Comment: 16 pages, 9 figure

Agronomic Evaluation of 324 Intraspecific Hybrids of \u3cem\u3eBrachiaria decumbens\u3c/em\u3e in Brazil

Brachiaria decumbens cv. Basilisk is the most planted pasture grass in the tropics owing to its adaptation to poor and acid soils, typical of the tropics, plus good animal performance. This cultivar was responsible for a radical change of scenario in central Brazil in the early 1970s and is the only cultivar available commercially. Efforts to breed this species have been recent, as the successful somatic chromosome duplication of sexually reproducing diploid plants of B. decumbens was accomplished only in 2009 (Simioni and Valle 2009). Subsequently, intraspecific crosses with natural apomictic tetraploid accessions were carried out. Breeding is needed since cv. Basilisk is susceptible to grassland spittlebugs, which limit its widespread use. A recurrent selection scheme has been devised to improve the species and the first progeny are now under evaluation. This paper reports the preliminary results of the agronomic evaluation of 324 intraspecific hybrids of B. decumbens

Exploring hydrogen production for self-energy generation in electroremediation: A proof of concept

UID/AMB/04085/2019. PTDC/FIS-NAN/0909/2014. SFRH/BD/114674/2016. PD\BD \135170\2017.Electrodialytic technologies are clean-up processes based on the application of a low-level electrical current to produce electrolysis reactions and the consequent electrochemically-induced transport of contaminants. These treatments inherently produce electrolytic hydrogen, an energy carrier, at the cathode compartment, in addition to other cathode reactions. However, exploring this by-product for self-energy generation in electroremediation has never been researched. In this work we present the study of hydrogen production during the electrodialytic treatment of three different environmental matrices (briny water, effluent and mine tailings), at two current intensities (50 and 100 mA). In all cases, hydrogen gas was produced with purities between 73% and 98%, decreasing the electrical costs of the electrodialytic treatment up to ≈7%. A proton-exchange membrane fuel cell was used to evaluate the possibility to generate electrical energy from the hydrogen production at the cathode, showing a stable output (~1 V) and demonstrating the proof of concept of the process.authorsversionpublishe