Passive in Name Only: Delegated Management and “Index” Investing

This Article provides the first detailed empirical analysis of the landscape of U.S. stock market indices. First, I hand collect detailed information about the universe of indices used as benchmarks for U.S. mutual funds. I document substantial heterogeneity across indices and find that the overwhelming majority of the indices in my sample are used as a primary benchmark by only a single fund. I then turn to “passive” index funds and find that both these phenomena are even more extreme among the indices that these funds track. Far from being “passive,” my findings indicate that index investing is better understood as a form of delegated management, where the delegee is the index creator rather than the fund manager. Finally, I turn to ETFs and find that a substantial fraction of these funds track indices that they or their affiliates create. Even controlling for other factors, I find that these funds have, on average, higher expense ratios. My findings shed light on an overlooked part of the financial market and have substantial implications for investor protection

The (Mis)uses of the S&P 500

The S&P 500 is widely used to (i) direct capital through “passive” investing, (ii) benchmark investment portfolios, and (iii) evaluate firm performance. The securities regulatory regime’s approach to each of these uses is fundamentally flawed. I show that the index is neither neutral nor constant: it represents substantial amounts of discretionary decision-making and is simply one particular large-cap portfolio. I then argue that an “S&P 500 fund” is not meaningfully passive, the mutual fund prospectus benchmark requirement is flawed, and the requirement that index constituents compare their performance to that of the index is nonsensical. I propose regulatory changes to correct these misuses

On the Impact of Entity Linking in Microblog Real-Time Filtering

Microblogging is a model of content sharing in which the temporal locality of posts with respect to important events, either of foreseeable or unforeseeable nature, makes applica- tions of real-time filtering of great practical interest. We propose the use of Entity Linking (EL) in order to improve the retrieval effectiveness, by enriching the representation of microblog posts and filtering queries. EL is the process of recognizing in an unstructured text the mention of relevant entities described in a knowledge base. EL of short pieces of text is a difficult task, but it is also a scenario in which the information EL adds to the text can have a substantial impact on the retrieval process. We implement a start-of-the-art filtering method, based on the best systems from the TREC Microblog track realtime adhoc retrieval and filtering tasks , and extend it with a Wikipedia-based EL method. Results show that the use of EL significantly improves over non-EL based versions of the filtering methods.Comment: 6 pages, 1 figure, 1 table. SAC 2015, Salamanca, Spain - April 13 - 17, 201

Using qualitative research methods to inform user centred design of an innovative assistive technology device

The SPECS project aims to develop a speech-driven device that will allow the home environment to be controlled (for example turning on or off the lights or television). The device developed will be targeted at older people and people with disabilities and will be sensitive to disordered speech. Current environmental control systems (ECS) work using either a switch interface or speech recognition software that does not comprehend disordered speech well. Switch-interface systems are often slow and complicated to use and the uptake of the available speech recognition system has been poor. A significant proportion of people requiring electronic assistive technology (EAT) have dysarthria, a motor speech disorder, associated with their physical disability. Speech control of EAT is seen as desirable for such people but machine recognition of dysarthric speech is a difficult problem due to the variability of their articulatory output. Other work on large vocabulary adaptive speech recognition systems and speaker dependent recognisers has not provided a solution for severely dysarthric speech. Building on the work of the STARDUST project our goal is to develop and implement speech recognition as a viable control interface for people with severe physical disability and severe dysarthria. The SPECS project is funded by the Health Technology Devices Programme of the Department of Health

The impact of celestial pole offset modelling on VLBI UT1 Intensive results

Very Long Baseline Interferometry (VLBI) Intensive sessions are scheduled to provide operational Universal Time (UT1) determinations with low latency. UT1 estimates obtained from these observations heavily depend on the model of the celestial pole motion used during data processing. However, even the most accurate precession-nutation model, IAU 2000/2006, is not accurate enough to realize the full potential of VLBI observations. To achieve the highest possible accuracy in UT1 estimates, a celestial pole offset (CPO), which is the difference between the actual and modelled precession-nutation angles, should be applied. Three CPO models are currently available for users. In this paper, these models have been tested and the differences between UT1 estimates obtained with those models are investigated. It has been shown that neglecting CPO modelling during VLBI UT1 Intensive processing causes systematic errors in UT1 series of up to 20 microarcseconds. It has been also found that using different CPO models causes the differences in UT1 estimates reaching 10 microarcseconds. Obtained results are applicable to the satellite data processing as well.Comment: 8 pp., accepted for publication in Journal of Geodes

