Style rotation and performance persistence of mutual funds

Most academic studies on performance persistence in monthly mutual fund returns do not find evidence for timing skills of fund managers. Furthermore, realized returns are undoubtedly driven by the investment style of a fund. We propose a new holdings-based measure of style rotation to investigate the relation between performance persistence and changes in style. For a large sample of U.S. domestic equity mutual funds we find that top and bottom performing decile portfolios, sorted on past one-year returns and risk djusted excess performance from a 4-factor model, are subject to a higher degree of style rotation than middle deciles. Style inconsistent funds with high values for the style rotation measure in turn exhibit less persistence in decile rankings over subsequent years than style consistent funds. Hence, it is important for delegated portfolio management to consider style rotation when selecting managers based on past performance.mutual fund, performance persistence, style rotation.

Estimating The Term Structure of Interest Rates: The Swiss Case

Parametric estimation approaches are widely by central banks as they produce smooth term structures with relatively few parameters. In the paper I implement the Nelson and Siegel (1987) model for Switzerland. The estimations use daily observations of Swiss government bonds from January 1994 to July 1998. To overcome the lack of sufficient data in the very short run, the 1-month and 1-year Euromarket rate are added. The knowledge of the dependencies of the term structure from the possible parameter constellations is used to calibrate the model for the Swiss market. The results show that the parameters are stable over time. The smooth shape and the stability over time make it a valuable tool for monetary policy

Estimating The Term Structure of Interest Rates: The Swiss Case

Parametric estimation approaches are widely by central banks as they produce smooth term structures with relatively few parameters. In the paper I implement the Nelson and Siegel (1987) model for Switzerland. The estimations use daily observations of Swiss government bonds from January 1994 to July 1998. To overcome the lack of sufficient data in the very short run, the 1-month and 1-year Euromarket rate are added. The knowledge of the dependencies of the term structure from the possible parameter constellations is used to calibrate the model for the Swiss market. The results show that the parameters are stable over time. The smooth shape and the stability over time make it a valuable tool for monetary policy.Term structure of interest rates, Interpolation

Do We Need CAPM for Capital Budgeting?

A key input to the capital budgeting process is the cost of capital. Financial managers most often use the CAPM for estimating the cost of capital for which they need to know the market risk premium. Textbooks advocate using the historical value for the U.S. equity premium as the market risk premium. The CAPM as a model has been seriously challenged in the academic literature. In addition recent research indicates that the true market risk premium might have been as low as half the historical U.S. equity premium during the last two decades. If business finance courses have been teaching the use of the wrong model along with wrong inputs for twenty years, why has no one complained? We provide an answer to this puzzle.

Performance Analysis of Hedge Fonds

El edificio dispone de dos portadas gemelas, probablemente fruto de su doble utilidad como pósito y carnicería, que siguen el mismo esquema compositivo; hueco adintelado enmarcado por pilastras y traspilastras con pinjante central, friso cornisa con frontón partido en cuyo centro y extremos laterales hay remates de bolas. Este tipo de remates también aparece en las ventanas del primer cuerpo de fachada. En el interior hay que destacar varias columnas y decoración de pinjantes en la parte de muro donde apoyan las bóvedas. Su fachada, de dos plantas, se articula en un orden gigante de pilastras toscanas, presentando dos portadas gemelas. Se cubre en planta baja con una estructura de bóvedas de arista cuatripartitas apoyadas sobre pilares y directamente en el muro. En planta alta presenta una arquería sobre pilares que sostiene la hilera del tejado a dos aguas. Destacamos en la parte superior de la fachada, un friso que lleva una inscripción así como un escudo situado en la parte izquierda de la fachada con una leyenda donde nos informa de la fecha y el autor de la obra, que dice así: ¿SIENDO CORREGIDOR DE ESTA VILLA DON MIGUEL DE PADILLA Y CONSTRUÍDO POR ALONSO RUIZ FLORINDO DE CARMONA EN EL AÑO 1790¿. Tiene una sola planta y está recorrido en su perímetro exterior por varios contrafuertes. En el espacio residual queda un patio al fondo del cual se encuentran las instalaciones sanitarias. Presenta estructura general de muros de carga, bóvedas de ladrillo, pilares y arcos del mismo material y cubiertas de madera de teja curva

The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data

Whereas Poterba and Summers (1995) find that firms use hurdle rates that are unrelated to their CAPM betas, Graham and Harvey (2001) find that 74% of their survey firms use the CAPM for capital budgeting. We provide an explanation for these two apparently contradictory conclusions. We find that firms behave as though they add a hurdle premium to their CAPM based cost of capital. Following McDonald and Siegel (1986), we argue that the hurdle premium depends on the value of the option to defer investments. While CAPM explains only 10% of the cross-sectional variation in hurdle rates across firms, variables that proxy for the benefits from the option to wait for potentially better investment opportunities explain 35%. Estimates of our hurdle premium model parameters imply an equity premium of 3.8% per year, a figure that is essentially the same as that reported in the survey by Graham and Harvey (2005). Consistent with our model, growth firms use a higher hurdle rate when compared to value firms, even though they have a lower cost of capital.

What kinds of personal data do primary school pupils share with whom? Children’s view of personal data and its implications for teaching about privacy

Safeguarding personal digital data is crucial and requires appropriate training. However, privacy remains a novel topic, leaving teachers with limited guidance. This study investigates how elementary school students perceive personal data and assesses pre-service teachers’ accuracy in predicting children’s responses. Employing Nissenbaum’s contextual integrity framework, the outcomes of this research offer a nuanced perspective on privacy, considering different recipients and data types. The study surveyed 94 Grade 3 and Grade 5 students, asking them to indicate with which recipients (no one, parents, best friends, class, all other people) they would share specific information. In addition, 75 pre-service teachers were asked to indicate what they expected Grade 5 children would share with whom. The findings show: 1. what information Grade 3 and Grade 5 students consider to be most private, 2. which recipients they trust the most, 3. varying sharing practices between Grade 3 and 5, and 4. a tendency for pre-service teachers to underestimate children’s privacy sharing behavior. In the discussion section we propose five recommendations for enhancing digital privacy education

Biparatopic sybodies neutralize SARS-CoV-2 variants of concern and mitigate drug resistance

The ongoing COVID-19 pandemic represents an unprecedented global health crisis. Here, we report the identification of a synthetic nanobody (sybody) pair, Sb#15 and Sb#68, that can bind simultaneously to the SARS-CoV-2 spike RBD and efficiently neutralize pseudotyped and live viruses by interfering with ACE2 interaction. Cryo-EM confirms that Sb#15 and Sb#68 engage two spatially discrete epitopes, influencing rational design of bispecific and tri-bispecific fusion constructs that exhibit up to 100- and 1,000-fold increase in neutralization potency, respectively. Cryo-EM of the sybody-spike complex additionally reveals a novel up-out RBD conformation. While resistant viruses emerge rapidly in the presence of single binders, no escape variants are observed in the presence of the bispecific sybody. The multivalent bispecific constructs further increase the neutralization potency against globally circulating SARS-CoV-2 variants of concern. Our study illustrates the power of multivalency and biparatopic nanobody fusions for the potential development of therapeutic strategies that mitigate the emergence of new SARS-CoV-2 escape mutants