Sharpening Sharpe Ratios

It is now well known that the Sharpe ratio and other related reward-to-risk measures may be manipulated with option-like strategies. In this paper we derive the general conditions for achieving the maximum expected Sharpe ratio. We derive static rules for achieving the maximum Sharpe ratio with two or more options, as well as a continuum of derivative contracts. The optimal strategy rules for increasing the Sharpe ratio. Our results have implications for performance measurement in any setting in which managers may use derivative contracts. In a performance measurement setting, we suggest that the distribution of high Sharpe ratio managers should be compared with that of the optimal Sharpe ratio strategy. This has particular application in the hedge fund industry where use of derivatives is unconstrained and manager compensation itself induces a non-linear payoff. The shape of the optimal Sharpe ratio leads to further conjectures. Expected returns being held constant, high Sharpe ratio strategies are, by definition, strategies that generate regular modest profits punctunated by occasional crashes. Our evidence suggests that the 'peso problem' may be ubiquitous in any investment management industry that rewards high Sharpe ratio managers.

Secondary Eclipse Photometry of WASP-4b with Warm Spitzer

We present photometry of the giant extrasolar planet WASP-4b at 3.6 and 4.5 micron taken with the Infrared Array Camera on board the Spitzer Space Telescope as part of Spitzer's extended warm mission. We find secondary eclipse depths of 0.319+/-0.031% and 0.343+/-0.027% for the 3.6 and 4.5 micron bands, respectively and show model emission spectra and pressure-temperature profiles for the planetary atmosphere. These eclipse depths are well fit by model emission spectra with water and other molecules in absorption, similar to those used for TrES-3 and HD 189733b. Depending on our choice of model, these results indicate that this planet has either a weak dayside temperature inversion or no inversion at all. The absence of a strong thermal inversion on this highly irradiated planet is contrary to the idea that highly irradiated planets are expected to have inversions, perhaps due the presence of an unknown absorber in the upper atmosphere. This result might be explained by the modestly enhanced activity level of WASP-4b's G7V host star, which could increase the amount of UV flux received by the planet, therefore reducing the abundance of the unknown stratospheric absorber in the planetary atmosphere as suggested in Knutson et al. (2010). We also find no evidence for an offset in the timing of the secondary eclipse and place a 2 sigma upper limit on |ecos(omega)| of 0.0024, which constrains the range of tidal heating models that could explain this planet's inflated radius.Comment: 8 pages, 7 figures (some in color), accepted for publication in Ap

Atmospheric Circulation of Eccentric Hot Neptune GJ436b

GJ436b is a unique member of the transiting extrasolar planet population being one of the smallest and least irradiated and possessing an eccentric orbit. Because of its size, mass and density, GJ436b could plausibly have an atmospheric metallicity similar to Neptune (20-60 times solar abundances), which makes it an ideal target to study the effects of atmospheric metallicity on dynamics and radiative transfer in an extrasolar planetary atmosphere. We present three-dimensional atmospheric circulation models that include realistic non-gray radiative transfer for 1, 3, 10, 30, and 50 times solar atmospheric metallicity cases of GJ436b. Low metallicity models (1 and 3 times solar) show little day/night temperature variation and strong high-latitude jets. In contrast, higher metallicity models (30 and 50 times solar) exhibit day/night temperature variations and a strong equatorial jet. Spectra and light curves produced from these simulations show strong orbital phase dependencies in the 50 times solar case and negligible variations with orbital phase in the 1 times solar case. Comparisons between the predicted planet/star flux ratio from these models and current secondary eclipse measurements support a high metallicity atmosphere (30-50 times solar abundances) with disequilibrium carbon chemistry at play for GJ436b. Regardless of the actual atmospheric composition of GJ436b, our models serve to illuminate how metallicity influences the atmospheric circulation for a broad range of warm extrasolar planets.Comment: 25 pages, 13 figure

