Look-Ahead Benchmark Bias in Portfolio Performance Evaluation

Performance of investment managers are evaluated in comparison with benchmarks, such as financial indices. Due to the operational constraint that most professional databases do not track the change of constitution of benchmark portfolios, standard tests of performance suffer from the "look-ahead benchmark bias," when they use the assets constituting the benchmarks of reference at the end of the testing period, rather than at the beginning of the period. Here, we report that the "look-ahead benchmark bias" can exhibit a surprisingly large amplitude for portfolios of common stocks (up to 8% annum for the S&P500 taken as the benchmark) -- while most studies have emphasized related survival biases in performance of mutual and hedge funds for which the biases can be expected to be even larger. We use the CRSP database from 1926 to 2006 and analyze the running top 500 US capitalizations to demonstrate that this bias can account for a gross overestimation of performance metrics such as the Sharpe ratio as well as an underestimation of risk, as measured for instance by peak-to-valley drawdowns. We demonstrate the presence of a significant bias in the estimation of the survival and look-ahead biases studied in the literature. A general methodology to test the properties of investment strategies is advanced in terms of random strategies with similar investment constraints.Comment: 16 pages, 1 table, 4 figure

The longitudinal effects of stress and fear on psychiatric symptoms in mothers during the COVID-19 pandemic

The COVID-19 pandemic has been particularly difficult for mothers. Women with a history of peripartum depression (PPD) may be vulnerable to relapse. We sought to understand changes in depressive and anxious symptoms throughout the pandemic and which stressors increased symptoms in women with a history of PPD. In June 2020, all US participants with a history of PPD (n = 12,007) in the global MomGenes Fight PPD study were invited to the COVID-19 follow-up study. Respondents (n = 2163, 18%) were sent biweekly and then monthly surveys until January 31, 2022. We employed time-varying effects models to evaluate trajectories of depressive (patient health questionnaire, PHQ-9) and anxious (generalized anxiety disorder, GAD-7) symptoms and to estimate longitudinal associations between perceived stress, fears, COVID-19 case rates, and symptoms. Peaks of PHQ-9, GAD-7, PSS, and perceived COVID-19 risk scores corresponded with timing of national COVID-19 case surges. High perceived stress was the strongest predictor of PHQ-9 (beta = 7.27; P = 1.48e − 38) and GAD-7 (beta = 7.73; P = 6.19e − 70). Feeling lack of control and unlikely to survive increased PHQ-9 and GAD-7 scores by 2 points. COVID-19 case rates, pandemic restrictions, and region were not independently associated with symptoms. This study suggests that the collective trauma of the pandemic has significantly affected mothers with a history of PPD, exemplified by high levels of perceived stress and the strong association with depressive and anxious symptoms. The next pandemic phase is uncertain, but will continue to influence mental health collectively and dynamically. Interventions must be flexible and responsive and should address fear, trauma, and feelings of control, particularly for mothers with a history of PPD

Analytic treatment of nuclear spin-lattice relaxation for diffusion in a cone model

We consider nuclear spin-lattice relaxation rate resulted from a diffusion equation for rotational wobbling in a cone. We show that the widespread point of view that there are no analytical expressions for correlation functions for wobbling in a cone model is invalid and prove that nuclear spin-lattice relaxation in this model is exactly tractable and amenable to full analytical description. The mechanism of relaxation is assumed to be due to dipole-dipole interaction of nuclear spins and is treated within the framework of the standard Bloemberger, Purcell, Pound - Solomon scheme. We consider the general case of arbitrary orientation of the cone axis relative the magnetic field. The BPP-Solomon scheme is shown to remain valid for systems with the distribution of the cone axes depending only on the tilt relative the magnetic field but otherwise being isotropic. We consider the case of random isotropic orientation of cone axes relative the magnetic field taking place in powders. Also we consider the cases of their predominant orientation along or opposite the magnetic field and that of their predominant orientation transverse to the magnetic field which may be relevant for, e.g., liquid crystals. Besides we treat in details the model case of the cone axis directed along the magnetic field. The latter provides direct comparison of the limiting case of our formulas with the textbook formulas for free isotropic rotational diffusion. The dependence of the spin-lattice relaxation rate on the cone half-width yields results similar to those predicted by the model-free approach.Comment: 29 p., 7 fig. arXiv admin note: substantial text overlap with arXiv:1101.249

Meson Cloud of the Nucleon in Polarized Semi-Inclusive Deep-Inelastic Scattering

We investigate the possibility of identifying an explicit pionic component of the nucleon through measurements of polarized $\Delta^{++}$ baryon fragments produced in deep-inelastic leptoproduction off polarized protons, which may help to identify the physical mechanism responsible for the breaking of the Gottfried sum rule. The pion-exchange model predicts highly correlated polarizations of the $\Delta^{++}$ and target proton, in marked contrast with the competing diquark fragmentation process. Measurement of asymmetries in polarized $\Lambda$ production may also reveal the presence of a kaon cloud in the nucleon.Comment: 23 pages REVTeX, 7 uuencoded figures, accepted for publication in Zeit. Phys.

