US sector rotation with five-factor Fama–French alphas

In this paper, we investigate the risk-adjusted performance of US sector portfolios and sector rotation strategy using the alphas from the Fama–French five-factor model. We find that five-factor model fits better the returns of US sector portfolios than the three-factor model, but that significant alphas are still present in all the sectors at some point in time. In the full sample period, 50% of sectors generate significant five-factor alpha. We test whether such alpha signifies a true sector out/underperformance by applying simple long-only and long-short sector rotation strategies. Our long-only sector rotation strategy that buys a sector with a positive five-factor alpha generates four times higher Sharpe ratio than the S & P 500 buy-and-hold. If the strategy is adjusted to switch to the risk-free asset in recessions, the Sharpe ratio achieved is tenfold that of the buy-and-hold. The long-short strategy fares less well

A tale of two states: asymmetries in the UK small, value and momentum premiums

This article performs comparative analysis of the asymmetries in size, value and momentum premium and their macroeconomic determinants over the UK economic cycles, using Markov switching approach. We associate Markov switching regime 1 with economic upturn and regime 2 with economic downturn. We find clear evidence of cyclical variations in the three premiums, most notable being that in the size premium, which changes from positive in expansions to negative in recessions. Macroeconomic indicators prompting such cyclicality the most are variables that proxy credit market conditions, namely the interest rates, term structure and credit spread. Overall, macro factors tend to have more significant impact on the three premiums during economic downturns. The results are robust to the choice of information variable used in modelling transition probabilities of the two-stage Markov switching model. We show that exploiting cyclicality in premiums proves particularly profitable for portfolios featuring small cap stocks in recessions at a feasible level of transaction costs

A guide to survival of momentum in UK style portfolios

In this study we estimate the survival time of momentum in six UK style portfolio returns from October 1980 to June 2014. We utilise the Kaplan-Meier estimator, a non-parametric method that measures the probability that momentum will persist beyond the present month. This probability enables us to compute the average momentum survival time for each of the six style portfolios. Discrepancies between these empirical mean survival times and those implied by theoretical models [Random Walk and ARMA (1, 1)] show that there is scope for profiting from momentum trading. We illustrate this by forming long-only, short-only and long-short trading strategies that exploit positive and negative momentum and their average survival time. These trading strategies yield considerably higher Sharpe ratios than the comparative buy-and-hold strategies at a feasible level of transaction costs. This result is most pronounced for the long/short strategies. Our findings remain robust during the 2007/2008 financial crisis and the aftermath, suggesting that Kaplan-Meier estimator is a powerful tool for designing a profitable momentum strategy

Optical control of internal electric fields in band-gap graded InGaN nanowires

InGaN nanowires are suitable building blocks for many future optoelectronic devices. We show that a linear grading of the indium content along the nanowire axis from GaN to InN introduces an internal electric field evoking a photocurrent. Consistent with quantitative band structure simulations we observe a sign change in the measured photocurrent as a function of photon flux. This negative differential photocurrent opens the path to a new type of nanowire-based photodetector. We demonstrate that the photocurrent response of the nanowires is as fast as 1.5 ps

CAG : stylometric authorship attribution of multi-author documents using a co-authorship graph

