A Smart Beta Approach to Fama-French and Profitability

The Fama and French five-factor model is molded into a smart beta investment strategy with strong exposure to the profitability factor. This constructed portfolio outperforms the market significantly despite an unintentional negative correlation with profitability that can be attributed to the intra-factor return correlations. The second portfolio, constructed by investing directly in profitability as represented by gross profit over total assets, outperforms both the market and the first portfolio

Ethology of the trace fossil Chondrites: Form, function and environment

The behaviour of the iconic ichnogenus Chondrites is re-evaluated based on review of existing literature and analysis of novel data (macroscopic, thin section and ESEM-EDX observations; CT-scans and resin peels of modern analogues; computer-controlled serial grinding; morphometric analysis and theoretical morphology). The bedding plane expression of Chondrites is well-constrained by morphometry: (1) the angle of dichotomy formed by a pair of adjacent branches is typically between 30° and 56° (interquartile range; mean: 47°); (2) branching order is between 1 and 9; (3) branches are, on average, nine times longer than wide. In the third dimension, downward branching is dominant but bundled shafts and upward branching may be present. The size of Chondrites increased markedly from the Late Jurassic to the Late Cretaceous, suggesting that the tracemakers became larger and larger. Microfabric analysis of Chondrites shows active fill or, alternatively, passive fill of empty tunnels by currents or clay percolation, a new mechanism proposed herein. The tracemakers built Chondrites to obtain food: (1) vermiform deposit feeders produced Chondrites for searching for food in the sediment (fodinichnion); (2) asymbiotic bivalves built Chondrites for cultivating and directly ingesting bacteria (agrichnion); (3) chemosymbiotic bivalves produced Chondrites to provide symbionts with chemical agents. Chondrites was modified through the life of the tracemaker or it represented a part of the producer's lifespan. Chondrites — and its modern tracemaker(s) — is associated with a range of marine settings, including well-oxygenated, dysoxic and space-limited (nucleocave) environments. As such, Chondrites is regarded as an extremotolerant ichnotaxon