The value of coskewness in evaluating mutual funds

Recent asset pricing studies demonstrate the relevance of incorporating the coskewness in Asset Pricing Models, and illustrate how this component helps to explain the time variation of ex-ante market risk premiums. This paper analyzes the role of coskewness in mutual funds performance evaluation. We find evidence that adding a coskewness factor is economically and statistically significant. We document that some managers are managing the coskewness and show, in general, a persistent behaviour on time in their coskewness policy. One of the most striking results is that many negative (positive) alpha funds measured relative to the CAPM risk adjustments would be reclassified as positive (negative) alpha funds using a model with coskewness. Therefore, a ranking of funds based on risk adjusted returns without considering coskewness would generate an erroneous classification. Moreover, some fund characteristics, such as the turnover ratio or the category, are related to the likelihood of managing coskewness

The value of coskewness in mutual fund performance evaluation.

Recent asset pricing studies demonstrate the relevance of incorporating coskewness in asset pricing models, and illustrate how this component helps to explain the time variation of ex-ante market risk premiums. This paper analyzes the role of coskewness in mutual fund performance evaluation and finds evidence that adding a coskewness factor is economically and statistically significant. It documents that coskewness is sometimes managed and shows persistence of the coskewness policy over time. One of the most striking results is that many negative (positive) alpha funds, measured relative to the CAPM risk adjustments, would be reclassified as positive (negative) alpha funds using a model with coskewness. Therefore, performance ranking based on risk-adjusted returns without considering coskewness could generate an erroneous classification. Moreover, some fund characteristics, such as turnover ratio or category, are related to the likelihood of managing coskewness.Coskewness; Mutual funds; Performance measures;

Performance evaluation considering the coskewness: a stochastic discount factor framework

Purpose – The paper aims to examine the performance of Spanish mutual funds between 1999 and 2003. Design/methodology/approach – The methodolgy uses the stochastic discount factor (SDF) framework across a variety of models developed in the recent asset pricing literature. This approach is a fairly recent innovation in the evaluation of investment performance. Findings – The present work complements the research of Farnworth et al. and Fletcher and Forbes, adding a new issue to the SDF, the third co-moment of asset returns. Recent asset pricing studies show the relevance of the component of an asset's skewness related to the market portfolio's skewness, the coskewness, and how it helps to explain the time-variation of ex-ante market risk premiums. It is found that the effects of adding coskewness to evaluate the performance is significant even when factors based on size, book-to-market and momentum are included. Practical implications – The omission of a coskewness factor may lead to erroneous evaluations of a fund's performance, and therefore, issues such as the persistence of performance should be revised. Originality/value – This paper explores, for the first time, the effects of incorporating a coskewness factor in the analysis of investment performance, both in an unconditional and a conditional framework using SDF models.Publicad

The value of coskewness in mutual fund performance evaluation

Recent asset pricing studies demonstrate the relevance of incorporating coskewness in asset pricing models, and illustrate how this component helps to explain the time variation of ex-ante market risk premiums. This paper analyzes the role of coskewness in mutual fund performance evaluation and finds evidence that adding a coskewness factor is economically and statistically significant. It documents that coskewness is sometimes managed and shows persistence of the coskewness policy over time. One of the most striking results is that many negative (positive) alpha funds, measured relative to the CAPM risk adjustments, would be reclassified as positive (negative) alpha funds using a model with coskewness. Therefore, performance ranking based on risk-adjusted returns without considering coskewness could generate an erroneous classification. Moreover, some fund characteristics, such as turnover ratio or category, are related to the likelihood of managing coskewness.Publicad

Idiosyncratic volatility, conditional liquidity and stock returns

There is strong evidence showing that stocks with higher levels of idiosyncratic risk provide relatively lower returns than stocks with lower levels of it. This paper points out that this negative idiosyncratic risk - expected returns relation is not pervasive over time, and provides a plausible explanation for its time-varying nature. Our results suggest that following recessions, the conditional pricing of liquidity, creates a correction in prices of the high idiosyncratic volatility stocks that persists up to 9 months. As a result, the negative relation between idiosyncratic risk and expected returns is not observed following recessions.Juliana Malagon acknowledges financial support from Universidad de Los Andes, Fondo de Apoyo para Profesores Asistentes [grant number P17.100322.004]. David Moreno acknowledges financial support from Ministerio de Ciencia y Tecnología [grant number ECO2013-42849-P]. Rosa Rodriguez acknowledges financial support from the Ministry of Economics and Competitiveness [grant number ECO2015-67035-P] and from Banco de España through the grant financing the research in macroceconomics, monetary economics finance and banking

Development and experimental evaluation of the control system of a hybrid fuel cell vehicle

