Breaking into the blackbox: Trend following, stop losses and the frequency of trading - The case of the S&P500

In this article, we compare a variety of technical trading rules in the context of investing in the S&P500 index. These rules are increasingly popular, both among retail investors and CTAs and similar investment funds. We find that a range of fairly simple rules, including the popular 200-day moving average (MA) trading rule, dominate the long-only, passive investment in the index. In particular, using the latter rule we find that popular stop-loss rules do not add value and that monthly end-of-month investment decision rules are superior to those which trade more frequently: this adds to the growing view that trading can damage your wealth. Finally, we compare the MA rule with a variety of simple fundamental metrics and find the latter far inferior to the technical rules over the last 60 years of investing

Two-photon Lithography for 3D Magnetic Nanostructure Fabrication

Ferromagnetic materials have been utilised as recording media within data storage devices for many decades. Confinement of the material to a two dimensional plane is a significant bottleneck in achieving ultra-high recording densities and this has led to the proposition of three dimensional (3D) racetrack memories that utilise domain wall propagation along nanowires. However, the fabrication of 3D magnetic nanostructures of complex geometry is highly challenging and not easily achievable with standard lithography techniques. Here, by using a combination of two-photon lithography and electrochemical deposition, we show a new approach to construct 3D magnetic nanostructures of complex geometry. The magnetic properties are found to be intimately related to the 3D geometry of the structure and magnetic imaging experiments provide evidence of domain wall pinning at a 3D nanostructured junction

Do dividends signal future earnings in the Nordic stock markets?

We study the informational content of dividends on three Nordic civil law markets, where other simultaneous but blurring motives for dividends may be weaker. Using aggregate data on real earnings per share and payout ratios, long time series from 1969 to 2010, and methodologies which address problems of endogeneity, non-stationarity and autocorrelation (including a Vector Error Correction Model approach), we find evidence on dividend signaling in Nordic markets. However, we also find heterogeneity in the relationship between dividends and earnings on markets similar in many respects, suggesting that even small variations in the institutional surroundings may be important for the results

Impact of COVID-19 on vascular patients worldwide: analysis of the COVIDSurg data

BACKGROUND: The COVIDSurg collaborative was an international multicenter prospective analysis of perioperative data from 235 hospitals in 24 countries. It found that perioperative COVID-19 infection was associated with a mortality rate of 24%. At the same time, the COVER study demonstrated similarly high perioperative mortality rates in vascular surgical patients undergoing vascular interventions even without COVID-19, likely associated with the high burden of comorbidity associated with vascular patients. This is a vascular subgroup analysis of the COVIDSurg cohort. // METHODS: All patients with a suspected or confirmed diagnosis of COVID-19 in the 7 days prior to, or in the 30 days following a vascular procedure were included. The primary outcome was 30-day mortality. Secondary outcomes were pulmonary complications (adult respiratory distress syndrome, pulmonary embolism, pneumonia and respiratory failure). Logistic regression was undertaken for dichotomous outcomes. // RESULTS: Overall, 602 patients were included in this subgroup analysis, of which 88.4% were emergencies. The most common operations performed were for vascular-related dialysis access procedures (20.1%, N.=121). The combined 30-day mortality rate was 27.2%. Composite secondary pulmonary outcomes occurred in half of the vascular patients (N.=275, 45.7%). // CONCLUSIONS: Mortality following vascular surgery in COVID positive patients was significantly higher than levels reported pre-pandemic, and similar to that seen in other specialties in the COVIDSurg cohort. Initiatives and surgical pathways that ensure vascular patients are protected from exposure to COVID-19 in the peri-operative period are vital to protect against excess mortality

Identification of Novel Single Nucleotide Polymorphisms (SNPs) in Deer (Odocoileus spp.) Using the BovineSNP50 BeadChip

Single nucleotide polymorphisms (SNPs) are growing in popularity as a genetic marker for investigating evolutionary processes. A panel of SNPs is often developed by comparing large quantities of DNA sequence data across multiple individuals to identify polymorphic sites. For non-model species, this is particularly difficult, as performing the necessary large-scale genomic sequencing often exceeds the resources available for the project. In this study, we trial the Bovine SNP50 BeadChip developed in cattle (Bos taurus) for identifying polymorphic SNPs in cervids Odocoileus hemionus (mule deer and black-tailed deer) and O. virginianus (white-tailed deer) in the Pacific Northwest. We found that 38.7% of loci could be genotyped, of which 5% (n = 1068) were polymorphic. Of these 1068 polymorphic SNPs, a mixture of putatively neutral loci (n = 878) and loci under selection (n = 190) were identified with the FST-outlier method. A range of population genetic analyses were implemented using these SNPs and a panel of 10 microsatellite loci. The three types of deer could readily be distinguished with both the SNP and microsatellite datasets. This study demonstrates that commercially developed SNP chips are a viable means of SNP discovery for non-model organisms, even when used between very distantly related species (the Bovidae and Cervidae families diverged some 25.1−30.1 million years before present)

Prognostic model to predict postoperative acute kidney injury in patients undergoing major gastrointestinal surgery based on a national prospective observational cohort study.

