Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes

In this paper we examine global tactical asset allocation (GTAA) strategies across a broad range of asset classes. Contrary to market timing for single asset classes and tactical allocation across similar assets, this topic has received little attention in the existing literature. Our main finding is that momentum and value strategies applied to GTAA across twelve asset classes deliver statistically and economically significant abnormal returns. For a long top-quartile and short bottom-quartile portfolio based on a combination of momentum and value signals we find a return of 12% per annum over the 1986-2007 period. Performance is stable over time, also present in an out-of-sample period and sufficiently high to overcome transaction costs in practice. The return cannot be explained by potential structural biases towards asset classes with high risk premiums, nor the Fama French and Carhart hedge factors. We argue that financial markets may be macro inefficient due to insufficient ‘smart money’ being available to arbitrage mispricing effects away.momentum;GTAA;global asset allocation;value effect

Portfolio Return Characteristics of Different Industries

Over the last decade we have witnessed the rise and fall of theso-called new economy stocks. One central question is to what extentthese new firms differ from traditional firms. Empirical evidencesuggests that stock returns are not normally distributed. In thisarticle we investigate whether this also holds for portfolios ofstocks from a growth industry. Furthermore, we will compare this typeof portfolios with portfolios of stocks from a more traditionalindustry. Usually, only value weighted and equally weighted portfoliosare used to describe and compare portfolio return characteristics.Instead, in our analysis, we use a novel approach in which we use aninfinite number of portfolios that together represent the set of allfeasible portfolio opportunities.performance evaluation;portfolio management;investments;stock markets;sector index

Cosmic-ray energy spectrum and composition up to the ankle - the case for a second Galactic component

We have carried out a detailed study to understand the observed energy spectrum and composition of cosmic rays with energies up to ~10^18 eV. Our study shows that a single Galactic component with subsequent energy cut-offs in the individual spectra of different elements, optimised to explain the observed spectra below ~10^14 eV and the knee in the all-particle spectrum, cannot explain the observed all-particle spectrum above ~2x10^16 eV. We discuss two approaches for a second component of Galactic cosmic rays -- re-acceleration at a Galactic wind termination shock, and supernova explosions of Wolf-Rayet stars, and show that the latter scenario can explain almost all observed features in the all-particle spectrum and the composition up to ~10^18 eV, when combined with a canonical extra-galactic spectrum expected from strong radio galaxies or a source population with similar cosmological evolution. In this two-component Galactic model, the knee at ~ 3x10^15 eV and the second knee at ~10^17 eV in the all-particle spectrum are due to the cut-offs in the first and second components, respectively. We also discuss several variations of the extra-galactic component, from a minimal contribution to scenarios with a significant component below the ankle (at ~4x10^18 eV), and find that extra-galactic contributions in excess of regular source evolution are neither indicated nor in conflict with the existing data. Our main result is that the second Galactic component predicts a composition of Galactic cosmic rays at and above the second knee that largely consists of helium or a mixture of helium and CNO nuclei, with a weak or essentially vanishing iron fraction, in contrast to most common assumptions. This prediction is in agreement with new measurements from LOFAR and the Pierre Auger Observatory which indicate a strong light component and a rather low iron fraction between ~10^17 and 10^18 eV.Comment: Added Table 4; Published in A&A, 595 (2016) A33 (Highlight paper

Health-related quality of life of young adults with Turner syndrome following a long-term randomized controlled trial of recombinant human growth hormone

<p>Abstract</p> <p>Background</p> <p>There are limited long-term randomized controlled trials of growth hormone (GH) supplementation to adult height and few published reports of the health-related quality of life (HRQOL) following treatment. The present follow-up study of young adults from a long-term controlled trial of GH treatment in patients with Turner syndrome (TS) yielded data to examine whether GH supplementation resulted in a higher HRQOL (either due to taller stature or from the knowledge that active treatment and not placebo had been received) or alternatively a lower HRQOL (due to medicalization from years of injections).</p> <p>Methods</p> <p>The original trial randomized 154 Canadian girls with TS aged 7-13 years from 13 centres to receive either long-term GH injections at the pharmacologic dose of 0.3 mg/kg/week or to receive no injections; estrogen prescription for induction of puberty was standardized. Patients were eligible for the follow-up study if they were at least 16 years old at the time of follow-up. The instrument used to study HRQOL was the SF-36, summarized into physical and mental component scales (PCS and MCS); higher scores indicate better HRQOL.</p> <p>Results</p> <p>Thirty-four of the 48 eligible participants (71%) consented to participate; data were missing for one patient. Both groups (GH and no treatment) had normal HRQOL at this post-treatment assessment. The GH group had a (mean ± SD) PCS score of 56 ± 5; the untreated group 58 ± 4; mean score for 16-24 year old females in the general population 53.5 ± 6.9. The GH group had a mean MCS score of 52 ± 6; the untreated group 49 ± 13; mean score for 16-24 year old females in the general population 49.6 ± 9.8. Secondary analyses showed no relationship between HRQOL and height.</p> <p>Conclusions</p> <p>We found no benefit or adverse effect on HRQOL either from receiving or not receiving growth hormone injections in a long-term randomized controlled trial, confirming larger observational studies. We suggest that it remains ethically acceptable as well as necessary to maintain a long-term untreated control group to estimate the effects of pharmacological agents to manipulate adult height. Young adult women with TS have normal HRQOL suggesting that they adjust well to their challenges in life.</p> <p>Trial Registration</p> <p>ClinicalTrials.gov Identifier <a href="http://www.clinicaltrials.gov/ct2/show/NCT00191113">NCT00191113</a>.</p

Risk Aversion and Skewness Preference: a comment

Empirically, co-skewness of asset returns seems to explain a substantial part of the cross-sectional variation of mean return not explained by beta. Thisfinding is typically interpreted in terms of a risk averse representativeinvestor with a cubic utility function. This comment questions thisinterpretation. We show that the empirical tests fail to impose risk aversionand the implied utility function takes an inverse S-shape. Unfortunately, thefirst-order conditions are not sufficient to guarantee that the market portfoliois the global maximum for an inverse S-shaped utility function, and ourresults suggest that the market portfolio is more likely to represent theglobal minimum than the global maximum. In addition, if we impose riskaversion, then co-skewness has minimal explanatory power

Social Debt in Software Engineering: Insights from Industry

Social debt is analogous to technical debt in many ways: it represents the state of software development organisations as the result of “accumulated” decisions. In the case of social debt, decisions are about people and their interactions. Our objective was to study the causality around social debt in practice. In so doing, we conducted exploratory qualitative research in a large software company. We found many forces together causing social debt; we represented them in a framework, and captured anti-patterns that led to the debt in the first place. Finally, we elicited best practices that technicians adopted to pay back some of the accumulated debt. We learned that social debt is strongly correlated with technical debt and both forces should be reckoned with together during the software process