Hedge Funds: The Good, the Bad, and the Lucky

2017 ◽  
Vol 52 (3) ◽  
pp. 1081-1109 ◽  
Author(s):  
Yong Chen ◽  
Michael Cliff ◽  
Haibei Zhao
Keyword(s):  
Hedge Funds ◽  
Expectation Maximization ◽  
Investment Strategy ◽  
Performance Measure ◽  
Cross Sectional ◽  
Normal Distributions ◽  
Out Of Sample ◽  
Mixture Of Normal Distributions ◽  
Skill Groups ◽  
The Mean

We develop an estimation approach based on a modified expectation-maximization (EM) algorithm and a mixture of normal distributions associated with skill groups to assess performance in hedge funds. By allowing luck to affect both skilled and unskilled funds, we estimate the number of skill groups, the fraction of funds from each group, and the mean and variability of skill within each group. For each individual fund, we propose a performance measure combining the fund’s estimated alpha with the cross-sectional distribution of fund skill. In out-of-sample tests, an investment strategy using our performance measure outperforms those using estimated alpha and t-statistic.

scholarly journals How to Distinguish Languages and Dialects

2020 ◽  
Vol 45 (4) ◽  
pp. 823-831 ◽  
Author(s):  
Søren Wichmann
Keyword(s):  
Temporal Distance ◽  
Strong Tendency ◽  
Data Sets ◽  
Language Group ◽  
Lexical Information ◽  
Normal Distributions ◽  
Mixture Of Normal Distributions ◽  
The Mean ◽  
One To One

The terms “language” and “dialect” are ingrained, but linguists nevertheless tend to agree that it is impossible to apply a non-arbitrary distinction such that two speech varieties can be identified as either distinct languages or two dialects of one and the same language. A database of lexical information for more than 7,500 speech varieties, however, unveils a strong tendency for linguistic distances to be bimodally distributed. For a given language group the linguistic distances pertaining to either cluster can be teased apart, identifying a mixture of normal distributions within the data and then separating them fitting curves and finding the point where they cross. The thresholds identified are remarkably consistent across data sets, qualifying their mean as a universal criterion for distinguishing between language and dialect pairs. The mean of the thresholds identified translates into a temporal distance of around one to one-and-a-half millennia (1,075–1,635 years).

scholarly journals On The Persistence Of Selectivity And Market Timing Skills In Hedge Funds

2013 ◽  
Vol 12 (12) ◽  
pp. 1575
Author(s):  
John Muteba Mwamba
Keyword(s):  
Hedge Funds ◽  
Market Timing ◽  
Hedge Fund ◽  
Efficient Market Hypothesis ◽  
Investment Strategy ◽  
Chi Square ◽  
Cross Sectional ◽  
Data Set ◽  
Fund Managers ◽  
Limited Arbitrage

This paper investigates the persistence of hedge fund managers skills during periods of boom and/or recession. We consider a data set of monthly investment strategy indices published by Hedge Fund Research group. The data set spans from January 1995 to June 2010. We divide this sample period into four overlapping sub-sample periods that contain different economic cycles. We define a skilled manager as a manager who can outperform the market consistently during two consecutive sub-sample periods. We first estimate outperformance, selectivity and market timing skills using both linear and quadratic Capital Asset Pricing Model-CAPM. Persistence in performance is carried out in three different fashions: contingence table, chi-square test and cross-sectional auto-regression technique. The results show that fund managers have the skills to outperform the market during periods of positive economic growth only. This market outperformance is due to both selectivity and market timing skills. These results contradict the Efficient Market Hypothesis-EMH due to limited arbitrage opportunity.

The Distribution of Financial Ratios—A Note

1994 ◽  
Vol 9 (2) ◽  
pp. 215-223 ◽  
Author(s):  
Jacky C. So
Keyword(s):  
Empirical Evidence ◽  
Gamma Distribution ◽  
Lognormal Distribution ◽  
Financial Ratios ◽  
New Technique ◽  
Cross Sectional ◽  
Normal Distributions ◽  
Mixture Of Normal Distributions ◽  
Stable Paretian Distribution ◽  
A New Technique

Three competitive distributions are offered by the literature to explain the non-normality and skewness of the cross-sectional distribution of financial ratios: the mixture of normal distributions, the lognormal distribution, and the gamma distribution. Using a new technique, this paper shows that the lognormal distribution and the gamma distribution are not supported by the empirical evidence. Although these two distributions indeed capture skewness, they do not portray the correct shape of the distributions. The non-normal stable Paretian distribution seems to be good candidate to describe the distribution of financial ratios.

