An investigation into the style and asset class adjusted performance of South African multi-asset funds

Purpose: This study examines 26 large and established South African multi-asset unit trusts in order to determine their style and asset class exposure over time. The objective is to ascertain whether South African multi-asset fund managers can realise outperformance, that exceeds what can be realised through exposure to representative, investable, style and asset class indices. Such an analysis assists in identifying unit trust manager skill, but a further consideration is how to combine unit trusts in a suitable manner, to this end portfolio construction tools are utilised to meet illustrative client objectives in a multi-asset context. Methodology: This study uses monthly total return time series for several investable style and asset class indices as well as South African multi-asset unit trust monthly total return time series. Where historical data permits, the period under investigation is from 1 January 2003 to 30 June 2018. Style and asset class exposure is determined using the Returns Based Style Analysis (RBSA) of Sharpe (1992) applying a 24-month rolling window approach. Findings: The equity style exposures estimated using RBSA provide evidence that on average the value style was dominant across the multi-asset high equity unit trusts examined. For the multi-asset low equity unit trusts examined the low volatility style was dominant. Moreover, a large proportion of the variability in returns of many multi asset unit trusts, can be explained by exposure to style and asset class indices. Consequently only 3 out of the 15 multi-asset high equity unit trusts analysed, could realise performance in excess of their custom style and asset class benchmark. As only a limited number of these unit trusts could demonstrate superior security selection ability the implication is that many asset managers stand to be disrupted by lower cost products that provide similar style and asset class index exposure. Originality/Value: Much research has been conducted into the style exposures of SA general equity funds. However, to the author’s own knowledge this is the first study to apply RBSA in a performance context to multi-asset unit trusts, under the new ASISA classification standards. The benefits of portfolio construction tools such as portfolio simulation and the ‘Risk Budgeting’ approach are also discussed and applied in a multi-asset context

Assessing Exposure-Response Trends Using the Disease Risk Score

Standardization by a disease risk score (DRS) may be preferable to weighting on the exposure propensity score if the exposure is difficult to model (1), relatively novel (i.e., newly emerging or rapidly-evolving), or extremely rare (2, 3). For exposures with more than two levels, methods are lacking for a DRS-based approach. We present an approach to estimate trends in standardized risk ratios (RRs) based on a regression model that uses a DRS

High power femtosecond source based on passively mode-locked 1055nm VECSEL and Yb-fibre power amplifier

We report 5 ns pulses at 160 W average power and 910 repetition rate from a passively mode-locked VECSEL source seeding an Yb-doped fibre power amplifier. The amplified pulses were compressed to 291 fs duration

Applications of Solid Freeform Fabrication at the Naval Research Laboratory

Solid Freeform Fabrication (SFF) and related techniques are used at the Naval Research Laboratory (NRL) for a variety of materials related investigations. Research and applications conducted over the past few years are described including: Helisys Laminated Object Manufacturing System (LOMS) fabrication of: ceramic piezoelectric actuators, tooling for multifunctional materials, and anatomical prototypes for surgical visualization; fabrication of mesoscale electronic and sensor components using a laser forward transfer direct write technique; and visualization of complex, 3-D microstructures using a Stratasys Fused-Deposition Modeler. The paper closes with a brief overview of future SFF related work at the NRL.Support for this work from DARPA, Office of Naval Research, and the Naval Research Laboratory Core Research Program is gratefully acknowledged.Mechanical Engineerin

Using Stories in Coach Education

The purpose of this paper is to illustrate how storied representations of research can be used as an effective pedagogical tool in coach education. During a series of continuing professional development seminars for professional golf coaches, we presented our research in the form of stories and poems which were created in an effort to evoke and communicate the lived experiences of elite professional golfers. Following these presentations, we obtained written responses to the stories from 53 experienced coaches who attended the seminars. Analysis of this data revealed three ways in which coaches responded to the stories: (i) questioning; (ii) summarising; and (iii) incorporating. We conclude that these responses illustrate the potential of storied forms of representation to enhance professional development through stimulating reflective practice and increasing understanding of holistic, person-centred approaches to coaching athletes in high-performance sport

Marginal Structural Models for Risk or Prevalence Ratios for a Point Exposure Using a Disease Risk Score