The Spin-Dependent Structure Functions of Nuclei in the Meson-Nucleon Theory

A theoretical approach to the investigation of spin-dependent structure functions in deep inelastic scattering of polarized leptons off polarized nuclei, based on the effective meson-nucleon theory and operator product expansion method, is proposed and applied to deuteron and $^3He$. The explicit forms of the moments of the deuteron and $^3He$ spin-dependent structure functions are found and numerical estimates of the influence of nuclear structure effects are presented.Comment: 42 pages revtex, 7 postscript figures available from above e-mail upon request. Perugia preprint DFUPG 92/9

Monte Carlo Methods for Estimating Interfacial Free Energies and Line Tensions

Excess contributions to the free energy due to interfaces occur for many problems encountered in the statistical physics of condensed matter when coexistence between different phases is possible (e.g. wetting phenomena, nucleation, crystal growth, etc.). This article reviews two methods to estimate both interfacial free energies and line tensions by Monte Carlo simulations of simple models, (e.g. the Ising model, a symmetrical binary Lennard-Jones fluid exhibiting a miscibility gap, and a simple Lennard-Jones fluid). One method is based on thermodynamic integration. This method is useful to study flat and inclined interfaces for Ising lattices, allowing also the estimation of line tensions of three-phase contact lines, when the interfaces meet walls (where "surface fields" may act). A generalization to off-lattice systems is described as well. The second method is based on the sampling of the order parameter distribution of the system throughout the two-phase coexistence region of the model. Both the interface free energies of flat interfaces and of (spherical or cylindrical) droplets (or bubbles) can be estimated, including also systems with walls, where sphere-cap shaped wall-attached droplets occur. The curvature-dependence of the interfacial free energy is discussed, and estimates for the line tensions are compared to results from the thermodynamic integration method. Basic limitations of all these methods are critically discussed, and an outlook on other approaches is given

The Metric of the Cosmos from Luminosity and Age Data

This paper presents the algorithm for determining the Lemaitre-Tolman (LT) model that best fits given datasets for maximum stellar ages, and SNIa luminosities, both as functions of redshift. It then applies it to current cosmological data. Special attention must be given to the handling of the origin, and the region of the maximum diameter distances. As with a previous combination of datasets (galaxy number counts and luminosity distances versus redshift), there are relationships that must hold at the region of the maximum diameter distance, which are unlikely to be obeyed exactly by real data. We show how to make corrections that enable a self-consistent solution to be found. We address the questions of the best way to approximate discrete data with smooth functions, and how to estimate the uncertainties of the output - the 3 free functions that determine a specific LT metric. While current data does not permit any confidence in our results, we show that the method works well, and reasonable LT models do fit with or without a cosmological constant.Comment: 25 pages, 8 figures; matches published versio

Time-integrated luminosity recorded by the BABAR detector at the PEP-II e+e- collider

This article is the Preprint version of the final published artcile which can be accessed at the link below.We describe a measurement of the time-integrated luminosity of the data collected by the BABAR experiment at the PEP-II asymmetric-energy e+e- collider at the ϒ(4S), ϒ(3S), and ϒ(2S) resonances and in a continuum region below each resonance. We measure the time-integrated luminosity by counting e+e-→e+e- and (for the ϒ(4S) only) e+e-→μ+μ- candidate events, allowing additional photons in the final state. We use data-corrected simulation to determine the cross-sections and reconstruction efficiencies for these processes, as well as the major backgrounds. Due to the large cross-sections of e+e-→e+e- and e+e-→μ+μ-, the statistical uncertainties of the measurement are substantially smaller than the systematic uncertainties. The dominant systematic uncertainties are due to observed differences between data and simulation, as well as uncertainties on the cross-sections. For data collected on the ϒ(3S) and ϒ(2S) resonances, an additional uncertainty arises due to ϒ→e+e-X background. For data collected off the ϒ resonances, we estimate an additional uncertainty due to time dependent efficiency variations, which can affect the short off-resonance runs. The relative uncertainties on the luminosities of the on-resonance (off-resonance) samples are 0.43% (0.43%) for the ϒ(4S), 0.58% (0.72%) for the ϒ(3S), and 0.68% (0.88%) for the ϒ(2S).This work is supported by the US Department of Energy and National Science Foundation, the Natural Sciences and Engineering Research Council (Canada), the Commissariat à l’Energie Atomique and Institut National de Physique Nucléaire et de Physiquedes Particules (France), the Bundesministerium für Bildung und Forschung and Deutsche Forschungsgemeinschaft (Germany), the Istituto Nazionale di Fisica Nucleare (Italy), the Foundation for Fundamental Research on Matter (The Netherlands), the Research Council of Norway, the Ministry of Education and Science of the Russian Federation, Ministerio de Ciencia e Innovación (Spain), and the Science and Technology Facilities Council (United Kingdom). Individuals have received support from the Marie-Curie IEF program (European Union) and the A.P. Sloan Foundation (USA)

Photoproduction of D∗±D^{*\pm} mesons associated with a leading neutron

The photoproduction of $D^{*\pm} (2010)$ mesons associated with a leading neutron has been observed with the ZEUS detector in $ep$ collisions at HERA using an integrated luminosity of 80 pb$^{-1}$. The neutron carries a large fraction, {$x_L>0.2$}, of the incoming proton beam energy and is detected at very small production angles, {$\theta_n<0.8$ mrad}, an indication of peripheral scattering. The $D^*$ meson is centrally produced with pseudorapidity {$|\eta| 1.9$ GeV}, which is large compared to the average transverse momentum of the neutron of 0.22 GeV. The ratio of neutron-tagged to inclusive $D^*$ production is $8.85\pm 0.93({\rm stat.})^{+0.48}_{-0.61}({\rm syst.})\%$ in the photon-proton center-of-mass energy range {$130 <W<280$ GeV}. The data suggest that the presence of a hard scale enhances the fraction of events with a leading neutron in the final state.Comment: 28 pages, 4 figures, 2 table