Mutual Fund Performance with Learning Across Funds

This paper is based on the premise that knowledge about the alphas of one set of funds will influence an investor's beliefs about other funds. This will be true insofar as an investor's expectation about the performance of a fund is partly a belief about the abilities of mutual fund managers as a group and, more generally, a belief about the degree to which financial markets are efficient. We develop a simple framework for incorporating this prior dependence' and find that it can have a substantial impact on the cross-section of posterior beliefs about fund performance as well as asset allocation. Under independence, the maximum posterior mean alpha increases without bound as the number of funds increases and 'extremely large' estimates are randomly observed. This is true even when fund managers have no skill. In contrast, with prior dependence, investors aggregate information across funds to form a general belief about the potential for abnormal performance. Each fund's alpha estimate is shrunk toward the aggregate estimate, mitigating extreme views. An additional implication is that restricting the estimation to surviving funds, a common practice in this literature, imparts an upward bias to the average fund alpha.

Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility

Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is simultaneously a linear combination of yields and the quadratic variation of the spot rate. However, we find empirically that the A1(3) SV model generates a time series for the variance state variable that is strongly negatively correlated with a GARCH estimate of the quadratic variation of the spot rate process. We then investigate affine models that exhibit "unspanned stochastic volatility (USV)." Of the models tested, only the A1(4) USV model is found to generate both realistic volatility estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross-section of bond prices. Separately, we propose an alternative to the canonical representation of affine models introduced by Dai and Singleton (2001). This representation has several advantages, including: (I) the state variables have simple physical interpretations such as level, slope and curvature, (ii) their dynamics remain affine and tractable, (iii) the model is econometrically identifiable, (iv) model-insensitive estimates of the state vector process implied from the term structure are readily available, and (v) it isolates those parameters which are not identifiable from bond prices alone if the model is specified to exhibit USV.

The structure and kinematics of the ox mountains, western Ireland: a mid-crustal transcurrent shear-zone

The stratigraphy, structure and kinematics of the central and southwest Ox Mountains, a major mid-crustal shear zone, are described. The tectono-stratigraphic sequence has been established using a combination of structural and stratigraphic techniques and lithostratigraphic correlation with southern Donegal (the closest area of autl ochonous Dalradian). These data suggest that the Tawneyshane Formation is the equivalent of the Port Askaig Tillite and that the metasediments of the southwest and central Ox Mountains Succession represent part of the Argyll Group of the Middle Dalradian. The coarser grained rocks of the Cloonygowan Formation are tentatively correlated with the turbiditic sediments of the Southern Highland Group on the basis of lithostratigraphic similarity. Structural analysis indicates that the Ox Mountains Succession has experienced a similar structural history to the Cloonygowan Formation although at a deeper structural level. Four distinct kinematic episodes are represented. Initial fold and fabric development (D1-D2, pre 478 Ma) was followed by sinistral transcurrent deformation, synkinematic intrusion of the Ox Mountains Granodiorite (478±12 Ma) and development of a braided system of high strain zones and tectonic slides (D3, Arenig-Llanvirn). The tectonic contact with the granulite facies metasediments of the northeast Ox Mountains is identified as a D3 tectonic slide, which dips gently to the south. This basement-cover interface strongly influences the structural geometry of the central and southwest Ox Mountains. These data suggest that at middle-lower crustal levels strike slip fault zones may be expressed as a series of high strain zones that converge both laterally and vertically. The geometry and kinematic history of the Ox Mountains is consistent with the interpretation of the inlier as the root of a major mid-crustal transpression zone. Following the cessation of transcurrent activity uplift began throughout the inlier, which is reflected by decreasing metamorphic grade and the development of conjugate folds (D4). This was succeeded by renewed sinistral transcurrent deformation of the Lough Easky and Lough Talt Adamellites (401±33 Ma), (D5, Early Devonian).Evidence is presented that the Ox Mountains form part of the northwestern side wall of the Highland Boundary Fault Zone. Deeper levels of this structure are exposed in Ireland than in Scotland. Structural data suggest that in Ireland this structure is expressed as a major mid- crustal transpression zone that developed in response to large sinistral displacements during Arenig-Llanvirn times, followed by smaller sinistral displacements during the Early Devonian. This protracted history of sinistral transcurrent deformation can be related to terrane accretion events along the Highland Boundary Fault Zone and provides information on its early kinematic history not available in the remainder of the British Isles

Measuring forces between protein fibers by microscopy

We propose a general scheme for measuring the attraction between mechanically frustrated semiflexible fibers by measuring their thermal fluctuations and shape. We apply this analysis to a system of sickle hemoglobin (HbS) fibers that laterally attract one another. These fibers appear to “zip” together before reaching mechanical equilibrium due to the existence of cross-links into a dilute fiber network. We are also able to estimate the rigidities of the fibers. These rigidities are found to be consistent with sickle hemoglobin “single” fibers 20 nm in diameter, despite recent experiments indicating that fiber bundling sometimes occurs. Our estimate of the magnitude of the interfiber attraction for HbS fibers is in the range 8 ± 7 kBT/μm, or 4 ± 3 kBT/μm if the fibers are assumed, a priori to be single fibers (such an assumption is fully consistent with the data). This value is sufficient to bind the fibers, overcoming entropic effects, although extremely chemically weak. Our results are compared to models for the interfiber attraction that include depletion and van der Waals forces. This technique should also facilitate a similar analysis of other filamentous protein assembles in the future, including β-amyloid, actin, and tubulin