Exile Vol. XXV No. 2

POETRY In the Cave by Reid Bandeen Leningrad, December 1978 by Howard Fencl untitled by Pearlene Scott Bleach by Lisa Minacci Seating eyes by Lisa Minacci untitled by Ellen Cox Two Poems by Melissa Simmons Daddy by Amy L. Shafer PROSE Night Ride by Jon Krantz Waiting by Cynthia Hohn Father by A. Page Spiegel Waiting Up for Mom and Dad by Susan Harrison PHOTOGRAPHY Front Cover by Del Bogart Back Cover by Bill Lesser Virginia Rocks by Bill Lesser Untitled by Mary Jo Rhodes Untitled 1, 2, 3 by Del Bogart Pet Pigs by Kathy Schilbe ART Etching by Scott Tryon We were very glad to see the enthusiasm expressed by both the volume and the variety of contributions to the Summer Issue. Special thanks go to Jonathan Krant, a student at Johns Hopkins University, for his contribution, and Lisa Minacci, for her help. -the editor

Social interactions in striped hyena inferred from camera trap data: is it more social than previously thought?

Understanding the drivers promoting sociality over solitariness in animal species is imperative for predicting future population trends and informing conservation and management. In this study we investigate the social structure of a desert dwelling population of striped hyena Hyaena hyaena. This species is historically regarded as strictly solitary albeit being the least studied of the extant Hyaenids. Accumulating evidence regarding the frequency of social interactions suggests a revision of striped hyena social structure is required. We hypothesized that striped hyena has a social structure that is more complex than expected for a strictly solitary species. For that end, we deployed an array of camera-traps in a remote desert region in Israel, and compared observed frequencies of striped hyena co-occurrence against null models to test whether hyena co-occurred more than expected by chance. Seven adults were (re)captured by our camera-traps in 49 different instances over 83 tracking days. Of these, 6 exhibited shared space-use around a scarce, isolated perennial water source. Five of them, co-occurred with other hyena (in 3 instances) significantly more frequent than expected by chance (and that timing suggests reproduction is unlikely to be the driving factor). Our findings substantiate evidence of complex social structure in striped hyena, highlight the importance of a scarce resource in space-use and sociality, and provide a baseline for future research of striped hyena social structure. We suggest that similar methods be employed to evaluate social structure in other “solitary species” to better understand their social dynamics

Infrared Eclipses of the Strongly Irradiated Planet WASP-33b, and Oscillations of its Host Star

We observe two secondary eclipses of the strongly irradiated transiting planet WASP-33b in the Ks band, and one secondary eclipse each at 3.6- and 4.5 microns using Warm Spitzer. This planet orbits an A5V delta-Scuti star that is known to exhibit low amplitude non-radial p-mode oscillations at about 0.1-percent semi-amplitude. We detect stellar oscillations in all of our infrared eclipse data, and also in one night of observations at J-band out of eclipse. The oscillation amplitude, in all infrared bands except Ks, is about the same as in the optical. However, the stellar oscillations in Ks band have about twice the amplitude as seen in the optical, possibly because the Brackett-gamma line falls in this bandpass. We use our best-fit values for the eclipse depth, as well as the 0.9 micron eclipse observed by Smith et al., to explore possible states of the exoplanetary atmosphere, based on the method of Madhusudhan and Seager. On this basis we find two possible states for the atmospheric structure of WASP-33b. One possibility is a non-inverted temperature structure in spite of the strong irradiance, but this model requires an enhanced carbon abundance (C/O>1). The alternative model has solar composition, but an inverted temperature structure. Spectroscopy of the planet at secondary eclipse, using a spectral resolution that can resolve the water vapor band structure, should be able to break the degeneracy between these very different possible states of the exoplanetary atmosphere. However, both of those model atmospheres absorb nearly all of the stellar irradiance with minimal longitudinal re-distribution of energy, strengthening the hypothesis of Cowan et al. that the most strongly irradiated planets circulate energy poorly. Our measurement of the central phase of the eclipse yields e*cos(omega)=0.0003 +/-0.00013, which we regard as being consistent with a circular orbit.Comment: 23 pages, 9 figures, 3 tables, accepted for the Astrophysical Journa