Relationship of Sense of Coherence to Other Psychosocial Indices

2004 ◽  
Vol 20 (4) ◽  
pp. 227-236 ◽  
Author(s):  
Sara Holmberg ◽  
Anders Thelin ◽  
Eva-Lena Stiernström
Keyword(s):  
Social Support ◽  
Psychosocial Factors ◽  
Sense Of Coherence ◽  
Living Conditions ◽  
Strong Negative Correlation ◽  
Cross Sectional ◽  
Positive Correlation ◽  
Work Related ◽  
Job Demand ◽  
The Mean

Summary: The concept of “sense of coherence” (SOC) has been widely recognized since it was first introduced by Antonovsky. The originality and usefulness of the SOC scale and its relation to other psychosocial measures has been the subject of lively debate. The aim of this paper was to test for associations between SOC and work-related psychosocial factors (mainly the Job Demand-Control model), general living conditions, education, and social network factors. Cross-sectional data from a population-based sample of 1782 rural males from nine counties in Sweden were analyzed with a multiple regression technique. The subjects were occupationally active at inclusion and the mean age was 50 years (range 40-60). SOC was assessed with the original 29-item questionnaire. Psychosocial variables and lifestyle factors were assessed using questionnaires and structured interviews. The mean SOC among the subjects was 152.3 (standard deviation, 19.4). A strong negative correlation was found between SOC and job demand, whereas a positive correlation with job control was demonstrated. A positive correlation with general living conditions and with social support was also found. However, there was no correlation to education and occupation. Thus, SOC was shown to be strongly correlated to work-related psychosocial factors and social support, but independent of sociodemographic factors.

Age related volume of cadaver-prostates in Bangladesh

1970 ◽  
Vol 4 (2) ◽  
pp. 74-77
Author(s):  
Rukshana Ahmed ◽  
Shamim Ara
Keyword(s):  
Prostate Gland ◽  
Age Groups ◽  
Clinical Settings ◽  
Cross Sectional ◽  
Medical College ◽  
Age Related ◽  
Group A ◽  
Key Words Prostate ◽  
The Mean ◽  
Group B

Pathological changes in the prostate gland occur commonly with advancing age including inflammation, atrophy, hyperplasia and carcinoma and a change in volume is also evident. Estimation of volume of prostate may be useful in a variety of clinical settings. A cross-sectional descriptive study was designed to see the changes in volume of the prostate with advancing age and done in the Department of Anatomy, Dhaka Medical College, Dhaka from August 2006 to June 2007. The study was performed on 70 post-mortem human prostates collected from the unclaimed dead bodies that were under examination in the Department of Forensic Medicine, Dhaka Medical College, Dhaka. The samples were divided into three age groups; group A (10-20 years), group B (21-40 years) and group C (41-70 years). Volume of the sample was measured by using the ellipsoid formula. The mean ± SD volume of prostate was 7.68 ± 3.64 cm3 in group A, 10.61 ± 3.99 cm3 in group B and 15.40 ± 6.31 cm3 in group C. Mean difference in volume between group A and group C, group B and group C were statistically significant (p<0.001). Statistically significant positive correlation was found between age and volume of prostate (r = + 0.579, p < 0.001). Key Words: Prostate; volume; Bangladeshi. DOI: 10.3329/imcj.v4i2.6501Ibrahim Med. Coll. J. 2010; 4(2): 74-77

Brief Overview and Experience of Visual Evoked Potential of First 67 cases at Referral Neuroscience Hospital in Bangladesh

