Better Performance of Mutual Funds with Lower R2's Does Not Suggest that Active Management Pays

We found a negative relation between mutual funds’ past R2 and their abnormal performance, as did Amihud and Goyenko (2013), who proposed measuring active management of mutual funds by 1−R2. The interpretation of this relationship would be that active management pays. However the same evidence is uncovered for artificial investments, due only to the behavior of the types of stocks they are holding. Therefore, we introduce a new factor, ImS (idiosyncratic minus systematic), defined as the difference between the stocks’ returns with lower and higher past R2 which captures this behavior. After adjusting for this factor, the initial evidence vanishes and abnormal performance associated with past R2 diminishes, even taking negative values for mutual funds

Kinematics of Big Biomedical Data to characterize temporal variability and seasonality of data repositories: Functional Data Analysis of data temporal evolution over non-parametric statistical manifolds

[EN] Aim: The increasing availability of Big Biomedical Data is leading to large research data samples collected over long periods of time. We propose the analysis of the kinematics of data probability distributions over time towards the characterization of data temporal variability. Methods: First, we propose a kinematic model based on the estimation of a continuous data temporal trajectory, using Functional Data Analysis over the embedding of a non-parametric statistical manifold which points represent data temporal batches, the Information Geometric Temporal (IGT) plot. This model allows measuring the velocity and acceleration of data changes. Next, we propose a coordinate-free method to characterize the oriented seasonality of data based on the parallelism of lagged velocity vectors of the data trajectory throughout the IGT space, the Auto-Parallelism of Velocity Vectors (APVV) and APVVmap. Finally, we automatically explain the maximum variance components of the IGT space coordinates by means of correlating data points with known temporal factors from the domain application. Materials: Methods are evaluated on the US National Hospital Discharge Survey open dataset, consisting of 3,25M hospital discharges between 2000 and 2010. Results: Seasonal and abrupt behaviours were present on the estimated multivariate and univariate data trajectories. The kinematic analysis revealed seasonal effects and punctual increments in data celerity, the latter mainly related to abrupt changes in coding. The APVV and APVVmap revealed oriented seasonal changes on data trajectories. For most variables, their distributions tended to change to the same direction at a 12-month period, with a peak of change of directionality at mid and end of the year. Diagnosis and Procedure codes also included a 9-month periodic component. Kinematics and APVV methods were able to detect seasonal effects on extreme temporal subgrouped data, such as in Procedure code, where Fourier and autocorrelation methods were not able to. The automated explanation of IGT space coordinates was consistent with the results provided by the kinematic and seasonal analysis. Coordinates received different meanings according to the trajectory trend, seasonality and abrupt changes. Discussion: Treating data as a particle moving over time through a multidimensional probabilistic space and studying the kinematics of its trajectory has turned out to a new temporal variability methodology. Its results on the NHDS were aligned with the dataset and population descriptions found in the literature, contributing with a novel temporal variability characterization. We have demonstrated that the APVV and APVVmat are an appropriate tool for the coordinate-free and oriented analysis of trajectories or complex multivariate signals. Conclusion: The proposed methods comprise an exploratory methodology for the characterization of data temporal variability, what may be useful for a reliable reuse of Big Biomedical Data repositories acquired over long periods of time.This work was supported by UPV grant No. PAID-00-17, and projects DPI2016-80054-R and H2020-SC1-2016-CNECT No. 727560.Sáez, C.; Garcia-Gomez, JM. (2018). Kinematics of Big Biomedical Data to characterize temporal variability and seasonality of data repositories: Functional Data Analysis of data temporal evolution over non-parametric statistical manifolds. International Journal of Medical Informatics. 119:109-124. https://doi.org/10.1016/j.ijmedinf.2018.09.015S10912411

Cost and performance of carbon risk in socially responsible mutual funds

Investors and other financial actors are attracted by the role of socially responsible (SR) mutual funds in the transition to a low-carbon economy. In response to the demand for more information, Morningstar reported the level of carbon risk of funds by using the following indicators: Carbon Risk, Carbon Management, Carbon Operations risk and Carbon Exposure. Dealing with a sample of 3370 equity SR mutual funds worldwide from 2017 to 2021, this study analyzes the relationships between these indicators and the expense ratio and performance of the funds. In general, the results point to funds with lower carbon scores that have lower fees and perform better than those with higher scores. Considering the effects of the COVID-19 crisis, this evidence holds true for most of the sample period analyzed. With a spatial analysis, although the evidence generally holds, regional differences are found. Thus, funds that invest in the USA and Canada are on average cheaper and show lower carbon scores, while funds that are oriented to other areas, such as emerging markets, are more expensive and show higher scores. In summary, there is good news for the utility function of the investor and the planet: Green investing is cheaper and better

Masturbation parameters related to orgasm satisfaction in sexual relationships: Differences between men and women

