The Relative Merits of Investable Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios

Can the new investable hedge fund indices (IHF) enhance the performance of optimal passive portfolios made of equities and bonds? How do they compare to funds of hedge funds (FoHF) as well as to other alternative investments such as commodities and volatility? The conclusions depend crucially on forecasts of future expected excess returns for all assets as well as a careful conditioning of the data to reflect trading costs and remove unrealistic serial correlations. A naïve forecast based on recent historical performance leads to no allocations to either IHF or FoHF, a result explained by the performance of equities and commodities and limited diversification effects from hedge funds. Yet a forecast based on market equilibrium returns for all main asset classes but hedge funds, which are kept at their historical level, leads to the opposite result with optimal portfolios almost exclusively invested in hedge funds. Both conclusions are unrealistic and unstable. More reasonable allocations are obtained with the Black-Litterman (BL) approach to combining subjective views with equilibrium returns. Then both hedge funds instruments play a significant role in optimal passive portfolios if their expected excess returns are at least 1%. Long volatility positions are also likely to be attractive. However the BL approach can also be criticised.hedge funds, investable hedge funds indices, funds of hedge funds, commodities, VIX, mean-variance analysis, Sharpe Ratio, Adjusted Sharpe Ratio, Omega Ratio, Black Litterman model

CoFeD: A visualisation framework for comparative quality evaluation

Evaluation for the purpose of selection can be a challenging task particularly when there is a plethora of choices available. Short-listing, comparisons and eventual choice(s) can be aided by visualisation techniques. In this paper we use Feature Analysis, Tabular and Tree Representations and Composite Features Diagrams (CFDs) for profiling user requirements and for top-down profiling and evaluation of items (methods, tools, techniques, processes and so on) under evaluation. The resulting framework CoFeD enables efficient visual comparison and initial short-listing. The second phase uses bottom-up quantitative evaluation which aids the elimination of the weakest items and hence the effective selection of the most appropriate item. The versatility of the framework is illustrated by a case study comparison and evaluation of two agile methodologies. The paper concludes with limitations and indications of further work

Art Beyond the Globe: Lucio Fontana’s Spatial Identity

In several works produced in the 1950s and 60s, the Argentine-Italian artist Lucio Fontana (1899 – 1968) proposed that the advent of space travel would lead to a profound decentring of human identity. In this article selected works by Fontana are discussed with reference to statements made by the artist and his contemporary critics as well as to more recent, theoretical writings on space and the body. It is argued that Fontana put forward in his work the idea that travel through outer space would render the image of the modern subject unrecognisable

Gravitational waves and electroweak baryogenesis in a global study of the extended scalar singlet model

We perform a global fit of the extended scalar singlet model with a fermionic dark matter (DM) candidate. Using the most up-to-date results from the $\mathit{Planck}$ measured DM relic density, direct detection limits from the XENON1T (2018) experiment, electroweak precision observables and Higgs searches at colliders, we constrain the 7-dimensional model parameter space. We also find regions in the model parameter space where a successful electroweak baryogenesis (EWBG) can be viable. This allows us to compute the gravitational wave (GW) signals arising from the phase transition, and discuss the potential discovery prospects of the model at current and future GW experiments. Our global fit places a strong upper $\mathit{and}$ lower limit on the second scalar mass, the fermion DM mass and the scalar-fermion DM coupling. In agreement with previous studies, we find that our model can simultaneously yield a strong first-order phase transition and saturate the observed DM abundance. More importantly, the GW spectra of viable points can often be within reach of future GW experiments such as LISA, DECIGO and BBO.Comment: 42 pages, 10 figures and 2 tables; v2: updated references, submitted to JHEP; v3: corrected typos and updated references, matches version published in JHE

LUX likelihood and limits on spin-independent and spin-dependent WIMP couplings with LUXCalc

We present LUXCalc, a new utility for calculating likelihoods and deriving WIMP-nucleon coupling limits from the recent results of the LUX direct search dark matter experiment. After a brief review of WIMP-nucleon scattering, we derive LUX limits on the spin-dependent WIMP-nucleon couplings over a broad range of WIMP masses, under standard assumptions on the relevant astrophysical parameters. We find that, under these and other common assumptions, LUX excludes the entire spin-dependent parameter space consistent with a dark matter interpretation of DAMA's anomalous signal, the first time a single experiment has been able to do so. We also revisit the case of spin-independent couplings, and demonstrate good agreement between our results and the published LUX results. Finally, we derive constraints on the parameters of an effective dark matter theory in which a spin-1 mediator interacts with a fermionic WIMP and Standard Model fermions via axial-vector couplings. A detailed appendix describes the use of LUXCalc with standard codes to place constraints on generic dark matter theories.Comment: 16 pages, 6 figures. Software package included as ancillary files. v2: added references, Baksan limits. v3: clarifications and small corrections, results unchange

