PERFORMANCE MEASUREMENT AND EVALUATION

This chapter discusses methods and techniques for measuring and evaluating performance for the purpose of controlling the investment process. However, many of the methods discussed in this chapter are also used in communicating investment performance between the investment management company and it’s (potential) customers. Therefore, performance measurements also play an important role in the competition between investments management companies. Substantial evidence from the net sales of mutual funds shows that investors buy mutual funds with good past performance records although they fail to sell funds with bad past performance.Performance measurement; risk-adjusted performance

Do possible worlds compromise God’s beauty? A reply to Mark Ian Thomas Robson

In a recent article Mark Ian Thomas Robson argues that there is a clear contradiction between the view that possible worlds are a part of God's nature and the theologically pivotal, but philosophically neglected, claim that God is perfectly beautiful. In this article I show that Robson's argument depends on several key assumptions that he fails to justify and as such that there is reason to doubt the soundness of his argument. I also demonstrate that if Robson's argument were sound then this would be a problem for all classical theists and not just those who hold the possible worlds view

Dynamic behavior of value and growth stocks

The difference between the performance of growth and value portfolios presents an interesting puzzle for researchers in finance. Most studies showed that value stocks outperform growth stocks. This is the so-called value premium. In this article, we try to find an answer to the question as to why value stocks generate superior returns to growth stocks by dividing growth and value stocks into switching- and fixed-style stocks. We show that the difference in returns between value and growth stocks is caused by frequently rebalancing portfolios and find a value premium for the switching-style stocks and a growth premium for the fixed-style stocks. We will try to find an explanation for this phenomenon using the behavioral finance explanation that investors are unable to process information correctly. We use earnings announcement return data to test whether expectations of investors about future growth are too extreme.

Estimation of the dietary nutrient profile of free-roaming feral cats: possible implications for nutrition of domestic cats

Cats are strict carnivores and in the wild rely on a diet solely based on animal tissues to meet their specific and unique nutritional requirements. Although the feeding ecology of cats in the wild has been well documented in the literature, there is no information on the precise nutrient profile to which the cat's metabolism has adapted. The present study aimed to derive the dietary nutrient profile of free-living cats. Studies reporting the feeding habits of cats in the wild were reviewed and data on the nutrient composition of the consumed prey items obtained from the literature. Fifty-five studies reported feeding strategy data of cats in the wild. After specific exclusion criteria, twenty-seven studies were used to derive thirty individual dietary nutrient profiles. The results show that feral cats are obligatory carnivores, with their daily energy intake from crude protein being 52 %, from crude fat 46 % and from N-free extract only 2 %. Minerals and trace elements are consumed in relatively high concentrations compared with recommended allowances determined using empirical methods. The calculated nutrient profile may be considered the nutrient intake to which the cat's metabolic system has adapted. The present study provides insight into the nutritive, as well as possible non-nutritive aspects of a natural diet of whole prey for cats and provides novel ways to further improve feline diets to increase health and longevity

Analysts' earnings forecasts and international asset allocation

The aim of this paper is to investigate whether financial analysts’ earnings forecasts are informative from the viewpoint of allocating investments across different stock markets. Therefore we develop a country forecast indicator reflecting the analysts’ prospects for specific stock markets. The country forecast indicator is defined as the number of companies within one and the same stock market for which analysts revise their current year earnings forecast upward divided by the total number of companies for which analysts revise their current year earnings forecasts anyway. Based on the available analysts’ earnings forecasts in the Institutional Brokers Estimate System (I/E/B/S), we calculate a monthly country forecast indicator for the stock markets in Germany, France, Italy, The Netherlands, United Kingdom, and Switzerland over the period 1990 to 1994. The time-series correlations between the monthly value of the indicator and the stock market returns around the date of calculating the indicator show that stock returns rather precede than follow revisions in earnings forecasts. An investment strategy which is based on a monthly asset allocation to that stock market with the highest value of the country forecast indicator in the preceding month, gives a slight outperformance (around 3 percent excess return) compared to an equal allocation of funds to the stock markets involved.

INTERNAL CONSISTENCY IN MODELS OF OPTIMAL RESOURCE USE UNDER UNCERTAINTY

For several decades, economists have been concerned with the problem of optimal resource use under uncertainty. In many studies, researchers assume that prices evolve according to an exogenous stochastic process and solve the corresponding dynamic optimization problem to yield an optimal decision rule for exploitation of the resource. This study is motivated by our attempt to understand the relationship between efficiency in resource markets and optimal harvest decisions in which price is an exogenous state variable. The literature on optimal commodity storage finds that in a rational expectations equilibrium commodity prices are stationary and serially correlated. Yet recent papers on optimal timber harvesting that assume exogenous stationary prices generate harvest rules inconsistent with the price processes on which they are based. In this study, we investigate the appropriate form of the stochastic process governing prices of renewable resources. We develop a model in which timber is supplied by profit-maximizing managers with rational expectations and aggregate timber demand is subject to independent exogenous shocks. In contrast to earlier studies, prices are endogenously determined. Managers know the structure of the timber market and form expectations of future market equilibria in making optimal harvesting decisions. We show under general conditions that efficient timber prices are stationary and serially correlated. Stationarity and serial correlation are shown to arise from two sources: the occurrence of stock-outs (i.e., depletion of the inventory) and stock-dependent growth of the resource. Further, we show that prices retain these properties even in the absence of stock-outs. Simulations are used to further illustrate the analytical results. Our findings have implications for a large number of economic analyses of optimal resource use. First, our results reveal why extraction rules for renewable resources based on exogenous price specifications are internally inconsistent, even when the specification conforms to the stochastic behavior of prices generated by an efficient market. These prices arise in a particular structural environment, and if large numbers of resource managers adopt the harvesting rule, the underlying structural environment would change, and the price process would deviate from that used to derive the harvesting rule. Second, we show that there can be no gains from exploiting the stochasticity of resource prices in a rational expectations world, a finding that challenges the prescriptive policies for resource use found in many studies, including those on option values. Third, our results show that time-series analyses designed to test for the efficiency of renewable resource markets cannot distinguish prices generated in an efficient market from those generated in an inefficient market. Finally, we extend the literature on optimal storage. Previous models of commodity storage models are shown to be a special case of our model involving age-independent depreciation of the inventory.Resource /Energy Economics and Policy,