Objective Masturbation is a behavior that can enhance sexual functioning. This study aims to analyze differences between men and women in different masturbation parameters, and to examine their relation with orgasm satisfaction in sexual relationships. MethodOne thousand three hundred and thirty-fifth men and women from the Spanish population aged 18-83 years (M = 36.91; SD = 11.86) participated in an online survey. A questionnaire was used to collect socio-demographic. Sexual history data, negative attitude toward masturbation, solitary sexual desire and orgasm subjective experience upon masturbation were assessed. Given the differences between men and women, independent regression models are proposed to explain orgasm satisfaction in the sexual relationships context. FindingsMen, compared to women, masturbated at a younger age (p < 0.001), and reported higher current masturbation frequency (p < 0.001) and more solitary sexual desire (p < 0.001). Women reported greater intensity in the subjective orgasm experience on its Affective (p < 0.001), Sensory (p < 0.001) and Intimacy (p < 0.001) dimensions. Regarding regression models, the Affective dimension of orgasm was a common parameter in men (beta = 0.36; p < 0.001) and women (beta = 0.24) to explain orgasm satisfaction during sexual relationships. In men, solitary masturbation frequency (beta = -0.10; p = 0.027) acquired a significant role. In women, the model also included age (beta = 0.09; p = 0.038), negative attitude toward masturbation (beta = -0.12; p = 0.005) and solitary sexual desire (beta = -0.19; p = 0.001). ConclusionWhen dealing with men and women's orgasm difficulties in the sexual relationships context, it is important to consider the role of masturbation. In men and women, the Affective dimension of the orgasm experience explain the orgasm satisfaction in sexual relationship. Also, in men, the solitary masturbation frequency is negatively related with orgasm satisfaction in sexual relationship, supporting the compensatory hypothesis of masturbation. In women, in addition to the Affective dimension, the orgasm satisfaction in sexual relationship is explained, negatively, by the negative attitude toward masturbation, and positively, by the solitary sexual desire, which could be associated with more sexual self-knowledge. The relevance of masturbation in understanding sexual functioning is highlighted.Spanish Government FPU18/03102 RTI2018-093317-B-I0

Asimetrías en el mercado de renta variable: evidencia para el caso español

The objective of this paper is to analyze the variation in the systematic risk of stocks when comparing bearish and bullish periods. Applying Matallín-Sáez, Moreno and Rodríguez (2015) model, risk variation is disaggregated into four components, the most relevant one being linked to the covariances of stocks. The mechanism that causes asymmetry in the systematic risk is essentially due to the fact that stocks with lower (higher) covariances and therefore lower (higher) beta in bullish moments show greater potential to increase (decrease) their covariances in bearish periods and therefore increase (decrease) their beta. The empirical analysis is performed on several databases of Spanish stocks for the period 12/31/2000 to 12/29/2017. Results show how stocks move more closely together in bearish markets, which significantly increases average covariance. Significant evidence of asymmetry is found in the systematic risk of stocks. In general, stocks with lower (higher) beta in bullish periods and smaller (larger) stocks tend to increase (decrease) beta in bearish periods. The cross analysis of upside beta and size reveals a greater association between the upside beta and the variation of the beta. These results are of interest to investors and professional managers of mutual fund and pension plan portfolios.El objetivo de este trabajo es analizar la variación del riesgo sistemático de las acciones al comparar momentos bajistas y alcistas. Se aplica el modelo de Matallín-Sáez, Moreno y Rodríguez (2015), que desagrega la variación del riesgo en cuatro componentes, de los que el más relevante es el vinculado a las covarianzas del activo. El mecanismo que causa la asimetría en el riesgo sistemático es debido, fundamentalmente, a que los activos con menores (mayores) covarianzas y, por tanto, menor (mayor) beta en momentos alcistas, muestran un mayor potencial para incrementar (disminuir) sus covarianzas en momentos bajistas y, por tanto, aumentar (disminuir) su beta. El análisis empírico se realiza sobre diferentes bases de datos de acciones del mercado bursátil español para el periodo del 31 de diciembre de 2000 al 29 de diciembre de 2017. Se evidencia cómo en los mercados bajistas los activos se mueven más conjuntamente, incrementando de forma notable la covarianza media. Los resultados muestran una evidencia significativa de asimetría en el riesgo sistemático de las acciones. En general, las acciones con menor (mayor) beta en momentos alcistas y aquellas con menor (mayor) tamaño tienden a incrementar (disminuir) la beta en momentos bajistas. Del análisis cruzado entre beta alcista y tamaño se desprende una mayor asociación entre la beta estimada en momentos alcistas y la variación de la beta. Estos resultados son de interés para inversores y gestores profesionales de carteras como fondos de inversión y planes de pensiones

