Risk shifting consequences depending on manager characteristics

This paper investigates the performance consequences of the risk shifting behavior shown by domestic equity mutual funds through the analysis of monthly portfolio holdings. The objective of this paper is to assess the implications of risk shifting for mutual fund investors. Specifically, we study the performance consequences of different mechanisms of risk shifting, such as the change in the composition between equity and cash holdings and the change of the systematic or idiosyncratic risk within the equity positions. We find that funds that increase their risk level obtain significantly better performance than funds with stable or reduced risk levels. This finding is robust when controlling for fund characteristics such as past performance and fund size. Additionally, we examine whether the performance consequences of risk shifting depends on fund manager characteristics and find that manager gender, education and level of specialization are revealed as important variables to differentiate the performance consequences of risk shifting

The convergence between sustainability and conventional stock indices. Are we on the right track?

The growth of passive and socially responsible (SR) investment makes that sustainability indices play an important role in defining what constitutes a sustainable investment. In order to know the suitability of sustainability indices as benchmarks for SR investors, we used different linear regressions to compare the compositions of sustainability indices and their conventional counterparts and to compare the levels of corporate social responsibility (CSR) of both types of indices. We showed that the composition of sustainability indices gradually converged towards their conventional peers. Moreover, the difference between the CSR levels of both type of indices remained the same or even decreased over time. We concluded that a change in the weighting method of sustainability indices such as the equally weighted criterion would significantly increase the difference from their conventional counterparts. However, due to the relationship between CSR and size, this change would penalize the CSR level of the index. These results raise the question of whether SR passive investors will be able to meet their non-financial expectations as a consequence of the convergence. © 2021 by the authors. Licensee MDPI, Basel, Switzerland

Mutual fund performance attribution and market timing using portfolio holdings

We propose a novel performance attribution model for equity fund portfolios. The model analyses investment decisions based on portfolio holdings and measures the value added from different sources of performance such as past return strategies, security selection, market timing and passive timing. The model was tested for a sample of mutual funds. Empirical results show that security selection is the main contributor to fund performance regardless of the sample period considered or the asset pricing model used. The evidence of timing ability is mixed with low significance. Nevertheless there are noticeable differences between the timing ability of the best and worst performing funds, especially in crisis periods. Analysing the relationship between mutual fund performance (and its different components) and fund characteristics, we find that top funds are significantly smaller and more concentrated than other funds. Finally, we also examine the persistence in the performance and in its components finding evidence of positive persistence in past return strategies and picking skills although this persistence is not shown in the overall performance

The LEPR gene is associated with reproductive seasonality traits in Rasa Aragonesa sheep

The aim of this study was to characterize and identify causative polymorphisms in the leptin receptor (LEPR) gene responsible for the seasonal variation of reproductive traits in sheep. Three reproductive seasonality traits were studied: the total days of anoestrous (TDA), the progesterone cycling months (P4CM) and the oestrous cycling months (OCM). In total, 18 SNPs were detected in 33 ewes with extreme values for TDA and OCM. Six SNPs were non-synonymous substitutions and two of them were predicted in silico as deleterious: rs596133197 and rs403578195. These polymorphisms were then validated in 239 ewes. The SNP rs403578195, located in exon 8 and leading to a change of alanine to glycine (Ala284Gly) in the extracellular domain of the protein, was associated with the OCM trait, being the G allele associated with a decrease of 12 percent of the OCM trait. Haplotype analyses also suggested the involvement of other non-synonymous SNP located in exon 20 (rs405459906). This SNP also produces an amino acid change (Lys1069Glu) in the intracellular domain of the protein and segregates independently of rs403578195. These results confirm for the first time the role of the LEPR gene in sheep reproductive seasonality

SNP rs403212791 in exon 2 of the MTNR1A gene is associated with reproductive seasonality in the Rasa aragonesa sheep breed

The aim of this study was to characterize and identify causative SNPs in the MTNR1A gene responsible for the reproductive seasonality traits in the Rasa aragonesa sheep breed. A total of 290 ewes (155, 84 and 51 mature, young and ewe lambs, respectively) from one flock were controlled from January to August. The following three reproductive seasonality traits were considered: the total days of anoestrus (TDA) and the progesterone cycling months (P4CM); both ovarian function seasonality traits based on blood progesterone levels; and the oestrus cycling months (OCM) based on oestrous detection, which indicate behavioural signs of oestrous. We have sequenced the total coding region plus 733 and 251 bp from the promoter and 3'-UTR regions, respectively, from the gene in 268 ewes. We found 9 and 4 SNPs associated with seasonality traits in the promoter (for TDA and P4CM) and exon 2 (for the three traits), respectively. The SNPs located in the gene promoter modify the putative binding sites for various trans-acting factors. In exon 2, two synonymous SNPs affect RFLP sites, rs406779174/RsaI (for the three traits) and rs430181568/MnlI (for OCM), and they have been related with seasonal reproductive activity in previous association studies with other breeds. SNP rs400830807, which is located in the 3'-UTR, was associated with the three traits, but this did not modify the putative target sites for ovine miRNAs according to in silico predictions. Finally, the SNP rs403212791 (NW_014639035.1: g.15099004G > A), which is also associated with the three seasonality phenotypes, was the most significant SNP detected in this study and was a non-synonymous polymorphism, leading a change from an Arginine to a Cysteine (R336C). Haplotype analyses confirmed the association results and showed that the effects found for the seasonality traits were caused by the SNPs located in exon 2. We have demonstrated that the T allele in the SNP rs403212791 in the MNTR1A gene is associated with a lower TDA and higher P4CM and OCM values in the Rasa Aragonesa breed