© 2020 The Authors. Published by IEEE. This is an open access article available under a Creative Commons licence. The published version can be accessed at the following link on the publisher’s website: https://ieeexplore.ieee.org/document/8962080Stylometry has been successfully applied to perform authorship identification of single-author documents (AISD). The AISD task is concerned with identifying the original author of an anonymous document from a group of candidate authors. However, AISD techniques are not applicable to the authorship identification of multi-author documents (AIMD). Unlike AISD, where each document is written by one single author, AIMD focuses on handling multi-author documents. Due to the combinatoric nature of documents, AIMD lacks the ground truth information - that is, information on writing and non-writing authors in a multi-author document - which makes this problem more challenging to solve. Previous AIMD solutions have a number of limitations: (i) the best stylometry-based AIMD solution has a low accuracy, less than 30%; (ii) increasing the number of co-authors of papers adversely affects the performance of AIMD solutions; and (iii) AIMD solutions were not designed to handle the non-writing authors (NWAs). However, NWAs exist in real-world cases - that is, there are papers for which not every co-author listed has contributed as a writer. This paper proposes an AIMD framework called the Co-Authorship Graph that can be used to (i) capture the stylistic information of each author in a corpus of multi-author documents and (ii) make a multi-label prediction for a multi-author query document. We conducted extensive experimental studies on one synthetic and three real-world corpora. Experimental results show that our proposed framework (i) significantly outperformed competitive techniques; (ii) can effectively handle a larger number of co-authors in comparison with competitive techniques; and (iii) can effectively handle NWAs in multi-author documents.This work was supported in part by the Digital Economy Promotion Agency under Project MP-62-0003, and in part by the Thailand Research Fund and Office of the Higher Education Commission under Grant MRG6180266.Published versio

Comorbidities, complications and mortality in people of South Asian ethnicity with type 1 diabetes compared with other ethnic groups : a systematic review

Objective The aim of this systematic review is to explore the association of South Asian (SA) ethnicity on comorbidities, microvascular and macrovascular complications and mortality compared with other ethnic groups in people with type 1 diabetes mellitus (T1DM). Design Systematic review. Method A systematic literature search strategy was designed and carried out using Medline and Embase for full-text and abstract studies published in English from 1946 to February 2016. The initial search identified 4722 papers. We assessed 305 full-text articles in detail for potential inclusion. Ten papers met the inclusion criteria for review and an additional one paper was included from our secondary search strategy using the bibliography of included studies. In total, 11 studies were included. Eligibility criteria for selecting studies Studies were included if they were published in English, involved SA participants with T1DM and compared them with non- SA participants and assessed one of the outcomes of comorbidities, microvascular complications, macrovascular complications and mortality. Results SA with T1DM have higher mortality compared with white Europeans (WE), mainly contributed to by excess cardiovascular disease. SA have significantly higher glycated haemoglobin (HbA1c), lower high-density lipoprotein (HDL) and lower rates of neuropathy compared with WE. There were no differences in rates of retinopathy and nephropathy. Compared with Africans, SA had lower levels of microalbuminuria, HbA1c and systolic blood pressure and higher HDL levels. There were no significant differences in the remaining outcomes: cardiovascular disease, retinopathy, neuropathy and body mass index. Furthermore, SA have higher HbA1c levels than Malay and Chinese and higher waist hip ratio and lower HDL levels compared with Chinese only. Conclusion Our analysis highlights ethnic disparity in macrovascular outcomes that is so evident for type 2 diabetes mellitus may also be present for SA patients with T1DM. We highlight the need for a large, prospective, cohort study exploring the effect of ethnicity in a uniform healthcare setting

Long-term interleukin-6 levels and subsequent risk of coronary heart disease: Two new prospective studies and a systematic review