Mutual fund performance: dividends do matter

This article studies the bias in mutual fund performance when a nondividend-reinvesting benchmark is used. Our empirical findings show how performance worsens when using a benchmark that includes reinvestment dividends. We also find that inferences about managers’ ability related to economic states are biased by the effect of omitting dividends when selecting a benchmark.This study is part of the research projects P11B2012-07 supported by the Universitat Jaume I and ECO2011-27227 supported by the Spanish Ministerio de Ciencia e Innovación

Investing in mutual funds: the determinants of implied and actual net cash flows

Estimating the fund investors’ demand plays an important role in the mutual fund management. In this line, mutual fund demand can be measured as the total net cash flows experienced by the fund during a period. Due to a lack of the data for inflows and outflows in some countries and databases, many authors estimate the net cash flows using fund size and return information. This rough measure, although being a good approximation, implicitly assumes an error in its calculation. For a sample of 2985 US open-end funds, we find evidence that estimating this implied fund flows, the error generated is higher for smaller funds, funds with higher returns, and for those experiencing higher levels of inflows or outflows. This lack of precision leads to a distortion in the estimation of the effect of some determinants on the mutual fund demand, especially when longer periods are considered when constructing the net cash flows

Institutional investment management: An investor's perspective on the relation between turnover and performance

The main aim of this study is to analyse the relationship between turnover and performance in institutional investment management. For a sample of US equity mutual funds during the period January 1999–December 2014, we show that high-turnover funds do not beat low-turnover funds, since their performances are no different, or even significantly lower. Moreover, we show that investing in past high-turnover mutual funds provides investors with significantly worse results than investing in previously low-turnover funds. Investors aiming to enhance their risk-adjusted returns should therefore consider the turnover ratio level in their fund investment decisions

La elección del inversor entre fondos activos y fondos índice

This study compares the performance of actively-managed mutual funds and index funds. For a large sample of US domestic equity share-class funds, we analyze the relation between portfolio turnover and fund risk-adjusted return. Using gross returns, results indicate that before (after) the onset of the recent financial crisis, low-turnover active funds reach higher (similar) results than those obtained by index funds, whilst high-turnover active funds have similar (worse) returns to index funds. The same evidence is found when net returns are considered, but index funds perform comparatively better due to their lower costs. From an investors’ perspective, investing in previous high-turnover funds could lead to lower overall risk-adjusted returns.Este estudio compara el rendimiento de los fondos de inversión gestionados activamente y los fondos que replican a índice de referencia. Para una amplia muestra de fondos estadounidenses que invierten en acciones de EE. UU., se analiza la relación entre la rotación de la cartera y el rendimiento ajustado al riesgo de los fondos considerados. En términos de rentabilidades brutas, se muestra que antes (después) del inicio de la reciente crisis financiera, los fondos activos que presentan una baja rotación alcanzan resultados más altos (similares) que los obtenidos por fondos índice, mientras que los fondos activos de alta rotación tienen rendimientos similares o incluso peores. La misma evidencia se encuentra al considerar rendimientos netos, aunque los fondos índice tienen un desempeño comparativamente mejor debido a los menores gastos asociados que soportan. Desde la perspectiva de los inversores, invertir en fondos previos de alta rotación podría conducir, en promedio, a peores resultados financieros

Project based learning in Biomedical Data Science using the MIMIC III open dataset

[EN] The subjects Health Information Systems and Telemedicine and Data Quality and Interoperability of the Degree and Master in Biomedical Engineering of the Universitat Politècnica de València, Spain, address learning outcomes related to managing and processing biomedical databases, using health information standards for data capture and exchange, data quality assessment, and developing machine-learning models from these data. These learning outcomes cover a large range of distinct activities in the biomedical data life-cycle, what may hinder the learning process in the limited time assigned for the subject. We propose a project based learning approach addressing the full life-cycle of biomedical data on the MIMIC-III (Medical Information Mart for Intensive Care III) Open Dataset, a freely accessible database comprising information relating to patients admitted to critical care units. By means of this active learning approach, students can achieve all the learning outcomes of the subject in an integrated manner: understanding the MIMIC-III data model, using health information standards such as International Classification of Diseases 9th Edition (ICD-9), mapping to interoperability standards, querying data, creating data tables and addressing data quality towards applying reliable statistical and machine learning analysis and, developing predictive models for several tasks such as predicting in-hospital mortality. MIMIC-III is widely used in the academia and science, with a large amount of publicly available resources and scientific articles to support the students learning. Additionally, the students will gain new competences in the use of Open Data and Research Ethics and Compliance Training.Alcalá, L.; García Gómez, JM.; Sáez Silvestre, C. (2021). Project based learning in Biomedical Data Science using the MIMIC III open dataset. En Proceedings INNODOCT/20. International Conference on Innovation, Documentation and Education. Editorial Universitat Politècnica de València. 203-212. https://doi.org/10.4995/INN2020.2020.11890OCS20321