scholarly journals Bottom-up versus top-down factor investing: an alpha forecasting perspective

2020 ◽  
Author(s):  
Martin Zurek ◽  
Lars Heinrich
Keyword(s):  
Interaction Effects ◽  
Informational Content ◽  
Firm Characteristics ◽  
Recent Discussion ◽  
High Concentration ◽  
Top Down ◽  
Bottom Up ◽  
Factor Investing ◽  
Significant Performance ◽  
The Difference

AbstractIn a recent discussion about efficient ways to combine multiple firm characteristics into a multifactor portfolio, a distinction was made between the bottom-up and top-down approach. Both approaches integrate characteristics with equal weights and ignore interaction effects from differences in informational content and correlations between the firm characteristics. The authors complement the bottom-up approach for the missing interaction effects by implementing a linear alpha forecasting framework. Bottom-up versus top-down factor investing is typically discussed using the assumption that all characteristics are equally priced, but the pricing impact of different firm characteristics can vary tremendously. The alpha forecasting perspective provides a theoretical motivation for factor investing and helps to compare the bottom-up and top-down approach with regard to the difference of informational content and interaction effects between firm characteristics. Taking into account the difference in informational content between firm characteristics leads to significant performance improvement in factor models with a high concentration of informational content. Equally weighted characteristics result in related performance irrespective of whether the bottom-up or top-down approach is applied.

scholarly journals Factor investing: alpha concentration versus diversification

2021 ◽  
Author(s):  
Lars Heinrich ◽  
Antoniya Shivarova ◽  
Martin Zurek
Keyword(s):  
Portfolio Diversification ◽  
Informational Content ◽  
Firm Characteristics ◽  
Research Support ◽  
Performance Differences ◽  
Covariance Estimator ◽  
Factor Investing ◽  
Out Of Sample ◽  
Significant Performance

AbstractDespite extensive research support, the role of diversification in current factor investing strategies remains neglected. This paper investigates whether well-designed multifactor portfolios should not only be based on firm characteristics, but should also include portfolio diversification effects. While the alpha concentration approach mainly considers factor-specific firm characteristics, the diversified approach utilizes covariance estimators in addition to firm characteristics to account for portfolio diversification. The corresponding out-of-sample results show that including an efficient covariance estimator improves the performance of long-only multifactor portfolios compared to the pure alpha concentration approach. A particular advantage of diversified factor investing strategies can be identified in the significant increase in exposure to the low-volatility factor represented by firm characteristics with high informational content. No significant performance differences are observed for long-short portfolios where the factor exposures of the alpha concentration and diversification approaches are similar with respect to the low-volatility factor.

scholarly journals Trends and inter-annual variability of methane emissions derived from 1979-1993 global CTM simulations

2003 ◽  
Vol 3 (1) ◽  
pp. 73-88 ◽  
Author(s):  
F. Dentener ◽  
M. van Weele ◽  
M. Krol ◽  
S. Houweling ◽  
P. van Velthoven
Keyword(s):  
Transport Model ◽  
Meteorological Data ◽  
Stratospheric Ozone ◽  
Methane Emissions ◽  
Anthropogenic Emission ◽  
Top Down ◽  
Bottom Up ◽  
Annual Variability ◽  
The Difference ◽  
Ozone Precursor

Abstract. The trend and interannual variability of methane sources are derived from multi-annual simulations of tropospheric photochemistry using a 3-D global chemistry-transport model. Our semi-inverse analysis uses the fifteen years (1979--1993) re-analysis of ECMWF meteorological data and annually varying emissions including photo-chemistry, in conjunction with observed CH4 concentration distributions and trends derived from the NOAA-CMDL surface stations. Dividing the world in four zonal regions (45--90 N, 0--45 N, 0--45 S, 45--90 S) we find good agreement in each region between (top-down) calculated emission trends from model simulations and (bottom-up) estimated anthropogenic emission trends based on the EDGAR global anthropogenic emission database, which amounts for the period 1979--1993 2.7 Tg CH4 yr-1. Also the top-down determined total global methane emission compares well with the total of the bottom-up estimates. We use the difference between the bottom-up and top-down determined emission trends to calculate residual emissions. These residual emissions represent the inter-annual variability of the methane emissions. Simulations have been performed in which the year-to-year meteorology, the emissions of ozone precursor gases, and the stratospheric ozone column distribution are either varied, or kept constant. In studies of methane trends it is most important to include the trends and variability of the oxidant fields. The analyses reveals that the variability of the emissions is of the order of 8Tg CH4 yr-1, and likely related to wetland emissions and/or biomass burning.

