An empirical evaluation of fixed income fund performance : new evidence across alternative methods

Error on title page - year of award is 2021With a wealth of research directed at fund performance evaluation, that which is specific to bond funds is relatively minimal. This thesis aims to shed further light on this topic using a new sample of UK data. To most effectively judge the merits of active management the specification of a reliable benchmark model is paramount. The first empirical chapter involves testing a range of single and multi-factor models to determine which of these can be considered the most suitable for evaluation of the funds in question. The Gibbons, Ross, and Shanken (1989) test of mean-variance efficiency is first applied as an absolute test, with further alpha test statistics used for a relative evaluation of the candidate models. Overall, the results show that a five-factor model (named Maturity 5) that includes adjustment for both term and credit is the most reliable. This is primarily indicated by the lowest absolute alphas and corresponding goodness of fit statistics, i.e., low standard errors and high (adj)R2. A multi-period analysis is conducted to determine the extent to which this varies over time. The results are consistent, with the same model performing the best in each case. The second empirical chapter builds upon these findings and uses Maturity 5 to evaluate the sample of UK bond funds. The results over the whole period from January 1999 until July 2016 are consistent with much of the academic literature; the funds are found to underperform on a risk-adjusted basis by approximately a magnitude of costs. However, during the recent subsample from September 2009 the performance is neutral. The use of dummy variables and Wald tests indicates that the Government, Corporate, and Diversified funds perform significantly better here. Having identified during testing that minimal bias is likely to be induced by the Maturity 5 model, it can be inferred that the performance is not just a result of exposure to passive portfolios (as represented by the test assets). Instead, there appears to be some ability beyond this being employed by the active funds. The measure of Treynor and Mazuy (1966) has been used to identify if market timing makes a positive contribution to performance. Evidence is minimal when the Barclays Sterling Aggregate Index is used as a proxy, however, 25% of Corporate bond funds exhibit positive ability relative to the category-specific benchmark as assigned by Morningstar. The third and final empirical chapter seeks to shed some light as to whether the active managers are lucky with respect to alpha generation or indeed exhibit true outperformance. A bootstrap procedure is first applied to the individual funds to do so. The method used here is known as entire-cases resampling (Fama and French 2010), whereby the time-ordering is maintained across the sample. This differs from the approach of KTWW (2006), which is used prevalently throughout the fund performance literature. To date, the entire-cases method has not yet been applied to a sample of bond funds. The initial results in this chapter support superior performance in the low-rate environment; this being evident across all funds from the 97h percentile, and Corporate from the 95th. To add further robustness, two variations of the false discovery rate method have been used to adjust for luck. The “classical” approach of BSW (2010) also finds positive alpha, isolated to the post-crisis period. Lower expenses characterise these funds, along with a higher number of observations per fund, and the average alpha is approx. 