Including design in e-manufacturing

This paper reviews major issues in the implementation of e-manufacturing, particularly the design aspects. It will examine recent progress, drawing out particular issues that are being addressed. Use will be made of the work by the author and colleagues to devise rule-based design and Internet-based control of machines to illustrate how these developments affect the integrated e-manufacturing environment. A dynamic Simulink model of the way e-manufacture is affected by overall design delays is used to evaluate general solutions for partial and complete e-based companies. These models show how changing to improved designs reduces WI

Cross-correlation of cosmic far-infrared background anisotropies with large scale structures

We measure the cross-power spectra between luminous red galaxies (LRGs) from the Sloan Digital Sky Survey (SDSS)-III Data Release Eight (DR8) and cosmic infrared background (CIB) anisotropies from Planck and data from the Improved Reprocessing (IRIS) of the Infrared Astronomical Satellite (IRAS) at 353, 545, 857, and 3000 GHz, corresponding to 850, 550, 350 and 100 micron, respectively, in the multipole range 100<l<1000. Using approximately 6.5 10^5 photometrically determined LRGs in 7760 deg^2 of the northern hemisphere in the redshift range 0.45 < z < 0.65, we model the far-infrared background (FIRB) anisotropies with an extended version of the halo model. With these methods, we confirm the basic picture obtained from recent analyses of FIRB anisotropies with Herschel and Planck, that the most efficient halo mass at hosting star forming galaxies is log(M_ eff/M_\odot)=12.84+/-0.15. We estimate the percentage of FIRB anisotropies correlated with LRGs as approximately 11.8 %, 3.9 %, 1.8 %, and 1.0 % of the total at 3000, 857, 545, and 353 GHz, respectively. At redshift z~0.55, the bias of FIRB galaxies with respect to the dark matter density field has the value b_{FIRB}~1.45, and the mean dust temperature of FIRB galaxies is T_d=26 K. Finally, we discuss the impact of present and upcoming cross-correlations with far-infrared background anisotropies on the determination of the global star formation history and the link between galaxies and dark matter.Comment: 9 pages, 6 figures, accepted for publication in A&

Causal judgements about temporal sequences of events in single individuals

Stimuli were presented in which values of an outcome variable for a single individual were recorded over 24 time periods, and an intervention was introduced at one of the time periods. Participants judged whether and how much the intervention affected the outcome. Judgements were affected by manipulations of the temporal relation between the intervention and a gradual increase in values on the outcome variable, by the size of the increase, by the time taken for the increase to occur, and by variance in the preincrease data. Most results were predicted by a simple model in which the mean outcome value for the preintervention time periods is subtracted from the mean outcome value for the postintervention time periods, though there was also an effect of temporal contiguity that is not predicted by the simple model. This form of information, which is a kind of quasiexperimental design, is more representative of the kind of information generally available for causal judgement than the more commonly investigated binary variables in which the cause is either present or absent, and the outcome either occurs or does not; as such, it is more revealing of how causal judgements are made under the conditions that prevail in the world

Understanding patients’ experiences of hayfever and its treatment: a survey of illness and medication cognitions

Background: Although effective medication for hayfever (seasonal allergic rhinitis) is available, treatment outcomes are often be poor. Patient beliefs influence outcomes in many other diseases. Assessing patients’ beliefs about their illness and medication may identify targets for intervention to optimize self management and lessen disease impact. Objective: The application of validated health-related analytical models (Leventhal’s illness representations and Horne’s beliefs about medications) to explore patients’ understanding and experience of hayfever and its treatment. Methods: Cross-sectional postal questionnaire sent to 20% sample of adults attending four General Practices in South England and prescribed medication for hayfever symptoms in the previous two years. Measures included the Revised Illness Perception Questionnaire and the Beliefs about Medicines Questionnaire. Results: 316/586 questionnaires were returned (54%). Cluster analysis identified two patient groups; those with negative beliefs (n=132) and those with more positive beliefs about hayfever and its treatment (n=182). Those with negative beliefs were more likely to believe that their hayfever would last for a long time, that they have little personal control over their illness and that their treatment is not effective. Conversely, they reported greater consequences, greater emotional impact, less understanding of hayfever and more medication concerns than those with more positive beliefs. Conclusions and clinical relevance: Patients with hayfever fall into two distinct groups: nearly half (41% of those sampled) have negative beliefs about their condition. Eliciting patient beliefs during the consultation may reveal assumptions that differ from those of healthcare professionals. Such beliefs should be considered when negotiating treatment plans