Background The relevance to coronary heart disease (CHD) of cytokines that govern inflammatory cascades, such as interleukin-6 (IL-6), may be underestimated because such mediators are short acting and prone to fluctuations. We evaluated associations of long-term circulating IL-6 levels with CHD risk (defined as nonfatal myocardial infarction [MI] or fatal CHD) in two population-based cohorts, involving serial measurements to enable correction for within-person variability. We updated a systematic review to put the new findings in context. Methods and Findings Measurements were made in samples obtained at baseline from 2,138 patients who had a first-ever nonfatal MI or died of CHD during follow-up, and from 4,267 controls in two cohorts comprising 24,230 participants. Correction for within-person variability was made using data from repeat measurements taken several years apart in several hundred participants. The year-to-year variability of IL-6 values within individuals was relatively high (regression dilution ratios of 0.41, 95% confidence interval [CI] 0.28-0.53, over 4 y, and 0.35, 95% CI 0.23-0.48, over 12 y). Ignoring this variability, we found an odds ratio for CHD, adjusted for several established risk factors, of 1.46 (95% CI 1.29-1.65) per 2 standard deviation (SD) increase of baseline IL-6 values, similar to that for baseline C-reactive protein. After correction for within-person variability, the odds ratio for CHD was 2.14 (95% CI 1.45-3.15) with long-term average ("usual'') IL-6, similar to those for some established risk factors. Increasing IL-6 levels were associated with progressively increasing CHD risk. An updated systematic review of electronic databases and other sources identified 15 relevant previous population-based prospective studies of IL-6 and clinical coronary outcomes (i.e., MI or coronary death). Including the two current studies, the 17 available prospective studies gave a combined odds ratio of 1.61 (95% CI 1.42-1.83) per 2 SD increase in baseline IL-6 (corresponding to an odds ratio of 3.34 [95% CI 2.45-4.56] per 2 SD increase in usual [long-term average] IL-6 levels). Conclusions Long-term IL-6 levels are associated with CHD risk about as strongly as are some major established risk factors, but causality remains uncertain. These findings highlight the potential relevance of IL-6-mediated pathways to CH

Understanding the Dynamics of Fluorescence Emission During Zeolite Detemplation Using Time Resolved Photoluminescence Spectroscopy

Time-resolved photoluminescence spectroscopy (TRPS) shows potential as a sensitive, non-destructive, high throughput, label-free laser-based spectroscopy technique capable of analysing low concentrations of organic species adsorbed on and within zeolite pores. Here we report the results from a study that uses TRPS to characterise photoluminescence (PL) arising from synthesised chabazite framework zeolites at three different stages of the detemplation process (from an uncalcined, partially calcined, and calcined zeolite). Temporal resolution was used to demonstrate the steric confinement effects of OSDA within a zeolite framework and therefore to establish a signature region for determining the presence of the template. Gated spectra comparisons between an uncalcined and a partially calcined zeolite demonstrated the presence of template alongside the proliferation of template-derived combustion products. An analysis of lifetime values demonstrated the ability for TRPS to track depletion of OSDA and establish a characteristic PL spectrum for a clean zeolite

Optimization of reactor temperature according to radiation distribution characteristics

Papers presented to the 11th International Conference on Heat Transfer, Fluid Mechanics and Thermodynamics, South Africa, 20-23 July 2015.Temperature stability inside a solar reactor is much more complex to achieve than that of traditional combustion based reactors. The main reason contributes to the transient nature of the solar radiation which serves as the source of high temperature process heat to run endothermic solar thermochemical reactions. One of the key factors to assure temperature stability inside a solar reactor is to understand the characteristics of the incoming solar radiation and design a solar reactor accordingly. This paper provides radiation distribution characteristics of 7 kW high flux solar simulator and design of a solar reactor according to that heat source. Flux characterization of the solar simulator was done by using a calorimetric calibration of a heat flux gage. The maximum and minimum peak flux output at the focal plane was obtained by moving the heat flux gage within the focal plane, but away from the focal point by 0.25 mm steps. Heat exchange between the gage and the Lambertian target was quantified by measuring the inlet and outlet temperatures. Flux map obtained per experimental measurements was used to determine corresponding aperture size of the solar reactor for various flux levels. Selection of representative flux levels were made based upon NREL database which was fit to the flux scale of the 7 kW solar simulator. An optimum aperture size for the solar simulator was calculated for various corresponding time of the day per incoming flux based on two different optimization methods and input parameters in order to maintain a constant reactor temperature. It was found that the maximum optimal aperture radius during sunset at 5 am varies between 1.8 cm and 3.52 cm for the methods used, whereas it decreases to 0.4 cm and 0.73 cm during midday. Optimal constant reactor temperatures for corresponding aperture sizes change between 1339 K and 854 K per method used and flux distribution measured.am201