1.68% p.a. Recent literature has proposed many refinements to the methods used to address multiple hypothesis testing issues. The Ferson and Chen (2019) approach expands upon the entire cases method already used in this chapter, allowing for not only a lucky distribution to be considered, but also simulates those defined as both “good” and “bad”, incorporating power and confusion parameters. The results here are the most positive yet. At 10% 10% level, the proportion of outperforming funds is 11% and 33% across the whole and recent periods respectively. This is again driven primarily by the Corporate category of funds.With a wealth of research directed at fund performance evaluation, that which is specific to bond funds is relatively minimal. This thesis aims to shed further light on this topic using a new sample of UK data. To most effectively judge the merits of active management the specification of a reliable benchmark model is paramount. The first empirical chapter involves testing a range of single and multi-factor models to determine which of these can be considered the most suitable for evaluation of the funds in question. The Gibbons, Ross, and Shanken (1989) test of mean-variance efficiency is first applied as an absolute test, with further alpha test statistics used for a relative evaluation of the candidate models. Overall, the results show that a five-factor model (named Maturity 5) that includes adjustment for both term and credit is the most reliable. This is primarily indicated by the lowest absolute alphas and corresponding goodness of fit statistics, i.e., low standard errors and high (adj)R2. A multi-period analysis is conducted to determine the extent to which this varies over time. The results are consistent, with the same model performing the best in each case. The second empirical chapter builds upon these findings and uses Maturity 5 to evaluate the sample of UK bond funds. The results over the whole period from January 1999 until July 2016 are consistent with much of the academic literature; the funds are found to underperform on a risk-adjusted basis by approximately a magnitude of costs. However, during the recent subsample from September 2009 the performance is neutral. The use of dummy variables and Wald tests indicates that the Government, Corporate, and Diversified funds perform significantly better here. Having identified during testing that minimal bias is likely to be induced by the Maturity 5 model, it can be inferred that the performance is not just a result of exposure to passive portfolios (as represented by the test assets). Instead, there appears to be some ability beyond this being employed by the active funds. The measure of Treynor and Mazuy (1966) has been used to identify if market timing makes a positive contribution to performance. Evidence is minimal when the Barclays Sterling Aggregate Index is used as a proxy, however, 25% of Corporate bond funds exhibit positive ability relative to the category-specific benchmark as assigned by Morningstar. The third and final empirical chapter seeks to shed some light as to whether the active managers are lucky with respect to alpha generation or indeed exhibit true outperformance. A bootstrap procedure is first applied to the individual funds to do so. The method used here is known as entire-cases resampling (Fama and French 2010), whereby the time-ordering is maintained across the sample. This differs from the approach of KTWW (2006), which is used prevalently throughout the fund performance literature. To date, the entire-cases method has not yet been applied to a sample of bond funds. The initial results in this chapter support superior performance in the low-rate environment; this being evident across all funds from the 97h percentile, and Corporate from the 95th. To add further robustness, two variations of the false discovery rate method have been used to adjust for luck. The “classical” approach of BSW (2010) also finds positive alpha, isolated to the post-crisis period. Lower expenses characterise these funds, along with a higher number of observations per fund, and the average alpha is approx. 1.68% p.a. Recent literature has proposed many refinements to the methods used to address multiple hypothesis testing issues. The Ferson and Chen (2019) approach expands upon the entire cases method already used in this chapter, allowing for not only a lucky distribution to be considered, but also simulates those defined as both “good” and “bad”, incorporating power and confusion parameters. The results here are the most positive yet. At 10% 10% level, the proportion of outperforming funds is 11% and 33% across the whole and recent periods respectively. This is again driven primarily by the Corporate category of funds