2020 ◽  
Vol 6 (2) ◽  
pp. 74-77
Author(s):  
Mohammad Enayet Hussain ◽  
Bithi Debnath ◽  
AFM Al Masum Khan ◽  
Md Ferdous Mian ◽  
Md Nahidul Islam ◽  
...  
Keyword(s):  
Multiple Sclerosis ◽  
Optic Neuritis ◽  
Clinical Diagnosis ◽  
Optic Neuropathy ◽  
Cross Sectional Study ◽  
P Value ◽  
Pattern Reversal ◽  
Cross Sectional ◽  
The Mean ◽  
Visual Evoked

Background: The visual evoked potentials (VEP) is a valuable tool to document occult lesions of the central visual channels especially within the optic nerve. Objectives: The purpose of the present study was to observe the findings of first few cases of VEP done in the neurophysiology department of the National Institute of Neurosciences (NINS), Dhaka, Bangladesh. Methodology: This cross-sectional study was conducted in the Department of Neurophysiology at the National Institute of Neurosciences and Hospital, Dhaka, Bangladesh from September 2017 to March 2020. All patients referred to the Neurophysiology Department of NINS for VEP were included. Pattern reversal VEPs were done using standard protocol set by International Federation of Clinical Neurophysiology (IFCN). Results: The mean age of the study population was 30.70 (±12.11) years (6-68 years) with 31 (46.3%) male and 36 (53.7%) female patients. The mean duration of illness was 8.71 (±1.78) months (3 days- 120 months). Most common presenting symptom was blurring of vision (37.3%) and dimness of vision (32.8%). Patterned VEP revealed mixed type (both demyelinating and axonal) of abnormality in most cases [29(43.35)]. The most common clinical diagnosis was multiple sclerosis (29.85%) and optic neuropathy (26.87%). In the clinically suspected cases of multiple sclerosis, optic neuropathy and optic neuritis most of the cases of VEP were abnormal and the p value is 0.04 in optic neuropathy and optic neuritis. Conclusion: The commonest presentation of the patients in this series were blurring of vision and dimness of vision. The most common clinical diagnosis for which VEP was asked for, was optic neuritis and multiple sclerosis. Most abnormalities were of mixed pattern (demyelinating and axonal). Journal of National Institute of Neurosciences Bangladesh, 2020;6(2): 74-77

Sonographic Assessment of Amniotic Fluid Volume using Single Deepest Pocket (SDP) among Igbo Women with Uncomplicated Singleton Pregnancies.

2019 ◽  
Vol 2 (1) ◽  
pp. 1-18
Author(s):  
Chijioke Okeudo ◽  
B.U. Ezem
Keyword(s):  
Amniotic Fluid ◽  
Gestational Age ◽  
Cross Sectional Study ◽  
Fluid Volume ◽  
Singleton Pregnancy ◽  
Cross Sectional ◽  
South Eastern ◽  
Amniotic Fluid Volume ◽  
The Mean ◽  
Singleton Pregnancies

Background: The amniotic fluid is fundamental for proper fetal development and growth. Ultrasound visualization of the amniotic fluid permits both subjective and objective estimates of the amniotic fluid. Objective: The objective of this study was to determine the reference values of normal single deepest pocket (SDP) – upper and lower limits, mean SDP and variation of the SDP with gestational age among Igbo women of South-Eastern Nigeria extraction carrying uncomplicated singleton pregnancy. Methodology: This was a prospective cross sectional study involving 400 women carrying uncomplicated singleton pregnancies and who were sure of the date of the first day of their last menstrual period. The single deepest pocket / maximum vertical pool were determined once at presentation at the hospital.. The study was conducted from January 1st to December 31st 2015. The second author carried out all the scanning. The SDP was obtained. Results: The womens’ mean and median ages were the same at 28 years. The gestational age range of the pregnancies was 14-41 weeks. The mean SDP was 5.8cm, while the 5th and 95th percentiles were 3.3cm and 8.5cm respectively. There was no difference in the mean SDP in both term and preterm. There was irregular but continuous rise of mean SDP to a peak of 6.8cm at gestational age of 39 weeks. In conclusion, the participants had a mean SDP of 5.8cm. There was also a positive correlation between SDP and Gestational age. We therefore recommend a longitudinal study to assess perinatal outcome and abnormal amniotic fluid volume among Igbo women of South-Eastern Nigeria. Key words: Single Deepest Pocket, Uncomplicated Singleton Pregnancy, Igbo Women.

