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 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.Mutual funds, Performance measures, 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;

Utilització de l'extracte vegetal boswellia serrata gum en formulacions cosmètiques

La cosmètica és un món en constant evolució. És una industria que mou quantitats de diners molt grans i que inverteix molt en investigació i desenvolupament. Des de fa anys, s’utilitzen extractes vegetals en les formulacions per donar les propietats i característiques (hidratant, nutritiva, anti-celulítiques, etc) als productes finals. Un dels extractes vegetals que s’utilitzen és el Soothex®, un producte elaborat a partir de la Boswellia Serrata amb propietats antiirritants i calmants. La finalitat d’aquest projecte és demostrar l’existència dels principis actius de l’extracte Boswellia Serrata presents en el Soothex® i la seva eficàcia en diferents productes cosmètics

Isotope ratio - Mass spectrometry

Podeu consultar el llibre complet a: http://hdl.handle.net/2445/32166This article summarizes the configurations involving isotope ratio mass spectrometry (IRMS) technology available at the CCiTUB and the wide range of possible applications. Some examples of these applications are shown

Effects of the frequency and satisfaction with leisure profile ondementia caregivers distress

El modelo PEAR (“Actividades Agradables Restricción Conductual”) ha sido propuesto como una manera de entender los efectos del ocio sobre el malestar de cuidadores de personas con demencia. En base al modelo PEAR y al de estrés y afrontamiento, el objetivo de este estudio fue analizar de forma conjunta el papel de la frecuencia y la satisfacción con la activación conductual en la explicación del malestar del cuidador (depresión, ansiedad, salud percibida), el riesgo de institucionalización de la persona cuidada, los estresores y recursos del cuidador (rumiación y reevaluación cognitiva) en una muestra de 275 cuidadores. Se dividió a la muestra en cuatro grupos en función de sus niveles en la frecuencia y la satisfacción con la activación conductual: BFBS = Baja frecuencia + baja satisfacción; BFAS = Baja frecuencia + alta satisfacción; AFBS = Alta frecuencia + baja satisfacción; y AFAS = Alta frecuencia + alta satisfacción. Mientras que los cuidadores del grupo AFAS mostraron un perfil más positivo en variables relacionadas con los recursos y de salud, y menores puntuaciones en riesgo de institucionalización en comparación con el resto de los grupos, los cuidadores del grupo BFBS utilizaron en mayor medida estrategias de regulación emocional desadaptativas y mostraron peores consecuencias sobre variables de resultado de salud. Los resultados sugieren la importancia de considerar el perfil de frecuencia y satisfacción con el ocio a la hora de entender el malestar del cuidador

Anti-inflammatory Effects of Cruciferous and Apiaceous Vegetables in C57BL/6J Mice Colon

Previous studies have demonstrated chemo-preventive potential of cruciferous and apiaceous vegetables against colon cancer. Colon inflammation is one condition closely related with colon cancer initiation. Therefore, we wanted to compare if total western diet (TWD) was as pro-inflammatory as died-induced obesity (DIO) and a better dietary model for human conditions, and determine if diet supplementation with cruciferous (broccoli, watercress and cabbage) or apiaceous vegetables (celery and parsnip) could reduce dietary inflammation, and which vegetable was more effective. Male CBL57/6J mice were fed chow for seven days, on day eight, mice were assigned to one of the following diets: American Institute of Nutrition, 1993 diet for growth, pregnancy and lactation (AIN-93G), DIO, DIO+21% cruciferous (DC), DIO+21% apiaceous (DA), TWD, TWD+21% cruciferous (TC), and TWD+21% apiaceous (TA). On day 84 blood, colon, and liver were collected and stored at -80°C. Cytokine were measured in plasma (ARY006 array), and pro-inflammatory related genes were measured in colon tissue (PAMM-011Z array). The DIO group did not differ in weight gain compared to any other group. Some cytokines signals in DA were likely to be increased when compared to DIO (G-CSF, IL-5, IL-6 , IL-7, I-TAC, TNF-α, TREM-1; p \u3c 0.005) and when compared to DC (G-CSF, IL-2, IL-5, IL-7, IL-23, IP-10, I-TAC, M-CSF, TARC, TIMP-1, TNF-α; p \u3c 0.005). Bmp2 had a higher mRNA expression in all diets compared to basal diet AIN-93G; p= 0.001. Ccl1 had similar mRNA expression in all diets compared to AIN-93G and DIO; p= 0.001. Ccl19 mRNA was equality expressed in all diets except for DIO; p= 0.000. Ccl4 had a higher mRNA expression in TC diet only when compare with DIO and DC; p= 0.058. DIO and TWD did not induce inflammation or obesity. Vegetable-supplemented diets induced secretion of some pro-inflammatory cytokines. Cruciferous had a smaller inflammatory response compared to apiaceous vegetables. Although no beneficial effect was seen of vegetables on inflammatory pathways, we do not negate potential chemo-preventive effects by other mechanisms. Keywords: Colon Cancer, inflammation, cruciferous vegetables and apiaceous vegetables

Reseñas

MANGUINHOS, História, Ciências, Saúde, 1994, 1, número