Bottom-up rather than top-down: evidence from Middle Eastern and North African educational institutions

2020 ◽  
Vol 32 (4) ◽  
pp. 671-690
Author(s):  
Osama Mah'd
Keyword(s):  
North Africa ◽  
Middle Eastern ◽  
Educational Institutions ◽  
North African ◽  
Top Down ◽  
Bottom Up ◽  
Managerial Performance ◽  
Content Type ◽  
Significant Difference ◽  
The Difference

PurposeEducational institutions in the Middle East and North Africa (MENA) are striving for better resource management and finance. The bottom-up budgeting approach plays an important role in motivating executives' performance. The main aim of this paper is to discover whether there is a significant difference between bottom-up and a top-down approaches to budgeting in terms of managers' performance.Design/methodology/approachQuestionnaires were distributed to 453 university executives in 21 MENA educational institutions. The Kruskal–Wallis test was utilized to test the difference between the three groups (bottom-up, top-down and consultative approaches). Further analysis was conducted to test the difference between the two groups using the Mann–Whitney test.FindingsThe results show that there is a significant difference between a bottom-up and top-down approach in terms of managerial performance. The study's findings indicate that the bottom-up approach to budgeting leads to higher performance indicators than a top-down approach to budgeting.Originality/valueThe current study contributes to the research as it increases awareness of budgeting approaches that are used in higher education institutions, specifically in terms of the effect of these differences on executives' performance.

A Conceptual Tool Kit

2021 ◽  
pp. 31-86
Author(s):  
James V. Wertsch
Keyword(s):  
National Identity ◽  
Narrative Analysis ◽  
Empirical Studies ◽  
Top Down ◽  
Conceptual Tool ◽  
Bottom Up ◽  
National Memory ◽  
Narrative Truth ◽  
Individual Memory ◽  
The Difference

The chapter begins with a section on methods and forms of evidence that outlines the difference between top-down and bottom-up analyses of national memory and notes that the latter will be given more emphasis in this book than is the case in many studies of national identity and memory. The section also argues that by understanding how narrative tools can “co-author” individuals’ speaking and thinking, it is possible to avoid misguided notions of “primordialism” that are part of the rhetorical claims of nationalists. The next section examines the sense in which national memory is memory and argues for the need to focus on remembering individuals as members of groups. This involves a review of ideas from figures such as Maurice Halbwachs and Frederic Bartlett on collective and individual memory. This is followed by a section on “Flashbulb Memories as Memory in the Group,” which uses a body of literature in psychology to develop a conceptually grounded notion of national memory that includes the observation that Bartlett’s notion of schema underpins much of the entire discussion. The next section, on “symbolic mediation,” reviews the origins of this idea in the writings of several European and Russian scholars and goes into the case of literacy as an illustration as outlined in empirical studies by Luria and Vygotsky. It then poses an analogous line of reasoning for narratives as symbolic mediation. This includes a discussion of the “inner logic” of narrative tools, “narrative truth,” and two levels of narrative analysis (“specific narratives” and “narrative templates”).

scholarly journals Phytoplankton competition during the spring bloom in four Plankton Functional Type Models