Statistical variability of top of atmosphere cloud-free shortwave aerosol radiative effect

International audienceThe statistical variability of globally averaged MODIS aerosol optical thickness at 0.55 ?m (AOT) and top of atmosphere CERES cloud-free shortwave radiative effect (SWRE) is presented. Statistical variability is defined as the robustness of globally averaged statistics relative to data distribution. At the CERES footprint level, which we label "raw data", both the AOT and SWRE data derived from clear-sky CERES-SSF products show significant deviations from a normal distribution as evidenced by high skewness values. The spatial and temporal distribution of the data is also not uniform, with a greater concentration of data occurring in aerosol heavy-regions. As a result, globally averaged AOT and SWRE are overestimated when derived from raw data alone. To compensate, raw data are gridded into 2×2 degree grid-cells (called "gridded" data) to reduce the effect of spatial non-uniformity. However, the underlying non-normal distribution remains and manifests itself by increasing the uncertainty of grid-cell values. Globally averaged AOT and SWRE derived from a gridded dataset are substantially lower than those derived from raw data alone. The range of globally averaged AOT and SWRE values suggests that up to a 50% statistical variability exists, much of which is directly tied to how the data are manipulated prior to averaging. This variability increases when analyzing aerosol components (e.g. anthropogenic) since component AOT (and SWRE) may not exist at all locations were AOT is present. As a result, regions where a particular component AOT does not exist must either not be included in the global average or have data within these regions set to null values. However, each method produces significantly different results. The results of this work indicate simple mean and standard deviation statistics do not adequately describe global aerosol climate forcing data sets like the one used here. We demonstrate that placing raw observations on to a uniform grid is a necessary step before calculating global statistics. However, this by no means eliminates uncertainty in globally averaged AOT and SWRE values, while adding its own set of assumptions. When reporting any globally averaged statistic, it is important to report corresponding distribution and coverage information, in the form of skewness values, probability density functions, and spatial distribution plots, to help quantify its usefulness and robustness

A reanalysis of MODIS fine mode fraction over ocean using OMI and daily GOCART simulations

Using daily Goddard Chemistry Aerosol Radiation and Transport (GOCART) model simulations and columnar retrievals of 0.55 μm aerosol optical thickness (AOT) and fine mode fraction (FMF) from the Moderate Resolution Imaging Spectroradiometer (MODIS), we estimate the satellite-derived aerosol properties over the global oceans between June 2006 and May 2007 due to black carbon (BC), organic carbon (OC), dust (DU), sea-salt (SS), and sulfate (SU) components. Using Aqua-MODIS aerosol properties embedded in the CERES-SSF product, we find that the mean MODIS FMF values for each aerosol type are SS: 0.31 ± 0.09, DU: 0.49 ± 0.13, SU: 0.77 ± 0.16, and (BC + OC): 0.80 ± 0.16. We further combine information from the ultraviolet spectrum using the Ozone Monitoring Instrument (OMI) onboard the Aura satellite to improve the classification process, since dust and carbonate aerosols have positive Aerosol Index (AI) values >0.5 while other aerosol types have near zero values. By combining MODIS and OMI datasets, we were able to identify and remove data in the SU, OC, and BC regions that were not associated with those aerosol types. <br><br> The same methods used to estimate aerosol size characteristics from MODIS data within the CERES-SSF product were applied to Level 2 (L2) MODIS aerosol data from both Terra and Aqua satellites for the same time period. As expected, FMF estimates from L2 Aqua data agreed well with the CERES-SSF dataset from Aqua. However, the FMF estimate for DU from Terra data was significantly lower (0.37 vs. 0.49) indicating that sensor calibration, sampling differences, and/or diurnal changes in DU aerosol size characteristics were occurring. Differences for other aerosol types were generally smaller. Sensitivity studies show that a difference of 0.1 in the estimate of the anthropogenic component of FMF produces a corresponding change of 0.2 in the anthropogenic component of AOT (assuming a unit value of AOT). This uncertainty would then be passed along to any satellite-derived estimates of anthropogenic aerosol radiative effects

Towards a formative assessment of classroom competencies (FACCs) for postgraduate medical trainees

Background An assumption of clinical competency is no longer acceptable or feasible in routine clinical practice. We sought to determine the feasibility, practicability and efficacy of undertaking a formal assessment of clinical competency for all postgraduate medical trainees in a large NHS foundation trust. Methods FY1 doctors were asked to complete a questionnaire to determine prior experience and self reported confidence in performing the GMC core competencies. From this a consensus panel of key partners considered and developed an 8 station Objective Structured Clinical Examination (OSCE) circuit to assess clinical competencies in all training grade medical staff... The OSCE was then administered to all training grade doctors as part of their NHS trust induction process. Results 106 (87.6% of all trainees) participated in the assessment during the first 14 days of appointment. Candidates achieved high median raw percentage scores for the majority of stations however analysis of pre defined critical errors and omissions identified important areas for concern. Performance of newly qualified FY1 doctor was significantly better than other grades for the arterial blood gas estimation and nasogastric tube insertion stations. Discussion Delivering a formal classroom assessment of clinical competencies to all trainees as part of the induction process was both feasible and useful. The assessment identified areas of concern for future training and also served to reassure as to the proficiency of trainees in undertaking the majority of core competencies