When Bill Rolls Off: Continuity and Change on Corporate Boards

The number of women on public company boards has increased dramatically in recent years. We study where these women directors came from and how they were absorbed. In the past five years, women with board experience obtain significantly more board seats than their male colleagues. Women directors are also more likely to have no previous board experience than men, indicating movement on both the intensive and extensive margin. Adding a woman director is associated with a transitory increase in board size about a third of the time. This increase reverts the following year when an existing director rolls off

Diffuse Neutron Scattering Study of Relaxor Ferroelectric (1-x)Pb(Zn1/3Nb2/3)O3-xPbTiO3(PZN-xPT)

Diffuse neutron scattering is a valuable tool to obtain information about the size and orientation of the polar nanoregions that are a characteristic feature of relaxor ferroelectrics. In this paper, we present new diffuse scattering results obtained on Pb(Zn1/3Nb2/3)O3 (PZN for short) and (1-x)Pb(Zn1/3Nb2/3)O3-xPbTiO3(PZN-xPT)single crystals (with x=4.5 and 9%), around various Bragg reflections and along three symmetry directions in the [100]-[011] zone. Diffuse scattering is observed around reflections with mixed indices, (100), (011) and (300), and along transverse and diagonal directions only. No diffuse scattering is found in longitudinal scans. The diffuse scattering peaks can be fitted well with a Lorentzian function, from which a correlation length is extracted. The correlation length increases with decreasing temperatures down to the transition at Tc, first following a Curie-Weiss law, then departing from it and becoming flat at very low temperatures. These results are interpreted in terms of three temperature regions: 1) dynamic polarization fluctuations (i.e. with a finite lifetime) at high temperatures, 2) static polarization reorientations (condensation of polar nanoregions) that can still reorient as a unit (relaxor behavior) at intermediate temperatures and 3) orientational freezing of the polar nanoregions with random strain fields in pure PZN or a structural phase transition in PZN-xPT at low temperatures. The addition of PT leads to a broadening of the diffuse scattering along the diagonal ([111]) relative to the transverse ([100]) direction, indicating a change in the orientation of the polar regions. Also, with the addition of PT, the polar nanoregions condense at a higher temperature above Tc.Comment: AIP 6x9 style files, 9 pages, 5 figures, Conference-Fundamental Physics of Ferroelectrics 200

You Get What You Pay For: An Empirical Examination of the Use of MTurk in Legal Scholarship

In recent years, legal scholars have come to rely on Amazon\u27s Mechanical Turk ( MTurk\u27) platform to recruit participants for surveys and experiments. Despite MTurk\u27s popularity, there is no generally accepted methodology for its use in legal scholarship, and many questions remain about the validity of data gathered from this source. In particular, little is known about how the compensation structure affects the performance of respondents recruited using MTurk. This Essay fills both of these gaps. We develop an experiment and test the effect of various compensation structures on performance along two dimensions: effort and attention. We find that both the level and the structure of the compensation scheme have substantial effects on the performance of MTurk workers, and that these effects differ across question types. We then propose a series of best practices for scholars to follow in conducting research using MTurk. Adoption of these guidelines will improve both the transparency and the robustness of research conducted using this platform

Do ESG Funds Deliver on Their Promises?

Corporations have received growing criticism for contributing to climate change, perpetuating racial and gender inequality, and failing to address other pressing social issues. In response to these concerns, shareholders are increasingly focusing on environmental, social, and corporate governance (ESG) criteria in selecting investments, and asset managers are responding by offering a growing number of ESG mutual funds. The flow of assets into ESG is one of the most dramatic trends in asset management. But are these funds giving investors what they promise? This question has attracted the attention of regulators, with the Department of Labor and the Securities and Exchange Commission (SEC) both taking steps to rein in ESG funds. The change in administration has created an opportunity to rethink these steps, but the rapid growth and evolution of the market mean regulators are acting without a clear picture of ESG investing. We fill this gap by offering the most complete empirical overview of ESG mutual funds to date. Combining comprehensive data on mutual funds with proprietary data from the several of the most significant ESG ratings firms, we provide a unique picture of the current ESG environment with an eye to informing regulatory policy. We evaluate a number of criticisms of ESG funds made by academics and policymakers and find them lacking. We find that ESG funds offer their investors increased ESG exposure. They also vote their shares differently from non-ESG funds and are more supportive of ESG principles. Our analysis shows that they do so without increasing costs or reducing returns. We conclude that ESG funds generally offer investors a differentiated and competitive investment product that is consistent with their labeling. In short, we see no reason to single out ESG funds for special regulation