Essays on Hedge Fund Performance

This dissertation consists of two essays on hedge fund performance. The first essay models exposure of hedge fund to risk factors and examines time-varying performance of hedge funds. From existing models such as ABS-factor model, SAC-factor model, and four-factor model, we extract the best six factors for each hedge fund portfolio by investment strategy. Then, we find combinations of risk factors that most explain variance in performance of each hedge fund portfolio by investment strategy. The results show instability of coefficients in the performance attribution regression. Incorporating time-varying factor exposure feature would be the best way to appropriately measure hedge fund performance. Furthermore, the optimal models with fewer factors exhibit greater explanatory power than existing models. Time-varying model customized by investment strategy of hedge funds would clearly show how sensitive to risk factors managements of hedge funds are according to market conditions In the second essay, we first conduct multinomial logistic regression analysis to see how hedge fund attributes affect hedge fund managers‟ decision of whether to offer a hurdle rate and/or high-watermark. Hedge funds taking more risky position and collecting high performance fee are more likely to offer hurdle rate and/or high-watermark. Second, we conduct cross-sectional regression analysis to see how hedge fund attributes affect hedge fund performance. Our results indicate that hurdle rate and high-watermark are restrictions for hedge fund managers on collecting fee and that hurdle rate and high-watermark cannot be considered to be incentives. We also find that hedge funds collecting high performance fee and having large amount of funds are more likely to outperform those collecting low performance fee and having small amount of funds. While conducting cross-sectional regression analysis, we use three different measures of hedge fund performance: alpha, palpha and Sharpe ratio. Alpha and palpha are obtained from the optimal model by investment strategy controlling for hedge fund risk associated with risk factors different by its investment strategy. In addition, we control for survivorship and instant history biases. So, our results from alpha and palpha are more credible than those of Soydemir et al. (2012) which employs only Sharpe ratio

Primary Pulmonary Plasmacytoma Presenting as Multiple Lung Nodules

Extramedullary plasmacytoma is a plasma cell tumor arising outside the bone marrow and usually occurs as a solitary tumor in the upper respiratory tract, such as the pharynx, paranasal sinuses, nasal cavity, or oral cavity [1]. Other cases develop in the lymph nodes, skin, gastrointestinal tract, genitourinary tract, and other regions. Primary pulmonary plasmacytomas are very rare and usually present as solitary lung nodules or masses [2]. Unusual cases manifest as diffuse pulmonary infiltration [3,4]. We describe here a unique case of primary pulmonary plasmacytoma, which presented as multiple lung nodules during regular screening in a patient with systemic lupus erythematosus

Enhanced cardiac expression of two isoforms of matrix metalloproteinase-2 in experimental diabetes mellitus.

BackgroundDiabetic cardiomyopathy (DM CMP) is defined as cardiomyocyte damage and ventricular dysfunction directly associated with diabetes independent of concomitant coronary artery disease or hypertension. Matrix metalloproteinases (MMPs), especially MMP-2, have been reported to underlie the pathogenesis of DM CMP by increasing extracellular collagen content.PurposeWe hypothesized that two discrete MMP-2 isoforms (full length MMP-2, FL-MMP-2; N-terminal truncated MMP-2, NTT-MMP-2) are induced by high glucose stimulation in vitro and in an experimental diabetic heart model.MethodsRat cardiomyoblasts (H9C2 cells) were examined to determine whether high glucose can induce the expression of the two isoforms of MMP-2. For the in vivo study, we used the streptozotocin-induced DM mouse heart model and age-matched controls. The changes of each MMP-2 isoform expression in the diabetic mice hearts were determined using quantitative real-time polymerase chain reaction (qRT-PCR). Immunohistochemical stains were conducted to identify the location and patterns of MMP-2 isoform expression. Echocardiography was performed to compare and analyze the changes in cardiac function induced by diabetes.ResultsQuantitative RT-PCR and immunofluorescence staining showed that the two MMP-2 isoforms were strongly induced by high glucose stimulation in H9C2 cells. Although no definite histologic features of diabetic cardiomyopathy were observed in diabetic mice hearts, left ventricular systolic dysfunction was determined by echocardiography. Quantitative RT-PCR and IHC staining showed this abnormal cardiac function was accompanied with the increases in the mRNA levels of the two isoforms of MMP-2 and related to intracellular localization.ConclusionTwo isoforms of MMP-2 were induced by high glucose stimulation in vitro and in a Type 1 DM mouse heart model. Further study is required to examine the role of these isoforms in DM CMP