This work presents the development and experimental evaluation of a Fuel Cell Hybrid Vehicle, focusing on the control system. The main objective of this paper is to present a real vehicle which has been designed in order to demonstrate the feasibility of the use of hydrogen as an energy source for automotive applications. The paper describes the components that are integrated in the vehicle and presents several experimental results obtained during normal operation. A control system is designed and tested in order to perform all the operations related to the coordinated operation of the fuel cell, the intermediate electrical storage and the power train. Its main task is to compute the power that must be demanded to the fuel cell in real time. This computation is done in order to satisfy the power demand of the electric motor taking into account the state of charge of the batteries and the operating regime of the fuel cell. This is accomplished by manipulating the electronic converter which regulate the current that the fuel cell supplies to the batteries.Ministerio de Ciencia y Tecnología DPI2007-66718-C04-0

Implementación de bloques de Simulink para control adaptativo de un motor de corriente continua

El presente proyecto pretende obtener controladores adaptativos capaces de interactuar con un sistema físico y regularlo en tiempo real, para lo que se hará uso de una maqueta con un motor de corriente continua para realizar las pruebas y obtener los resultados experimentales, aunque después será posible portarlo a cualquier sistema realizando una serie de cambios mínimos. Para poder alcanzar este fin se utilizará MATLAB y el entorno de simulación Simulink, donde se crearán los modelos necesarios a través de su lenguaje de bloques. El proyecto en sí no pretende tanto la implementación de controladores adaptativos concretos, sino más bien demostrar la posibilidad de que a día de hoy es posible implementarlos con MATLAB de una forma relativamente sencilla, haciendo uso para ello de un pequeño número de controladores a los que se los hará trabajar de manera adaptativa a forma de ejemplos ilustrativos. De esta manera como objetivo principal del proyecto se ha establecido: Implementación de controladores adaptativos en Simulink trabajando en sistemas físicos. Este objetivo se desglosa en: - Estudio de las nuevas posibilidades, tras la inclusión de bloques de funciones y Sfunciones en las librerías de Simulink, para Real-Time Windows target. - Implementación de reguladores adaptativos. - Estudio sobre un sistema real. Esto es posible gracias a los bloques “S-Function Builder” que son capaces de generar de forma automática el archivo .tlc. Estos bloques y su posibilidad de generar código de forma automática es una incorporación que MATLAB realizó en las librerías de Simulink a partir de su versión 2012a de la suite, solventando lo que en un principio era un gran problema si se necesitaba gestionar estados discretos, sobre todo si estos estados dependían de valores pasados. Aun teniéndose esta herramienta que, aunque con ciertas carencias, simplifica en gran medida la tarea abordada, todavía existían una serie de barreras que debían ser solventadas antes de comenzar a ver que esta implementación era posible.Ingeniería Industria

Management sub-advising in the mutual fund industry

This is a study of how contractual mechanisms can mitigate agency conflicts in sub-advised mutual funds. Sub-advising contracts allow fund families to expand their product offerings to include new investment styles and thereby gain market share. We show that costly contractual arrangements, such as co-branding, multi-advising, and performance-based compensation, can mitigate agency conflicts in outsourcing and protect investors from potential underperformance. Fund families will find it cost-effective to implement such incentive mechanisms only when investors are sophisticated in assessing manager skill. The findings help to explain why a large percentage of fund families outsource their funds to advisory firms.Rafael Zambrana acknowledges financial support from the FCT Fundação para a Ciência e a Tecnologia under the project UID/ECO/00124/2013 and POR Lisboa (LISBOA-01-0145-FEDER-007722). David Moreno and Rosa Rodríguez thank financial support from Ministerio de Economía, Industria y Competitividad (through projects ECO2016- 77807-P and ECO2015-67035-P), WRDS-UC3M (FEDER UNCC315-EE-3636), CAM grant S2015/HUM-3353 (EARLYFIN-CM) and Bank of Spain (grant PR71/15-20229)

Impact of laser attacks on the switching behavior of RRAM devices

The ubiquitous use of critical and private data in electronic format requires reliable and secure embedded systems for IoT devices. In this context, RRAMs (Resistive Random Access Memories) arises as a promising alternative to replace current memory technologies. However, their suitability for this kind of application, where the integrity of the data is crucial, is still under study. Among the different typology of attacks to recover information of secret data, laser attack is one of the most common due to its simplicity. Some preliminary works have already addressed the influence of laser tests on RRAM devices. Nevertheless, the results are not conclusive since different responses have been reported depending on the circuit under testing and the features of the test. In this paper, we have conducted laser tests on individual RRAM devices. For the set of experiments conducted, the devices did not show faulty behaviors. These results contribute to the characterization of RRAMs and, together with the rest of related works, are expected to pave the way for the development of suitable countermeasures against external attacks.Postprint (published version