Background: Acute illness, existing co-morbidities and surgical stress response can all contribute to postoperative acute kidney injury (AKI) in patients undergoing major gastrointestinal surgery. The aim of this study was prospectively to develop a pragmatic prognostic model to stratify patients according to risk of developing AKI after major gastrointestinal surgery. Methods: This prospective multicentre cohort study included consecutive adults undergoing elective or emergency gastrointestinal resection, liver resection or stoma reversal in 2-week blocks over a continuous 3-month period. The primary outcome was the rate of AKI within 7 days of surgery. Bootstrap stability was used to select clinically plausible risk factors into the model. Internal model validation was carried out by bootstrap validation. Results: A total of 4544 patients were included across 173 centres in the UK and Ireland. The overall rate of AKI was 14·2 per cent (646 of 4544) and the 30-day mortality rate was 1·8 per cent (84 of 4544). Stage 1 AKI was significantly associated with 30-day mortality (unadjusted odds ratio 7·61, 95 per cent c.i. 4·49 to 12·90; P < 0·001), with increasing odds of death with each AKI stage. Six variables were selected for inclusion in the prognostic model: age, sex, ASA grade, preoperative estimated glomerular filtration rate, planned open surgery and preoperative use of either an angiotensin-converting enzyme inhibitor or an angiotensin receptor blocker. Internal validation demonstrated good model discrimination (c-statistic 0·65). Discussion: Following major gastrointestinal surgery, AKI occurred in one in seven patients. This preoperative prognostic model identified patients at high risk of postoperative AKI. Validation in an independent data set is required to ensure generalizability

Arthroscopic subacromial decompression for subacromial shoulder pain (CSAW): a multicentre, pragmatic, parallel group, placebo-controlled, three-group, randomised surgical trial

Background Arthroscopic sub-acromial decompression (decompressing the sub-acromial space by removing bone spurs and soft tissue arthroscopically) is a common surgery for subacromial shoulder pain, but its effectiveness is uncertain. We did a study to assess its effectiveness and to investigate the mechanism for surgical decompression. Methods We did a multicentre, randomised, pragmatic, parallel group, placebo-controlled, three-group trial at 32 hospitals in the UK with 51 surgeons. Participants were patients who had subacromial pain for at least 3 months with intact rotator cuff tendons, were eligible for arthroscopic surgery, and had previously completed a non-operative management programme that included exercise therapy and at least one steroid injection. Exclusion criteria included a full-thickness torn rotator cuff. We randomly assigned participants (1:1:1) to arthroscopic subacromial decompression, investigational arthroscopy only, or no treatment (attendance of one reassessment appointment with a specialist shoulder clinician 3 months after study entry, but no intervention). Arthroscopy only was a placebo as the essential surgical element (bone and soft tissue removal) was omitted. We did the randomisation with a computer-generated minimisation system. In the surgical intervention groups, patients were not told which type of surgery they were receiving (to ensure masking). Patients were followed up at 6 months and 1 year after randomisation; surgeons coordinated their waiting lists to schedule surgeries as close as possible to randomisation. The primary outcome was the Oxford Shoulder Score (0 [worst] to 48 [best]) at 6 months, analysed by intention to treat. The sample size calculation was based upon a target difference of 4·5 points (SD 9·0). This trial has been registered at ClinicalTrials.gov, number NCT01623011. Findings Between Sept 14, 2012, and June 16, 2015, we randomly assigned 313 patients to treatment groups (106 to decompression surgery, 103 to arthroscopy only, and 104 to no treatment). 24 [23%], 43 [42%], and 12 [12%] of the decompression, arthroscopy only, and no treatment groups, respectively, did not receive their assigned treatment by 6 months. At 6 months, data for the Oxford Shoulder Score were available for 90 patients assigned to decompression, 94 to arthroscopy, and 90 to no treatment. Mean Oxford Shoulder Score did not differ between the two surgical groups at 6 months (decompression mean 32·7 points [SD 11·6] vs arthroscopy mean 34·2 points [9·2]; mean difference −1·3 points (95% CI −3·9 to 1·3, p=0·3141). Both surgical groups showed a small benefit over no treatment (mean 29·4 points [SD 11·9], mean difference vs decompression 2·8 points [95% CI 0·5–5·2], p=0·0186; mean difference vs arthroscopy 4·2 [1·8–6·6], p=0·0014) but these differences were not clinically important. There were six study-related complications that were all frozen shoulders (in two patients in each group). Interpretation Surgical groups had better outcomes for shoulder pain and function compared with no treatment but this difference was not clinically important. Additionally, surgical decompression appeared to offer no extra benefit over arthroscopy only. The difference between the surgical groups and no treatment might be the result of, for instance, a placebo effect or postoperative physiotherapy. The findings question the value of this operation for these indications, and this should be communicated to patients during the shared treatment decision-making process. Funding Arthritis Research UK, the National Institute for Health Research Biomedical Research Centre, and the Royal College of Surgeons (England)

Yes, implied volatilities are not informationally efficient: an empirical estimate using options on interest rate futures contracts

The accuracy of volatility forecast estimators has been assessed using daily overlapping and non overlapping observations on two major short-term interest rate futures contracts traded in London. The use of a panelized data set has eliminated some of the drawbacks usually associated with non overlapping data estimation, such as the lack of accuracy due to an insufficient number of observations or the arbitrariness of the choice of tenor. In the same way non stationarity and long memory characteristics of daily overlapping time series are disposed of. Information content estimation in levels associated with the Hansen (1982) variance covariance matrix estimator provides reasonably accurate estimates, broadly similar to the corresponding benchmark panel data ones