2012 ◽  
Vol 9 (12) ◽  
pp. 18083-18129 ◽  
Author(s):  
T. Hashioka ◽  
M. Vogt ◽  
Y. Yamanaka ◽  
C. Le Quéré ◽  
E. T. Buitenhuis ◽  
...  
Keyword(s):  
Phytoplankton Biomass ◽  
Spring Bloom ◽  
Marine Ecosystems ◽  
Grazing Pressure ◽  
Similar Degree ◽  
Functional Type ◽  
Top Down ◽  
Bottom Up ◽  
The North ◽  
The Difference

Abstract. We investigated the mechanisms of phytoplankton competition during the spring bloom, one of the most dramatic seasonal events in lower-trophic level ecosystems, in four state-of-the-art Plankton Functional Type (PFTs) models: PISCES, NEMURO, PlankTOM5 and CCSM-BEC. In particular, we investigated the relative importance of different ecophysiological processes on the determination of the community structure, focusing both on the bottom-up and the top-down controls. The models reasonably reproduced the observed global distribution and seasonal variation of phytoplankton biomass. The fraction of diatoms with respect to the total phytoplankton biomass increases with the magnitude of the spring bloom in all models. However, the governing mechanisms differ between models, despite the fact that current PFT models represent ecophysiological processes using the same types of parameterizations. The increasing trend in the percentage of diatoms with increasing bloom magnitude is mainly caused by a stronger nutrient dependence of photosynthesis for diatoms compared to nanophytoplankton (bottom-up control). The difference in the maximum photosynthesis rate plays an important role in NEMURO and PlankTOM5 and determines the absolute values of the percentage of diatoms during the bloom. In CCSM-BEC, the light dependency of photosynthesis plays an important role in the North Atlantic and the Southern Ocean. The grazing pressure by zooplankton (top-down control), however, strongly contributes to the dominance of diatoms in PISCES and CCSM-BEC. The regional differences in the percentage of diatoms in PlankTOM5 are mainly determined by top-down control. These differences in the mechanisms suggest that the response of marine ecosystems to climate change could significantly differ among models, even if the present-day ecosystem is reproduced to a similar degree of confidence. For further understanding of plankton competition and for the prediction of future change in marine ecosystems, it is important to understand the relative differences in each physiological rate and life history rate in the bottom-up and the top-down controls between PFTs.

scholarly journals Trends and inter-annual variability of methane emissions derived from 1979-1993 global CTM simulations

2002 ◽  
Vol 2 (2) ◽  
pp. 249-287 ◽  
Author(s):  
F. Dentener ◽  
M. van Weele ◽  
M. Krol ◽  
S. Houweling ◽  
P. van Velthoven
Keyword(s):  
Transport Model ◽  
Meteorological Data ◽  
Stratospheric Ozone ◽  
Regional Scale ◽  
Methane Emissions ◽  
Anthropogenic Emission ◽  
Top Down ◽  
Bottom Up ◽  
Annual Variability ◽  
The Difference

Abstract. The trend and interannual variability of methane sources are derived from multi-annual simulations of tropospheric photochemistry using a 3D global chemistry-transport model. Our semi-inverse analysis uses the fifteen years (1979 -1993) re-analysis of ECMWF meteorological data and annually varying including photo-chemistry, in conjunction with observed CH4 concentration distributions and trends derived from the NOAA-CMDL surface stations. Dividing the world in four zonal regions, (45-90 N, 0-45 N, 0-45 S; 45-90 S) we find good agreement in each region between (top-down) calculated emission trends from model simulations and (bottom-up) estimated anthropogenic emission trends based on the EDGAR global anthropogenic emission database, which amounts for the period 1979 -1993 2.7 Tg CH4 yr -1. Also the top-down determined total global methane emission compares well with the total of the bottom-up estimates. We use the difference between the bottom-up and top-down determined emission trends to calculate residual emissions. These residual emissions represent the inter-annual variability of the methane emissions. Simulations have been performed in which the year-to-year meteorology, the emissions of ozone precursor gases, and the stratospheric ozone column distribution are either varied, or kept constant. The analyses reveals that the variability of the emissions is of the order of 8 Tg CH4 yr -1, and most likely related to mid- and low-latitude wetland emissions and/or biomass burning. Indeed, a weak correlation is found between the residual emissions and regional scale temperatures.

