The performance of socially responsible mutual funds: the role of fees and management companies

In this paper, we shed light on the debate about the financial performance of socially responsible investment (SRI) mutual funds by separately analyzing the contributions of before-fee performance and fees to SRI funds' performance and by investigating the role played by fund management companies in the determination of those variables. We apply the matching estimator methodology to obtain our results and find that in the period 1997-2005, US SRI funds had significantly higher fees and better before- and after-fee performance than conventional funds with similar characteristics. Differences, however, were driven exclusively by SRI funds run by management companies specialized in socially responsible investment

Comparing univariate and multivariate models to forecast portfolio value-at-risk

This article addresses the problem of forecasting portfolio value-at-risk (VaR) with multivariate GARCH models vis-à-vis univariate models. Existing literature has tried to answer this question by analyzing only small portfolios and using a testing framework not appropriate for ranking VaR models. In this work we provide a more comprehensive look at the problem of portfolio VaR forecasting by using more appropriate statistical tests of comparative predictive ability. Moreover, we compare univariate vs. multivariate VaR models in the context of diversified portfolios containing a large number of assets and also provide evidence based on Monte Carlo experiments. We conclude that, if the sample size is moderately large, multivariate models outperform univariate counterparts on an out-of-sample basis

Comparing Forecasts of Extremely Large Conditional Covariance Matrices

Modelling and forecasting high dimensional covariance matrices is a key challenge in data-richenvironments involving even thousands of time series since most of the available models sufferfrom the curse of dimensionality. In this paper, we challenge some popular multivariate GARCH(MGARCH) and Stochastic Volatility (MSV) models by fitting them to forecast the conditionalcovariance matrices of financial portfolios with dimension up to 1000 assets observed daily over a30-year time span. The time evolution of the conditional variances and covariances estimated bythe different models is compared and evaluated in the context of a portfolio selection exercise. Weconclude that, in a realistic context in which transaction costs are taken into account, modelling thecovariance matrices as latent Wishart processes delivers more stable optimal portfolio compositionsand, consequently, higher Sharpe ratios.Guilherme V. Moura is supported by the Brazilian Government through grants number 424942- 2016-0 (CNPQ) and 302865-2016-0 (CNPQ). André A.P. Santos is supported by the Brazilian Government through grants number 303688-2016-5 (CNPQ) and 420038-2018-3 (CNPQ). Esther Ruiz is supported by the Spanish Government through grant number ECO2015-70331-C2-2-R (MINECO/FEDER)

Modulation of charge-density waves by superlattice structures

We discuss the interplay between electronic correlations and an underlying superlattice structure in determining the period of charge density waves (CDW's), by considering a one-dimensional Hubbard model with a repeated (non-random) pattern of repulsive (U>0) and free (U=0) sites. Density matrix renormalization group diagonalization of finite systems (up to 120 sites) is used to calculate the charge-density correlation function and structure factor in the ground state. The modulation period can still be predicted through effective Fermi wavevectors, k_F*, and densities, and we have found that it is much more sensitive to electron (or hole) doping, both because of the narrow range of densities needed to go from q*=0 to \pi, but also due to sharp 2k_F*-4k_F* transitions; these features render CDW's more versatile for actual applications in heterostructures than in homogeneous systems.Comment: 4 pages, 5 figures, to appear in Phys Rev

Ginzburg-Landau model with small pinning domains

We consider a Ginzburg-Landau type energy with a piecewise constant pinning term $a$ in the potential $(a^2 - |u|^2)^2$. The function $a$ is different from 1 only on finitely many disjoint domains, called the {\it pinning domains}. These pinning domains model small impurities in a homogeneous superconductor and shrink to single points in the limit $\v\to0$; here, \v is the inverse of the Ginzburg-Landau parameter. We study the energy minimization in a smooth simply connected domain $\Omega \subset \mathbb{C}$ with Dirichlet boundary condition $g$ on \d \O, with topological degree {\rm deg}_{\d \O} (g) = d >0. Our main result is that, for small \v, minimizers have $d$ distinct zeros (vortices) which are inside the pinning domains and they have a degree equal to 1. The question of finding the locations of the pinning domains with vortices is reduced to a discrete minimization problem for a finite-dimensional functional of renormalized energy. We also find the position of the vortices inside the pinning domains and show that, asymptotically, this position is determined by {\it local renormalized energy} which does not depend on the external boundary conditions.Comment: 39 page

