Mutual fund performance: Using bespoke benchmarks to disentangle mandates, constraints and skill

This is the author accepted manuscript. the final version is available from Elsevier via the DOI in this recordWhile no two mutual funds are alike in terms of their mandates and constraints, metrics used to evaluate fund performance relative to peers typically fail to account for these differences by relying on generic benchmark indices and rankings. We develop a methodology to construct a conditional multi-factor benchmark that explicitly incorporates the details of a given fund’s mandates and constraints. The results suggest that (i) mandates and constraints are economically important and affect funds differently, (ii) in general, the average mutual fund has a much improved track record when comparing themselves to a bespoke benchmark, and (iii) the rank ordering of fund bespoke performance relative peers is significantly different than the original rank ordering suggesting advisors and board of directors would make better decisions regarding compensation and performance assessment respectively, if they incorporate the impact of mandates and constraints.Inquire Europ

Optimal Investment in the Development of Oil and Gas Field

Let an oil and gas field consists of clusters in each of which an investor can launch at most one project. During the implementation of a particular project, all characteristics are known, including annual production volumes, necessary investment volumes, and profit. The total amount of investments that the investor spends on developing the field during the entire planning period we know. It is required to determine which projects to implement in each cluster so that, within the total amount of investments, the profit for the entire planning period is maximum. The problem under consideration is NP-hard. However, it is solved by dynamic programming with pseudopolynomial time complexity. Nevertheless, in practice, there are additional constraints that do not allow solving the problem with acceptable accuracy at a reasonable time. Such restrictions, in particular, are annual production volumes. In this paper, we considered only the upper constraints that are dictated by the pipeline capacity. For the investment optimization problem with such additional restrictions, we obtain qualitative results, propose an approximate algorithm, and investigate its properties. Based on the results of a numerical experiment, we conclude that the developed algorithm builds a solution close (in terms of the objective function) to the optimal one

A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function

In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under weak conditions on the asset returns. No assumption on the correlation structure between different time points is needed and no assumption on the distribution is imposed. All expressions are presented in terms of the conditional mean vectors and the conditional covariance matrices. If the multivariate process of the asset returns is independent it is shown that in the case without a riskless asset the solution is presented as a sequence of optimal portfolio weights obtained by solving the single-period Markowitz optimization problem. The process dynamics are included only in the shape parameter of the utility function. If a riskless asset is present then the multi-period optimal portfolio weights are proportional to the single-period solutions multiplied by time-varying constants which are depending on the process dynamics. Remarkably, in the case of a portfolio selection with the tangency portfolio the multi-period solution coincides with the sequence of the simple-period solutions. Finally, we compare the suggested strategies with existing multi-period portfolio allocation methods for real data.Comment: 38 pages, 9 figures, 3 tables, changes: VAR(1)-CCC-GARCH(1,1) process dynamics and the analysis of increasing horizon are included in the simulation study, under revision in Annals of Operations Researc

Structural Characteristics and Stellar Composition of Low Surface Brightness Disk Galaxies

We present UBVI surface photometry of a sample of low surface brightness (LSB) disk galaxies. LSB disk galaxies are fairly well described as exponential disks with no preferred value for either scale length, central surface brightness, or rotational velocity. Indeed, the distribution of scale lengths is indistinguishable from that of high surface brightness spirals, indicating that dynamically similar galaxies (e.g., those with comparable Rv^2) exist over a large range in surface density. These LSB galaxies are strikingly blue. The complete lack of correlation between central surface brightness and color rules out any fading scenario. Similarly, the oxygen abundances inferred from HII region spectra are uncorrelated with color so the low metallicities are not the primary cause of the blue colors. While these are difficult to interpret in the absence of significant star formation, the most plausible scenario is a stellar population with a young mean age stemming from late formation and subsequent slow evolution. These properties suggest that LSB disks formed from low initial overdensities with correspondingly late collapse times.Comment: Astronomical Journal, in press 45 pages uuencoded postscript (368K) including 9 multipart figures also available by anonymous ftp @ ftp.ast.cam.ac.uk /pub/ssm/phot.uu CAP-30-210442962983742937

Isolated and dynamical horizons and their applications

Over the past three decades, black holes have played an important role in quantum gravity, mathematical physics, numerical relativity and gravitational wave phenomenology. However, conceptual settings and mathematical models used to discuss them have varied considerably from one area to another. Over the last five years a new, quasi-local framework was introduced to analyze diverse facets of black holes in a unified manner. In this framework, evolving black holes are modeled by dynamical horizons and black holes in equilibrium by isolated horizons. We review basic properties of these horizons and summarize applications to mathematical physics, numerical relativity and quantum gravity. This paradigm has led to significant generalizations of several results in black hole physics. Specifically, it has introduced a more physical setting for black hole thermodynamics and for black hole entropy calculations in quantum gravity; suggested a phenomenological model for hairy black holes; provided novel techniques to extract physics from numerical simulations; and led to new laws governing the dynamics of black holes in exact general relativity.Comment: 77 pages, 12 figures. Typos and references correcte

Measurement of the top quark mass using the matrix element technique in dilepton final states

We present a measurement of the top quark mass in pp¯ collisions at a center-of-mass energy of 1.96 TeV at the Fermilab Tevatron collider. The data were collected by the D0 experiment corresponding to an integrated luminosity of 9.7  fb−1. The matrix element technique is applied to tt¯ events in the final state containing leptons (electrons or muons) with high transverse momenta and at least two jets. The calibration of the jet energy scale determined in the lepton+jets final state of tt¯ decays is applied to jet energies. This correction provides a substantial reduction in systematic uncertainties. We obtain a top quark mass of mt=173.93±1.84  GeV