LH Dynamics in Overweight Girls with Premature Adrenarche and Slowly Progressive Sexual Precocity

Background. Excess adiposity and premature adrenarche (PA) are risk factors for the development of polycystic ovary syndrome (PCOS). Methods. Girls with slowly progressive precocious breast development, who were overweight and had PA (SPPOPA, 6.2–8.2 years, n = 5), overweight PA (6.6–10.8 years, n = 7), and overweight premenarcheal controls (OW-PUB, 10.6–12.8 years, n = 8) underwent hormonal sleep testing and GnRH agonist (GnRHag) and ACTH tests. Results. Despite an insignificant sleep-related increase in LH and prepubertal baseline hormone levels, SPPOPA peak LH and estradiol responses to GnRHag were intermediate between those of PA and OW-PUB, the LH being significantly different from both. Conclusions. GnRHag tests indicate that SPPOPA is a slowly progressive form of true puberty with blunted LH dynamics. These results argue against the prepubertal hyperandrogenism of excess adiposity or PA enhancing LH secretion or causing ovarian hyperandrogenism prior to menarche. Excess adiposity may contribute to both the early onset and slow progression of puberty

Exploring How Maternal Phosphorus Status Affects Calf Growth and Performance

Phosphorus is an important component of bodily functions and is critical for adequate growth and development. This experiment evaluated the effect of maternal phosphorus intake on the growth and health of the calves. Treatments were 1) a free-choice mineral containing no supplemental P or 2) a free-choice mineral with 4% supplemental phosphorus. Primiparous, or pregnant for the first time, crossbred Angus beef cows (n = 36) were stratified by body weight and pregnancy status (bred by artificial insemination or natural service) then assigned to pasture groups (4 groups, 2/treatment, 9 heifers/group). These bred heifers had been receiving these same dietary treatments from 30 days after weaning until confirmation of pregnancy. Eighteen bred heifers from each treatment were selected randomly to continue into this experiment. At calving, colostrum and blood samples were collected from a subset of 12 heifers/treatment (6/group). Body weights were obtained for all cattle. Data were analyzed using the MIXED procedure of SAS. Cows grazed mixed grass pastures; monthly forage samples ranged from 0.28% to 0.36% P. There were no differences (P \u3e 0.10) for cow body weight during gestation, calf birth weight, or calf weight at an average age of 21 days. There were also no differences (P \u3e 0.10) in colostrum components (fat, protein, lactose, and IgG) or in the serum IgG or plasma mineral concentrations for both cows and calves 48 hours after birth. All calves were sampled at approximately 21 days of age, and there were no treatment differences (P \u3e 0.10) in serum IgG concentrations. There were no benefits to supplementing gestating heifers with phosphorus when they grazed pasture with a history of fertilization with livestock manure

Multiple-input subject-specific modeling of plasma glucose concentration for feedforward control

The ability to accurately develop subject-specific, input causation models, for blood glucose concentration (BGC) for large input sets can have a significant impact on tightening control for insulin dependent diabetes. More specifically, for Type 1 diabetics (T1Ds), it can lead to an effective artificial pancreas (i.e., an automatic control system that delivers exogenous insulin) under extreme changes in critical disturbances. These disturbances include food consumption, activity variations, and physiological stress changes. Thus, this paper presents a free-living, outpatient, multiple-input, modeling method for BGC with strong causation attributes that is stable and guards against overfitting to provide an e ffective modeling approach for feedforward control (FFC). This approach is a Wiener block-oriented methodology, which has unique attributes for meeting critical requirements for effective, long-term, FFC

DNM1 encephalopathy: A new disease of vesicle fission.

ObjectiveTo evaluate the phenotypic spectrum caused by mutations in dynamin 1 (DNM1), encoding the presynaptic protein DNM1, and to investigate possible genotype-phenotype correlations and predicted functional consequences based on structural modeling.MethodsWe reviewed phenotypic data of 21 patients (7 previously published) with DNM1 mutations. We compared mutation data to known functional data and undertook biomolecular modeling to assess the effect of the mutations on protein function.ResultsWe identified 19 patients with de novo mutations in DNM1 and a sibling pair who had an inherited mutation from a mosaic parent. Seven patients (33.3%) carried the recurrent p.Arg237Trp mutation. A common phenotype emerged that included severe to profound intellectual disability and muscular hypotonia in all patients and an epilepsy characterized by infantile spasms in 16 of 21 patients, frequently evolving into Lennox-Gastaut syndrome. Two patients had profound global developmental delay without seizures. In addition, we describe a single patient with normal development before the onset of a catastrophic epilepsy, consistent with febrile infection-related epilepsy syndrome at 4 years. All mutations cluster within the GTPase or middle domains, and structural modeling and existing functional data suggest a dominant-negative effect on DMN1 function.ConclusionsThe phenotypic spectrum of DNM1-related encephalopathy is relatively homogeneous, in contrast to many other genetic epilepsies. Up to one-third of patients carry the recurrent p.Arg237Trp variant, which is now one of the most common recurrent variants in epileptic encephalopathies identified to date. Given the predicted dominant-negative mechanism of this mutation, this variant presents a prime target for therapeutic intervention