Relation between TNF-alpha and exercise induced bronchoconstriction

Introduction: Exercise-induced bronchoconstriction (EIB) describes an acute airway narrowing that occurs as a result of exercise. EIB is associated with a hyperosmolar environment that lead to airway smooth muscle contraction. The proinflammatory cytokine, TNF-alpha, has a prominent role in the development of airway hiperresponsiveness (AHR). A single bout of heavy exercise can trigger EIB. The aim of this research was to compare the response of TNF-alpha over time with the presence or absence of EIB in marathon runners. Methods: Thirty-eight male runners, who did not have any chronic or acute airway disease, performed maximal cardiopulmonary exercise testing on a treadmill coupled to the gas analyzer (FitMate ™, Cosmed, Italy). Was used a ramp protocol with fixed slope of 1% and an increase of load (1km/h) every minute. Spirometry was performed before (pre), immediately after, five, ten, fifteen and twenty minutes after exercise stress testing. Were considered positive for BIE those athletes that presented a decrease in expiratory volume in one second greater than 10% in any of the spirometric tests. Blood samples were obtained the day before the marathon, immediately and after 72 hours after the race. Cytokines were determined in serum by ELISA. Was used analysis of variance (ANOVA) with two factors, group and time of blood collection, considering repeated measures on the time factor. In the case of statistical significance for interaction group and blood was concluded that the behavior over time was significantly different between EIB negative (-) and EIB positive (+), in this case applied the method of Tukey\u27s multiple comparisons to determine the moment that occurred these differences (p\u3c0.05). Results: We observed a statistically significant difference (p=0.048) in the behavior of the concentration of TNF-alpha between groups EIB- and EIB+. The measure pre of the EIB+ have an higher concentration of TNF-alpha compared to those obtained immediately after the marathon for EIB+ and the results obtained at the three moments for EIB-. (Figure 1). Conclusion: Our results suggests that an inflammatory status in serum of the marathon runners presenting BIE, before the race may be associated with bronchoconstriction triggering

Electromagnetic energy harvesting using magnetic levitation architectures: a review

Motion-driven electromagnetic energy harvesters have the ability to provide low-cost and customizable electric powering. They are a well-suited technological solution to autonomously supply a broad range of high-sophisticated devices. This paper presents a detailed review focused on major breakthroughs in the scope of electromagnetic energy harvesting using magnetic levitation architectures. A rigorous analysis of twenty-one design configurations was made to compare their geometric and constructive parameters, optimization methodologies and energy harvesting performances. This review also explores the most relevant models (analytical, semi-analytical, empirical and finite element method) already developed to make intelligible the physical phenomena of their transduction mechanisms. The most relevant approaches to model each physical phenomenon of these transduction mechanisms are highlighted in this paper. Very good agreements were found between experimental and simulation tests with deviations lower than 15%. Moreover, the external motion excitations and electric energy harvesting outputs were also comprehensively compared and critically discussed. Electric power densities up to 8 mW/cm^3 (8 kW/m^3) have already been achieved; for resistive loads, the maximum voltage and current were 43.4 V and 150 mA, respectively, for volumes up to 235 cm^3. Results highlight the potential of these harvesters to convert mechanical energy into electric energy both for large-scale and small-scale applications. Moreover, this paper proposes future research directions towards efficiency maximization and minimization of energy production costs.in publicatio

Evaluation of the prevalence and caracterization of rinosinusitis in primary health care centers in Portugal

Objectivos: Determinar a prevalência da rinossinusite (RS) diagnosticada nos Centros de Saúde (CS) portugueses, aferindo formas de apresentação e tratamento desta patologia. Desenho do Estudo: Estudo epidemiológico, transversal. Material e Métodos: Entre Maio/2008 e Junho/2009 avaliou-se uma coorte de utentes que se dirigiram à consulta de clínica geral, nos CS seleccionados. Resultados: Incluíram-se 1.201 utentes, 71% do sexo feminino com idade média de 41,7±13,2 anos. A prevalência global de RS foi de 19,2%, [n=231; 17,1%, 21,5%; IC 95%]. A prevalência de RS aguda foi de 7,4% [n=89; 6,0%, 9,0%; IC 95%] e a de RS crónica de 13,0% [n=156; 11,2%, 15,0%; IC 95%]. Conclusões: A prevalência pontual de RS calculada foi elevada, principalmente a de RS crónica. Metade dos doentes (50%) já tinha efectuado pelo menos um exame complementar de diagnóstico. Verifica-se algum desfasamento entre as orientações para diagnóstico e tratamento da RS e a prática actual nos CS.info:eu-repo/semantics/publishedVersio