Identification of nine new susceptibility loci for endometrial cancer

Endometrial cancer is the most commonly diagnosed cancer of the female reproductive tract in developed countries. Through genome-wide association studies (GWAS), we have previously identified eight risk loci for endometrial cancer. Here, we present an expanded meta-analysis of 12,906 endometrial cancer cases and 108,979 controls (including new genotype data for 5624 cases) and identify nine novel genome-wide significant loci, including a locus on 12q24.12 previously identified by meta-GWAS of endometrial and colorectal cancer. At five loci, expression quantitative trait locus (eQTL) analyses identify candidate causal genes; risk alleles at two of these loci associate with decreased expression of genes, which encode negative regulators of oncogenic signal transduction proteins (SH2B3 (12q24.12) and NF1 (17q11.2)). In summary, this study has doubled the number of known endometrial cancer risk loci and revealed candidate causal genes for future study

Oral bisphosphonate use and lung cancer incidence among postmenopausal women

Background: Bisphosphonates are common medications for the treatment of osteoporosis in older populations. Several studies, including the Women's Health Initiative (WHI), have found inverse associations of bisphosphonate use with risk of breast and endometrial cancer, but little is known about its association with other common malignancies. The objective of this study was to evaluate the association of bisphosphonate use on the incidence of lung cancer in the WHI. Patients and methods: The association between oral bisphosphonate use and lung cancer risk was examined in 151 432 postmenopausal women enrolled into the WHI in 1993-1998. At baseline and during follow-up, participants completed an inventory of regularly used medications including bisphosphonates. Results: After a mean follow-up of 13.3 years, 2511 women were diagnosed with incident lung cancer. There was no evidence of a difference in lung cancer incidence between oral bisphosphonate users and never users (adjusted hazard ratio=0.91; 95% confidence intervals, 0.80-1.04; P=0.16). However, an inverse association was observed among those who were never smokers (hazard ratio=0.57, 95% confidence interval, 0.39-0.84; P < 0.01). Conclusion: In this large prospective cohort of postmenopausal women, oral bisphosphonate use was associated with significantly lower lung cancer risk among never smokers, suggesting bisphosphonates may have a protective effect against lung cancer. Additional studies are needed to confirm our findings

SNP rs403212791 in exon 2 of the MTNR1A gene is associated with reproductive seasonality in the Rasa aragonesa sheep breed

The aim of this study was to characterize and identify causative SNPs in the MTNR1A gene responsible for the reproductive seasonality traits in the Rasa aragonesa sheep breed. A total of 290 ewes (155, 84 and 51 mature, young and ewe lambs, respectively) from one flock were controlled from January to August. The following three reproductive seasonality traits were considered: the total days of anoestrus (TDA) and the progesterone cycling months (P4CM); both ovarian function seasonality traits based on blood progesterone levels; and the oestrus cycling months (OCM) based on oestrous detection, which indicate behavioural signs of oestrous. We have sequenced the total coding region plus 733 and 251 bp from the promoter and 3'-UTR regions, respectively, from the gene in 268 ewes. We found 9 and 4 SNPs associated with seasonality traits in the promoter (for TDA and P4CM) and exon 2 (for the three traits), respectively. The SNPs located in the gene promoter modify the putative binding sites for various trans-acting factors. In exon 2, two synonymous SNPs affect RFLP sites, rs406779174/RsaI (for the three traits) and rs430181568/MnlI (for OCM), and they have been related with seasonal reproductive activity in previous association studies with other breeds. SNP rs400830807, which is located in the 3'-UTR, was associated with the three traits, but this did not modify the putative target sites for ovine miRNAs according to in silico predictions. Finally, the SNP rs403212791 (NW_014639035.1: g.15099004G > A), which is also associated with the three seasonality phenotypes, was the most significant SNP detected in this study and was a non-synonymous polymorphism, leading a change from an Arginine to a Cysteine (R336C). Haplotype analyses confirmed the association results and showed that the effects found for the seasonality traits were caused by the SNPs located in exon 2. We have demonstrated that the T allele in the SNP rs403212791 in the MNTR1A gene is associated with a lower TDA and higher P4CM and OCM values in the Rasa Aragonesa breed