The disease risk score is a summary score that can be used to control for confounding with a potentially large set of covariates. While less widely used than the exposure propensity score, the disease risk score approach might be useful for novel or unusual exposures, when treatment indications or exposure patterns are rapidly changing, or when more is known about the nature of how covariates cause disease than is known about factors influencing propensity for the exposure of interest. Focusing on the simple case of a binary point exposure, we describe a marginal structural model for estimation of risk (or prevalence) ratios. The proposed model incorporates the disease risk score as an offset in a regression model, and it yields an estimate of a standardized risk ratio where the target population is the exposed group. Simulations are used to illustrate the approach, and an empirical example is provided. Confounder control based on the proposed method might be a useful alternative to approaches based on the exposure propensity score, or as a complement to them

Multivariate analysis of biologging data reveals the environmental determinants of diving behaviour in a marine reptile

Diving behaviour of ‘surfacers' such as sea snakes, cetaceans and turtles is complex and multi-dimensional, thus may be better captured by multi-sensor biologging data. However, analysing these large multi-faceted datasets remains challenging, though a high priority. We used high-resolution multi-sensor biologging data to provide the first detailed description of the environmental influences on flatback turtle (Natator depressus) diving behaviour, during its foraging life-history stage. We developed an analytical method to investigate seasonal, diel and tidal effects on diving behaviour for 24 adult flatback turtles tagged with biologgers. We extracted 16 dive variables associated with three-dimensional and kinematic characteristics for 4128 dives. K-means and hierarchical cluster analyses failed to identify distinct dive types. Instead, principal component analysis objectively condensed the dive variables, removing collinearity and highlighting the main features of diving behaviour. Generalized additive mixed models of the main principal components identified significant seasonal, diel and tidal effects on flatback turtle diving behaviour. Flatback turtles altered their diving behaviour in response to extreme tidal and water temperature ranges, displaying thermoregulation and predator avoidance strategies while likely optimizing foraging in this challenging environment. This study demonstrates an alternative statistical technique for objectively interpreting diving behaviour from multivariate collinear data derived from biologgers

Standardizing Discrete-Time Hazard Ratios with a Disease Risk Score

The disease risk score (DRS) is a summary score that is a function of a potentially large set of covariates. The DRS can be used to control for confounding by the covariates that went into estimation of the DRS and obtain a standardized estimate of an exposure's effect on disease. However, to date, literature on the DRS has not addressed analyses that focus on estimation of survival or hazard functions, which are common in epidemiologic analyses of cohort data. Here, we propose a method for standardization of hazard ratios using the DRS in longitudinal analyses of the association between a binary exposure and an outcome. This approach to handling a potentially large set of covariates through a model-based approach to standardization may provide a useful tool for cohort analyses of hazard ratios and may be particularly well-suited to settings where an exposure propensity score is difficult to model. Simulations are used in this paper to illustrate the approach, and an empirical example is provided

No Evidence Supporting Flare Driven High-Frequency Global Oscillations

The underlying physics that generates the excitations in the global low-frequency, < 5.3 mHz, solar acoustic power spectrum is a well known process that is attributed to solar convection; However, a definitive explanation as to what causes excitations in the high-frequency regime, > 5.3 mHz, has yet to be found. Karoff and Kjeldsen (Astrophys. J. 678, 73-76, 2008) concluded that there is a correlation between solar flares and the global high-frequency solar acoustic waves. We have used the Global Oscillations Network Group (GONG) helioseismic data in an attempt to verify Karoff and Kjeldsen (2008) results as well as compare the post-flare acoustic power spectrum to the pre-flare acoustic power spectrum for 31 solar flares. Among the 31 flares analyzed, we observe that a decrease in acoustic power after the solar flare is just as likely as an increase. Furthermore, while we do observe variations in acoustic power that are most likely associated with the usual p-modes associated with solar convection, these variations do not show any significant temporal association with flares. We find no evidence that consistently supports flare driven high-frequency waves.Comment: 20 pages, 9 figures, Accepted for publication in Solar Physic

Correlation effects and the high-frequency spin susceptibility of an electron liquid: Exact limits

Spin correlations in an interacting electron liquid are studied in the high-frequency limit and in both two and three dimensions. The third-moment sum rule is evaluated and used to derive exact limiting forms (at both long- and short-wavelengths) for the spin-antisymmetric local-field factor, $\lim_{\omega \to \infty}G_-({\bf q, \omega})$. In two dimensions $\lim_{\omega \to \infty}G_-({\bf q, \omega})$ is found to diverge as $1/q$ at long wavelengths, and the spin-antisymmetric exchange-correlation kernel of time-dependent spin density functional theory diverges as $1/q^2$ in both two and three dimensions. These signal a failure of the local-density approximation, one that can be redressed by alternative approaches.Comment: 5 page