A FRESH PERSPECTIVE ON U.S. MUTUAL FUNDS’ PERFORMANCE ATTRIBUTION, FACTOR MODEL AND QMJ

In this paper we evaluate the performance of the US mutual fund industry over the past 15 years, using a novel methodology developed by AQR Management’s Quality Minus Junk paper (2013). We augment the standard regression models of Fama-French used in the literatures with a new factor, the Quality Minus Junk factor, which is a quality-ranking factor developed by the AQR Management. (Quality Minus Junk) 2013 Previously, conflicting evidence was recorded with regard to the merits of the mutual fund industry, and we believe this could be a result of the preceding researches were constructed based on the Fama–French three-factor model (FFM) and its various variations. Despite the FFM’s prominent position in the asset-pricing field, it is subject to one critical limitation when it comes to evaluating active returns; no meaningful factor to directly quantify and evaluate the effects of active returns, as all existing factors are systematic in nature while active returns are idiosyncratic in nature largely. By incorporating the QMJ factor in the FFM framework, we hope to help investors better understanding their actively managed portfolios, as this unique factor is constructed based on four profoundly used fundamental metrics by the investment industry. We are still unable to use this factor to underpin the mutual industry as our results exhibit inconsistencies in the QMJ loadings despite QMJ’s strong statistic and theatrical supports. Adding the Market-Factor results in the QMJ factor insignificant 70% of the time, adding more of the standard-factors we see that only 50% of the time the QMJ loadings are significant, around 40% of the time the QMJ loadings are in the negative zone. Therefore, we believe this shows inconsistence in QMJ’s factor loadings. Furthermore, we identified consistent alphas (intercepts) in our regressions and we believe that combining Fama-French and QMJ factor still cannot explain all returns variations

Induced Ferromagnetism at BiFeO3/YBa2Cu3O7 Interfaces

Transition metal oxides (TMOs) exhibit many emergent phenomena ranging from high-temperature superconductivity and giant magnetoresistance to magnetism and ferroelectricity. In addition, when TMOs are interfaced with each other, new functionalities can arise, which are absent in individual components. Here, we report results from first-principles calculations on the magnetism at the BiFeO3/YBa2Cu3O7 interfaces. By comparing the total energy for various magnetic spin configurations inside BiFeO3, we are able to show that a metallic ferromagnetism is induced near the interface. We further develop an interface exchange-coupling model and place the extracted exchange coupling interaction strengths, from the first-principles calculations, into a resultant generic phase diagram. Our conclusion of interfacial ferromagnetism is confirmed by the presence of a hysteresis loop in field-dependent magnetization data. The emergence of interfacial ferromagnetism should have implications to electronic and transport properties.Comment: 13 pages, 4 figure

A Study of the Interaction between Cucurbit[7]uril and Alkyl Substituted 4-Pyrrolidinopyridinium Salts

The interaction between cucurbit[7]uril (Q[7]) and a series of 4-pyrrolidinopyridinium salts bearing aliphatic substituents at the pyridinium nitrogen, namely 4-(C4H8N)C5H5NRBr, where R = H (C0), Et (C2), n-butyl (C4), n-hexyl (C6), has been studied in aqueous solution by 1H NMR spectroscopy, electronic absorption spectroscopy, and mass spectrometry