A Case of Mexiletine-induced Hypersensitivity Syndrome Presenting as Eosinophilic Pneumonia

An 82-yr-old man was presented with fever and cough accompanied by generalized erythematous rash. He had taken mexiletine for 5 months, as he had been diagnosed with dilated cardiomyopathy and ventricular arrhythmia. Laboratory studies showed peripheral blood eosinophilia and elevated liver transaminase levels. Chest radiographs showed multiple nodular consolidations in both lungs. Biopsies of the lung and skin lesions revealed eosinophilic infiltration. After a thorough review of his medication history, mexiletine was suspected as the etiologic agent. After discontinuing the mexiletine and starting oral prednisolone, the patient improved, and the skin and lung lesions disappeared. Subsequently, mexiletine was confirmed as the causative agent based on a positive patch test. Drug-induced hypersensitivity syndrome is a severe adverse reaction to drugs and results from treatment with anticonvulsants, allopurinol, sulfonamides, and many other drugs. Several cases of mexiletine-induced hypersensitivity syndrome have been reported in older Japanese males with manifestation of fever, rash, peripheral blood eosinophilia, liver dysfunction without other organ involvement. Here, we report a case of mexiletine-induced hypersensitivity syndrome which presented as eosinophilic pneumonia in a Korean male

Calpains are Involved in Entamoeba histolytica-Induced Death of HT-29 Colonic Epithelial Cells

Entamoeba histolytica is an enteric tissue-invading protozoan parasite that can cause amebic colitis and liver abscess in humans. E. histolytica has the capability to kill colon epithelial cells in vitro; however, information regarding the role of calpain in colon cell death induced by ameba is limited. In this study, we investigated whether calpains are involved in the E. histolytica-induced cell death of HT-29 colonic epithelial cells. When HT-29 cells were co-incubated with E. histolytica, the propidium iodide stained dead cells markedly increased compared to that in HT-29 cells incubated with medium alone. This pro-death effect induced by ameba was effectively blocked by pretreatment of HT-29 cells with the calpain inhibitor, calpeptin. Moreover, knockdown of m- and µ-calpain by siRNA significantly reduced E. histolytica-induced HT-29 cell death. These results suggest that m- and µ-calpain may be involved in colon epithelial cell death induced by E. histolytica

Effects of Intronic and Exonic Polymorphisms of Paraoxonase 1 (PON1) Gene on Serum PON1 Activity in a Korean Population

Paraoxonase 1 (PON1) hydrolyzes a number of toxic organophosphorous compounds and reduces lipid peroxide accumulation, and PON1 genetic polymorphisms in the coding region modulate serum PON1 activity. In this study, we investigated the association between 3 polymorphisms of PON1 located in intron 5 (17899insdelTT and 17974CT) and exon 6 (192QR) and serum PON1 activity. The genetic polymorphisms and serum activity of PON1 were analyzed in 153 healthy Koreans by using a direct sequencing assay and spectrophotometric method, respectively. A significant linkage disequilibrium (LD) was observed between all tested single nucleotide polymorphisms, with the strongest LD observed between 17899insdelTT and 192QR (D' = 0.984). The 17899insdelTT, 17974CT and 192QR genetic polymorphisms were associated with significant differences in serum paraoxonase activity. In multiple regression analyses, smoking, triglyceride level, high-density lipoprotein (HDL) level, and the 17899insdelTT and 192QR genetic polymorphisms were significant determinants of serum paraoxonase activity, while age, smoking, triglyceride level, HDL level, and the 192QR genetic polymorphism were significant determinants of serum arylesterase activity. These results suggest that although the 192QR genetic polymorphism in the coding region of PON1 is primarily associated with serum PON1 activity, the intronic polymorphisms are also involved in serum PON1 activity, and this association may be mediated by LD