New Paradigms for Evaluating Performance and Performance Persistency of Domestic and Globally Diversified Portfolios

This manuscript reexamines performance evaluation of managed portfolios. Past measures of portfolio evaluation such as the Sharpe, Treynor, and Jensen measures are subject either to the inability to rank performance based on statistical significance, or are dependent on both a single factor CAPM return generating process and the selected market portfolio. Recent studies show performance ranking is sensitive to the selection of the market proxy when the security market line is used to evaluate performance. Additionally, CAPM based measures that appeared to work well in the 1960\u27s no longer appear to function effectively. Many anomalies to CAPM have been documented since the 1970\u27s and recently, Fama and French (1992) declared the CAPM beta to be dead. To date, no agreement among scholars has been reached on the appropriate return generating process or the appropriate market proxy. Therefore, performance evaluation of managed portfolios is laden with ambiguity. What is needed is a measure that can rank performance on a statistically significant basis, is applicable to a variety of return generation processes, is free of the requirement to observe the market portfolio or the true risk free proxy, and can bridge the gap between theory and practice. This manuscript provides such a measure. The economic and legal rationale for portfolio manager behavior is reviewed, a method to detect if the differences in performance are statistically significant is provided, and a method to rank portfolios with statistically significant performance differences is provided. The proposed methodology is tested empirically on open-end mutual funds for the period September 1981-94 and results of the new measure are compared with those of the traditional measures. Further, tests of performance persistency are conducted to detect if past relative performance can be a guide for predicting future relative performance. Finally, persistency test results for the four methods of evaluating performance are compared. Results indicate that while performance and performance persistency exists for traditional measures, it is not evident with the proposed procedure. This supports the efficient market hypothesis and suggests that performance detected with traditional measures is merely a CAPM anomaly, not true differential performance

Window Dressing, Data Mining, Or Data Errors: A Re-Examination Of The Dogs Of The Dow Theory

We re-examine the Dow dividend yield anomaly to ascertain if data errors create the superior returns of the trading rule.  Empirical testing, using both parametric and nonparametric methods, suggests that the trading rule outperforms the index.  Additionally, data errors are not the drivers of superior trading rule returns.  Moreover, the Chow breakpoint test of structural stability suggests that neither window dressing nor data mining explain this phenomenon.  Finally, a turn of the year formation date fails to explain superior trading rule returns, further mitigating the data mining explanation

Biology of Cuscuta Attenuata Waterfall�

Botan

Fresh air in the 21st century?

Ozone is an air quality problem today for much of the world's population. Regions can exceed the ozone air quality standards (AQS) through a combination of local emissions, meteorology favoring pollution episodes, and the clean-air baseline levels of ozone upon which pollution builds. The IPCC 2001 assessment studied a range of global emission scenarios and found that all but one projects increases in global tropospheric ozone during the 21st century. By 2030, near-surface increases over much of the northern hemisphere are estimated to be about 5 ppb (+2 to +7 ppb over the range of scenarios). By 2100 the two more extreme scenarios project baseline ozone increases of >20 ppb, while the other four scenarios give changes of -4 to +10 ppb. Even modest increases in the background abundance of tropospheric ozone might defeat current AQS strategies. The larger increases, however, would gravely threaten both urban and rural air quality over most of the northern hemisphere

Characterizing the tropospheric ozone response to methane emission controls and the benefits to climate and air quality

Reducing methane (CH4) emissions is an attractive option for jointly addressing climate and ozone (O3) air quality goals. With multidecadal full-chemistry transient simulations in the MOZART-2 tropospheric chemistry model, we show that tropospheric O3 responds approximately linearly to changes in CH4 emissions over a range of anthropogenic emissions from 0–430 Tg CH4 a−1 (0.11–0.16 Tg tropospheric O3 or ∼11–15 ppt global mean surface O3 decrease per Tg a−1 CH4 reduced). We find that neither the air quality nor climate benefits depend strongly on the location of the CH4 emission reductions, implying that the lowest cost emission controls can be targeted. With a series of future (2005–2030) transient simulations, we demonstrate that cost-effective CH4 controls would offset the positive climate forcing from CH4 and O3 that would otherwise occur (from increases in NOx and CH4 emissions in the baseline scenario) and improve O3 air quality. We estimate that anthropogenic CH4 contributes 0.7 Wm−2 to climate forcing and ∼4 ppb to surface O3 in 2030 under the baseline scenario. Although the response of surface O3 to CH4 is relatively uniform spatially compared to that from other O3 precursors, it is strongest in regions where surface air mixes frequently with the free troposphere and where the local O3 formation regime is NOx-saturated. In the model, CH4 oxidation within the boundary layer (below ∼2.5 km) contributes more to surface O3 than CH4 oxidation in the free troposphere. In NOx-saturated regions, the surface O3 sensitivity to CH4 can be twice that of the global mean, with >70% of this sensitivity resulting from boundary layer oxidation of CH4. Accurately representing the NOx distribution is thus crucial for quantifying the O3 sensitivity to CH4

Stratospheric aerosol - Observations, processes, and impact on climate

Interest in stratospheric aerosol and its role in climate have increased over the last decade due to the observed increase in stratospheric aerosol since 2000 and the potential for changes in the sulfur cycle induced by climate change. This review provides an overview about the advances in stratospheric aerosol research since the last comprehensive assessment of stratospheric aerosol was published in 2006. A crucial development since 2006 is the substantial improvement in the agreement between in situ and space-based inferences of stratospheric aerosol properties during volcanically quiescent periods. Furthermore, new measurement systems and techniques, both in situ and space based, have been developed for measuring physical aerosol properties with greater accuracy and for characterizing aerosol composition. However, these changes induce challenges to constructing a long-term stratospheric aerosol climatology. Currently, changes in stratospheric aerosol levels less than 20% cannot be confidently quantified. The volcanic signals tend to mask any nonvolcanically driven change, making them difficult to understand. While the role of carbonyl sulfide as a substantial and relatively constant source of stratospheric sulfur has been confirmed by new observations and model simulations, large uncertainties remain with respect to the contribution from anthropogenic sulfur dioxide emissions. New evidence has been provided that stratospheric aerosol can also contain small amounts of nonsulfate matter such as black carbon and organics. Chemistry-climate models have substantially increased in quantity and sophistication. In many models the implementation of stratospheric aerosol processes is coupled to radiation and/or stratospheric chemistry modules to account for relevant feedback processes