Transmission Spectra of Transiting Planet Atmospheres: Model Validation and Simulations of the Hot Neptune GJ 436b for JWST

We explore the transmission spectrum of the Neptune-class exoplanet GJ 436b, including the possibility that its atmospheric opacity is dominated by a variety of non- equilibrium chemical products. We also validate our transmission code by demonstrating close agreement with analytic models that use only Rayleigh scattering or water vapor opacity. We find broad disagreement with radius variations predicted by another published model. For GJ 436b, the relative coolness of the planet's atmosphere, along with its implied high metallicity, may make it dissimilar in character compared to "hot Jupiters." Some recent observational and modeling efforts suggest low relative abundances of H2O and CH4 present in GJ 436b's atmosphere, compared to calculations from equilibrium chemistry. We include these characteristics in our models and examine the effects of absorption from methane-derived higher order hydrocarbons. Significant absorption from HCN and C2H2 are found throughout the infrared, while C2H4 and C2H6 are less easily seen. We perform detailed simulations of JWST observations, including all likely noise sources, and find that we will be able to constrain chemical abundance regimes from this planet's transmission spectrum. For instance, the width of the features at 1.5, 3.3, and 7 microns indicates the amount of HCN versus C2H2 present. The NIRSpec prism mode will be useful due to its large spectral range and the relatively large number of photo-electrons recorded per spectral resolution element. However, extremely bright host stars like GJ 436 may be better observed with a higher spectroscopic resolution mode in order to avoid detector saturation. We find that observations with the MIRI low resolution spectrograph should also have high signal-to-noise in the 5 - 10 micron range due to the brightness of the star and the relatively low spectral resolution (R ~ 100) of this mode.Comment: 33 pages, 12 figures, Accepted to Ap

Exoplanet albedo spectra and colors as a function of planet phase, separation, and metallicity

First generation optical coronagraphic telescopes will obtain images of cool gas and ice giant exoplanets around nearby stars. The albedo spectra of exoplanets at planet-star separations larger than about 1 AU are dominated by reflected light to beyond 1 {\mu}m and are punctuated by molecular absorption features. We consider how exoplanet albedo spectra and colors vary as a function of planet-star separation, metallicity, mass, and observed phase for Jupiter and Neptune analogs from 0.35 to 1 {\mu}m. We model Jupiter analogs with 1x and 3x the solar abundance of heavy elements, and Neptune analogs with 10x and 30x. Our model planets orbit a solar analog parent star at separations of 0.8 AU, 2 AU, 5 AU, and 10 AU. We use a radiative-convective model to compute temperature-pressure profiles. The giant exoplanets are cloud-free at 0.8 AU, have H2O clouds at 2 AU, and have both NH3 and H2O clouds at 5 AU and 10 AU. For each model planet we compute moderate resolution spectra as a function of phase. The presence and structure of clouds strongly influence the spectra. Since the planet images will be unresolved, their phase may not be obvious, and multiple observations will be needed to discriminate between the effects of planet-star separation, metallicity, and phase. We consider the range of these combined effects on spectra and colors. For example, we find that the spectral influence of clouds depends more on planet-star separation and hence temperature than metallicity, and it is easier to discriminate between cloudy 1x and 3x Jupiters than between 10x and 30x Neptunes. In addition to alkalis and methane, our Jupiter models show H2O absorption features near 0.94 {\mu}m. We also predict that giant exoplanets receiving greater insolation than Jupiter will exhibit higher equator to pole temperature gradients than are found on Jupiter and thus may have differing atmospheric dynamics.Comment: 62 pages, 19 figures, 6 tables Accepted for publication in Ap