Pathogenic MAST3 Variants in the STK Domain Are Associated with Epilepsy

Objective: The MAST family of microtubule-associated serine–threonine kinases (STKs) have distinct expression patterns in the developing and mature human and mouse brain. To date, only MAST1 has been conclusively associated with neurological disease, with de novo variants in individuals with a neurodevelopmental disorder, including a mega corpus callosum. Methods: Using exome sequencing, we identify MAST3 missense variants in individuals with epilepsy. We also assess the effect of these variants on the ability of MAST3 to phosphorylate the target gene product ARPP-16 in HEK293T cells. Results: We identify de novo missense variants in the STK domain in 11 individuals, including 2 recurrent variants p.G510S (n = 5) and p.G515S (n = 3). All 11 individuals had developmental and epileptic encephalopathy, with 8 having normal development prior to seizure onset at \u3c2 years of age. All patients developed multiple seizure types, 9 of 11 patients had seizures triggered by fever and 9 of 11 patients had drug-resistant seizures. In vitro analysis of HEK293T cells transfected with MAST3 cDNA carrying a subset of these patient-specific missense variants demonstrated variable but generally lower expression, with concomitant increased phosphorylation of the MAST3 target, ARPP-16, compared to wild-type. These findings suggest the patient-specific variants may confer MAST3 gain-of-function. Moreover, single-nuclei RNA sequencing and immunohistochemistry shows that MAST3 expression is restricted to excitatory neurons in the cortex late in prenatal development and postnatally. Interpretation: In summary, we describe MAST3 as a novel epilepsy-associated gene with a potential gain-of-function pathogenic mechanism that may be primarily restricted to excitatory neurons in the cortex. ANN NEUROL 2021;90:274–284

Diazoxide choline extended‐release tablet in people with Prader‐Willi syndrome: results from long‐term open‐label study

Objective: This study assessed the effect of 1-year administration of diazoxide choline extended-release tablet (DCCR) on hyperphagia and other complications of Prader-Willi syndrome (PWS). Methods: The authors studied 125 participants with PWS, age ≥ 4 years, who were enrolled in the DESTINY PWS Phase 3 study and who received DCCR for up to 52 weeks in DESTINY PWS and/or its open-label extension. The primary efficacy endpoint was Hyperphagia Questionnaire for Clinical Trials (HQ-CT) score. Other endpoints included behavioral assessments, body composition, hormonal measures, and safety. Results: DCCR administration resulted in significant improvements in HQ-CT (mean [SE] −9.9 [0.77], p < 0.0001) and greater improvements in those with more severe baseline hyperphagia (HQ-CT > 22). Improvements were seen in aggression, anxiety, and compulsivity (all p < 0.0001). There were reductions in leptin, insulin, and insulin resistance, as well as a significant increase in adiponectin (all p < 0.004). Lean body mass was increased (p < 0.0001). Disease severity was reduced as assessed by clinician and caregiver (both p < 0.0001). Common treatment-emergent adverse events included hypertrichosis, peripheral edema, and hyperglycemia. Adverse events infrequently resulted in discontinuation (7.2%). Conclusions: DCCR administration to people with PWS was well tolerated and associated with broad-ranging improvements in the syndrome. Sustained administration of DCCR has the potential to reduce disease severity and the burden of care for families

Pathogenetics of alveolar capillary dysplasia with misalignment of pulmonary veins.

Alveolar capillary dysplasia with misalignment of pulmonary veins (ACDMPV) is a lethal lung developmental disorder caused by heterozygous point mutations or genomic deletion copy-number variants (CNVs) of FOXF1 or its upstream enhancer involving fetal lung-expressed long noncoding RNA genes LINC01081 and LINC01082. Using custom-designed array comparative genomic hybridization, Sanger sequencing, whole exome sequencing (WES), and bioinformatic analyses, we studied 22 new unrelated families (20 postnatal and two prenatal) with clinically diagnosed ACDMPV. We describe novel deletion CNVs at the FOXF1 locus in 13 unrelated ACDMPV patients. Together with the previously reported cases, all 31 genomic deletions in 16q24.1, pathogenic for ACDMPV, for which parental origin was determined, arose de novo with 30 of them occurring on the maternally inherited chromosome 16, strongly implicating genomic imprinting of the FOXF1 locus in human lungs. Surprisingly, we have also identified four ACDMPV families with the pathogenic variants in the FOXF1 locus that arose on paternal chromosome 16. Interestingly, a combination of the severe cardiac defects, including hypoplastic left heart, and single umbilical artery were observed only in children with deletion CNVs involving FOXF1 and its upstream enhancer. Our data demonstrate that genomic imprinting at 16q24.1 plays an important role in variable ACDMPV manifestation likely through long-range regulation of FOXF1 expression, and may be also responsible for key phenotypic features of maternal uniparental disomy 16. Moreover, in one family, WES revealed a de novo missense variant in ESRP1, potentially implicating FGF signaling in the etiology of ACDMPV