Measuring portfolio performance using a modified measure of risk

This paper reports the results of an investigation into the properties of a theoretical modification of beta proposed by Leland (1999) and based on earlier work of Rubinstein (1976). It is shown that when returns are elliptically symmetric, beta is the appropriate measure of risk and that there are other situations in which the modified beta will be similar to the traditional measure based on the capital asset pricing model. For the case where returns have a normal distribution, it is shown that the criterion either does not exist or reduces exactly to the conventional beta. It is therefore conjectured that the modified measure will only be useful for portfolios that have nonstandard return distributions which incorporate skewness. For such situations, it is shown how to estimate the measure using regression and how to compare the resulting statistic with a traditional estimated beta using Hotelling's test. An empirical study based on stocks from the FTSE350 does not find evidence to support the use of the new measure even in the presence of skewness.Journal of Asset Management (2007) 7, 388-403. doi:10.1057/palgrave.jam.225005

Assessment of Chronic Illness-Related Cognitive Fusion: Preliminary Development and Validation of a New Scale with an IBD Sample

Although research recognizes the advantages of creating specific content measures, no specific measure of chronic illness-related cognitive fusion had been developed to date. The current study presents the development and validation of the Cognitive Fusion Questionnaire-Chronic Illness (CFQ-CI) in a sample of inflammatory bowel disease (IBD) patients and the analysis of the role of this construct in the psychological health of those patients. Results indicated that the 7-item CFQ-CI was a unidimensional measure of cognitive fusion in patients with chronic illnesses, and that scores had adequate/good internal consistency and construct, convergent, and discriminant validity. This study also showed that chronic illness-related cognitive fusion as assessed by the CFQ-CI acted as a mediator in the association between both IBD-related symptoms and shame with quality of life. The development of the CFQ-CI may thus contribute to a better understanding of the mechanisms influencing functional outcomes in chronic illness

The role of metacognition in self-critical rumination: an investigation in individuals presenting with low self-esteem

Background: No research, to date, has directly investigated the role of metacognition in self-critical rumination and low self-esteem. Aim: To investigate the presence of metacognitive beliefs about self-critical rumination; the goal of self-critical rumination and its stop signal; and the degree of detachment from intrusive self-critical thoughts. Method: Ten individuals reporting both a self-acknowledged tendency to judge themselves critically and having low self-esteem were assessed using metacognitive profiling, a semi-structured interview. Results: All participants endorsed both positive and negative metacognitive beliefs about self-critical rumination. Positive metacognitive beliefs concerned the usefulness of self-critical rumination as a means of improving cognitive performance and enhancing motivation. Negative metacognitive beliefs concerned the uncontrollability of self-critical rumination and its negative impact on mood, motivation and perception of self-worth. The primary goal of engaging in self-critical rumination was to achieve a better or clearer understanding of a given trigger situation or to feel more motivated to resolve it. However, only four participants were able to identify when this goal had been achieved, which was if the trigger situation were not to occur again. Participants unanimously stated that they were either unable to detach from their self-critical thoughts or could do so some of the time with varying degrees of success. More often than not, though, self-critical thoughts were viewed as facts, would rarely be seen as distorted or biased, and could take hours or days to dissipate. Conclusions: These findings provide preliminary evidence that specific facets of metacognition play a role in the escalation and perseveration of self-critical rumination

Collective investments for pension savings: Lessons from Singapore's central provident fund scheme

opinions are solely those of the authors who acknowledge research support from the Wharton-SM

Stochastic Dominance Analysis of CTA Funds

In this paper, we employ the stochastic dominance approach to rank the performance of commodity trading advisors (CTA) funds. An advantage of this approach is that it alleviates the problems that can arise if CTA returns are not normally distributed by utilizing the entire returns distribution. We find both first-order and higher-order stochastic dominance relationships amongst the CTA funds and conclude that investors would be better off investing in the first-order dominant funds to maximize their expected utilities and expected wealth. However, for higher-order dominant CTA, riskaverse investors can maximize their expected utilities but not their expected wealth. We conclude that the stochastic dominance approach is more appropriate compared with traditional approaches as a filter in the CTA selection process given that a meaningful economic interpretation of the results is possible as the entire return distribution is utilized when returns are non-normal