Advantages and limitations of the endoscopic tympanoscopy a prospective study

2020 ◽  
Vol 1 (1) ◽  
pp. 012-017
Author(s):  
Najib Zouhair ◽  
Anass Chaouki ◽  
Amine M’khatri ◽  
Youssef Oukessou ◽  
Sami Rouadi ◽  
...  
Keyword(s):  
Middle Ear ◽  
Operating Time ◽  
Cross Sectional Study ◽  
Cross Sectional ◽  
Invasive Approach ◽  
Intraoperative Bleeding ◽  
Advantages And Disadvantages ◽  
Early Return ◽  
The Mean ◽  
Endoscopic Tympanoplasty

Tympanoplasty is one of the most performed procedures in ENT. The aggressiveness of its microscopic approach has led otologists to adopt the endoscopic approach as a less invasive alternative. The purpose of this work is to appreciate the advantages and disadvantages of this surgical technique. We conducted a prospective descriptive cross-sectional study on 20 interventions within the ENT department of August the 20th 1953 Hospital of Casablanca from April 2019 to June 2019. The average age of operated patients was 36.3 years. Perforations were unilateral in (71%) of the cases with a predominance of the anterior (29%) and subtotal (36%) locations. The tympanoplasties were performed by 3 different senior otologic surgeons, and were left in (57%). The mean operating time was (59.5 min) and the mean anesthesia duration was 75.1 min. Intraoperative vision allowed us to fully visualize the margins of all perforations (100%) and anatomical structures of the middle ear in almost all interventions. The first procedures carried out were filled with difficulties whose management of intraoperative bleeding was the main one in (42.8%) of the cases. (57%) procedures were described as easy. No complication was detected intraoperatively or immediately postoperatively. Endoscopic tympanoplasty has several advantages, including: Minimally invasive approach to the middle ear; panoramic perioperative vision; Gain of operating time; decrease in the duration of anesthesia; Valuable educational tool; postoperative comfort; Decrease in hospital stay and early return to daily activities; Better aesthetic rendering; cost and transportability. However, we also note a number of disadvantages of endoscopic tympanoplasty, particularly: performing the procedure with one hand; difficulty passing through the EAC; 2D vision that alters the perception of depth; management of intraoperative bleeding; fogging; learning curve.

Comparison of Heffner Criteria and Light Criteria in Differentiating Exudative and Transudative Pleural Effusion

2020 ◽  
Vol 22 (3) ◽  
pp. 141-145
Author(s):  
Krishna Chandra Devkota ◽  
S Hamal ◽  
PP Panta
Keyword(s):  
Pleural Effusion ◽  
Cross Sectional Study ◽  
Pleural Space ◽  
Sectional Study ◽  
Inclusion Criteria ◽  
Cross Sectional ◽  
Medical College ◽  
The Common ◽  
The Mean ◽  
Exudative Pleural Effusion

Pleural effusion is present when there is >15ml of fluid is accumulated in the pleural space. It can be divided into two types; exudative and transudative pleural effusion. Tuberculosis and parapneumonic effusion are the common cause of exudative pleural effusion whereas heart failure accounts for most of the cases of transudative pleural effusion. This study was a hospital based cross sectional study performed at Nepal Medical College during the period of January 2016-December 2016. A total of 50 patients who fulfilled the inclusion criteria were enrolled. Pleural effusion was confirmed by clinical examination and radiology. After confirmation of pleural effusion, pleural fluid was aspirated and was analysed for protein, LDH, cholesterol. The Heffner criteria was compared with Light criteria to classify exudative or transudative pleural effusion. Among 50 patients, 30 were male and 20 were female. The mean age of patient was 45.4±21.85 years. The sensitivity and specificity of using Light criteria to detect the two type of pleural effusion was 100% and 90.9%, whereas using Heffner criteria was 94.87%, 100% respectively(P<0.01). There are variety of causes for development of pleural effusion and no one criteria is definite to differentiate between exudative or transudative effusion. In this study Light criteria was more sensitive whereas Heffner criteria was more specific to classify exudative pleural effusion. Hence a combination of criteria might be useful in case where there is difficulty to identify the cause of pleural effusion.

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