Optimal characteristic portfolios

Characteristic-sorted portfolios are the workhorses of modern empirical finance, deployed widely to evaluate anomalies and construct asset pricing models. We propose a new method for their estimation that is simple to compute, makes no ex-ante assumption on the nature of the relationship between the characteristic and returns, and does not require ad hoc selections of percentile breakpoints or portfolio weighting schemes. Characteristic portfolio weights are implied directly from data, through maximizing a Mean–Variance objective function with mean and variance estimated non-parametrically from the cross-section of assets. To illustrate the method, we evaluate the size, value and momentum anomalies and find overwhelming empirical evidence of the outperformance of our methodology compared to standard methods for constructing characteristic-sorted portfolios

Calcium alginate microencapsulation of ovarian follicles impacts FSH delivery and follicle morphology

BACKGROUND: We have previously shown that suspension culture prevents follicle flattening and maintains three-dimensional follicle architecture better than culture on flat plates. However, many of the follicles cultured in suspension do eventually rupture, as basement membrane integrity is lost and the three-dimensional structure of the follicle is altered. Therefore, the objective of this study is to support three-dimensional follicle architecture during in vitro growth of ovarian follicles through encapsulation in calcium alginate, while maintaining responsiveness to FSH stimulation. METHODS: Preantral follicles (150 – 160 micrometers in diameter) were isolated from the ovaries of juvenile rats and grown in culture tubes or encapsulated in calcium alginate and grown in culture tubes. Previous studies revealed that follicles maintained structural integrity but did not grow as well when encapsulated in calcium alginate. In these studies, we evaluated the effect of calcium alginate on FSH-stimulated follicle growth, survival, and morphology in suspension culture. Follicles were grown under 5 culture conditions: 1) not encapsulated; with FSH in the medium, 2) encapsulated in the absence of FSH, grown in medium without FSH, 3) encapsulated with calcium alginate containing FSH but grown in medium without FSH, 4) encapsulated without FSH but grown in medium containing FSH and 5) encapsulated with calcium alginate containing FSH and in medium containing FSH. To assess growth rates, follicles were cultured for 72 hours and analyzed for follicle size increase and DNA content. Survival analysis for encapsulated and unencapsulated follicles was performed by constructing a Kaplan Meier survival curve of daily observations of intact follicle survival. Three-dimensional architecture was assessed histologically and by analysis of the pattern of connexin 43 expression in the cultured follicles. RESULTS: In the absence of FSH, follicle diameter increased by only 6.4%. When FSH was included in the alginate bead alone or the media alone, the follicle diameter increased by 13.5% and 19.9% respectively. This was greater than follicles cultured in the absence of FSH (p < 0.05), but less than that of the FSH-treated unencapsulated follicles (p < 0.05). However, when follicles were cultured with FSH included in both the media and the bead, a 32.6% increase in follicle diameter was observed, statistically no different than the growth rate of the unencapsulated follicles grown with FSH. CONCLUSION: Microencapsulation supports three-dimensional follicle growth, but may limit access to hormones in the medium resulting in altered development compared to unencapsulated follicles. Inclusion of FSH in the alginate bead restores the follicle growth response to FSH, while also providing a scaffold of support for three-dimensional growth. The application of tissue engineering principles to the problems of follicle culture in vitro may provide advances applicable to fertility preservation in women and endangered species

The GEEC2 spectroscopic survey of Galaxy Groups at 0.8<z<10.8<z<1

We present the data release of the Gemini-South GMOS spectroscopy in the fields of 11 galaxy groups at $0.8<z<1$, within the COSMOS field. This forms the basis of the Galaxy Environment Evolution Collaboration 2 (GEEC2) project to study galaxy evolution in haloes with $M\sim 10^{13}M_\odot$ across cosmic time. The final sample includes $162$ spectroscopically--confirmed members with $R50$ per cent complete for galaxies within the virial radius, and with stellar mass $M_{\rm star}>10^{10.3}M_\odot$. Including galaxies with photometric redshifts we have an effective sample size of $\sim 400$ galaxies within the virial radii of these groups. We present group velocity dispersions, dynamical and stellar masses. Combining with the GCLASS sample of more massive clusters at the same redshift we find the total stellar mass is strongly correlated with the dynamical mass, with $\log{M_{200}}=1.20\left(\log{M_{\rm star}}-12\right)+14.07$. This stellar fraction of $~\sim 1$ per cent is lower than predicted by some halo occupation distribution models, though the weak dependence on halo mass is in good agreement. Most groups have an easily identifiable most massive galaxy (MMG) near the centre of the galaxy distribution, and we present the spectroscopic properties and surface brightness fits to these galaxies. The total stellar mass distribution in the groups, excluding the MMG, compares well with an NFW profile with concentration $4$, for galaxies beyond $\sim 0.2R_{200}$. This is more concentrated than the number density distribution, demonstrating that there is some mass segregation.Comment: Accepted for publication in MNRAS. The appendix is omitted due to large figures. The full version will be available from the MNRAS website and from http://quixote.uwaterloo.ca/~mbalogh/papers/GEEC2_data.pdf. Long data tables are available from MNRAS or by contacting the first autho

Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic

The COVID-19 pandemic provided the first widespread bear market conditions since the inception of cryptocurrencies. We test the widely mooted safe haven properties of Bitcoin, Ethereum and Tether from the perspective of international equity index investors. Bitcoin and Ethereum are not a safe haven for the majority of international equity markets examined, in fact increasing portfolio downside risk. Only investors in the Chinese CSI 300 index realized modest downside risk benefits, but only from small relative allocations to Bitcoin or Ethereum. As Tether successfully maintained its peg to the US dollar during the COVID-19 turmoil, it acted as a safe haven investment for all of the international indices examined. We caveat the latter findings with a warning that this dollar peg has not always been maintained, impairing the earlier downside risk hedging properties of Tether

The very large G-protein coupled receptor VLGR1: a component of the ankle link complex required for the normal development of auditory hair bundles

Sensory hair bundles in the inner ear are composed of stereocilia that can be interconnected by a variety of different link types, including tip links, horizontal top connectors, shaft connectors, and ankle links. The ankle link antigen is an epitope specifically associated with ankle links and the calycal processes of photoreceptors in chicks. Mass spectrometry and immunoblotting were used to identify this antigen as the avian ortholog of the very large G-protein-coupled receptor VLGR1, the product of the Usher syndrome USH2C (Mass1) locus. Like ankle links, Vlgr1 is expressed transiently around the base of developing hair bundles in mice. Ankle links fail to form in the cochleae of mice carrying a targeted mutation in Vlgr1 (Vlgr1/del7TM), and the bundles become disorganized just after birth. FM1-43 [N-(3-triethylammonium)propyl)-4-(4-(dibutylamino)styryl) pyridinium dibromide] dye loading and whole-cell recordings indicate mechanotransduction is impaired in cochlear, but not vestibular, hair cells of early postnatal Vlgr1/del7TM mutant mice. Auditory brainstem recordings and distortion product measurements indicate that these mice are severely deaf by the third week of life. Hair cells from the basal half of the cochlea are lost in 2-month-old Vlgr1/del7TM mice, and retinal function is mildly abnormal in aged mutants. Our results indicate that Vlgr1 is required for formation of the ankle link complex and the normal development of cochlear hair bundles

Trial Registration and Declaration of Registration by Authors of Randomized Controlled Trials

Background: Trial registration was introduced to reduce research bias by promoting trial transparency and accountability. We aimed to evaluate the frequency of, and factors associated with, trial registration and declaration of trial registration. Methods: We selected all randomized controlled trials in kidney transplantation published between October 2005 and December 2010 and determined whether a trial was registered and whether a trial declared their registration in subsequent trial reports. Results: Of 307 eligible trials identified, 24% (74/307) were registered, and of those, 59% (44/74) contained trial registration details within at least one trial report. Trial registration was more likely for trials published more than once, in later years or reported in journals that followed the International Committee of Medical Journal Editors guidelines. Trial registration was less likely for trials that did not declare their funding sources. Registered trials were more likely to declare registration details in related reports if published in later years or in a journal that followed International Committee of Medical Journal Editors guidelines. Trials that did not declare their funding sources were less likely to declare registration details. Conclusions: Although still suboptimal, the situation is improving over time, with both trial registration and declaration of registration details more likely in later years

Slan 2007: one island - one lifestyle? Health and lifestyles in the Republic of Ireland and Northern Ireland: comparing the population surveys of Slan 2007 and NIHSWS 2005.

The aim of this report is to provide a profile of lifestyles, health attitudes and behaviours, together with activities that promote or damage health, in the Republic of Ireland and Northern Ireland. Regular monitoring of the population in these regions provides essential information for planning and policy regarding population health. Comparisons of present and previous study findings in a given population, and of findings in complementary settings, contribute significantly to our understanding of contemporary trends and the potential effects of interventions. Comparisons between the Republic of Ireland and Northern Ireland have a unique value because of the many similarities and differences between the two parts of the island. However, such comparisons are seldom undertaken. This report takes the opportunity to compare two population surveys – the 2007 Survey of Lifestyle, Attitudes and Nutrition (SLÁN) conducted in the Republic of Ireland and the 2005 Northern Ireland Health and Social Well-being Survey (NIHSWS) conducted in Northern Ireland. • SLÁN 2007 involved 10,364 respondents in the Republic of Ireland (RoI). Fieldwork was conducted from November 2006 to October 2007, and involved face-to-face interviews with adults aged 18 years and older at home addresses. The response rate to the survey was 62%. • NIHSWS 2005 involved 4,245 respondents in Northern Ireland (NI). Fieldwork was conducted from February 2005 to March 2006 and involved face-to-face interviews with people aged 16 years and older at home addresses. The response rate to the survey was 66%