scholarly journals A paradigm for investigating the effects of top-down processes on visual search

2019 ◽  
Author(s):  
Arnab Biswas ◽  
Devpriya Kumar
Keyword(s):  
Visual Search ◽  
Response Times ◽  
Pairwise Comparison ◽  
Search Performance ◽  
Top Down ◽  
Bottom Up ◽  
Search Tasks ◽  
Selection History ◽  
Significant Difference ◽  
The Difference

Searching for things is an essential part of our everyday life. The way we search gives us clues on how our cognitive processes function. Scientists have used the visual search task to study attention, perception, and memory. Visual search performance depends upon a combination of stimulus-driven, bottom-up information, goal-oriented, top-down information, and selection history bias. It is difficult to separate these factors due to their close interaction. Our current study presents a paradigm to isolate the effects of top-down factors in visual search. In our experiments, we asked subjects to perform two different search tasks. A part of the total trials in each of these tasks had the same bottom-up information. That is, they had the same target, distractor, and target-distractor arrangement. We controlled for selection history bias by having an equivalent proportion of target types for all tasks and randomized the trial-order for each subject. We compared the mean response times for the critical trials, which had identical bottom-up information shared across the two pairs of tasks. The results showed a significant difference in mean response times of critical trials for both our experiments. Thus, this paradigm allows us to compare the difference in top-down guidance when controlling for bottom-up factors. Pairwise comparison of top-down guidance for different features given the same bottom-up information allows us to ask interesting questions such as, “Visual search guidance for which features can or cannot be easily increased by top-down processes?” Answers to these questions can further shed light on the ecological and evolutionary importance of such features in perception.

A Numerical Study of the Convective Heat Transfer From the Inner Surface of a Recessed Window Covered by a Double-Layer Honeycomb Top Down-Bottom Up Blind

2016 ◽  
Author(s):  
Patrick H. Oosthuizen ◽  
Neda Mansouri
Keyword(s):  
Heat Transfer ◽  
Nusselt Number ◽  
Convective Heat Transfer ◽  
Convective Heat ◽  
Transfer Rate ◽  
Top Down ◽  
Bottom Up ◽  
Air Temperatures ◽  
Inner Surface ◽  
The Difference

The purpose of the present work was to investigate numerically the effect of the top and/or bottom blind openings on the convective heat transfer from a window fitted with a double-layered top down-bottom up honeycomb blind system. Top down-bottom up systems that utilize so-called honeycomb (or cellular) blinds can be opened at the top and/or the bottom. When a honeycomb blind is fully closed there are two or more vertical blind portions and a series of horizontal or nearly horizontal blind portions which join the vertical portions and form a column of cells. This gives the blind system its honeycomb or cellular structure. When opening a honeycomb blind the vertical portions of the blind bend or fold allowing the overall height of the blind to decrease. A double-layered honeycomb blind is constructed with three vertical blind portions and two columns of cells. A recessed window has been considered in the present study and only the convective heat transfer from the window to the surrounding room has been investigated. The surfaces of the blind are assumed to offer no resistance to heat transfer. The commercial CFD solver ANSYS FLUENT© has been used to obtain the solution. Over the range of parameters considered in this study, both laminar and turbulent flow can occur. The k-ε turbulence model has been used in obtaining the solutions. The convective heat transfer rate from the inner surface of the window, expressed in terms of a mean Nusselt number based on the window height and the difference between the window and the air temperatures, will depend on the Rayleigh number, also based on the window height, and the difference between the window and the air temperatures, the dimensionless top and bottom blind openings, and the dimensionless window recess depth. Variations of the mean Nusselt number with Rayleigh number for various values of these other parameters have been obtained and the results used to study how these other parameters affect the window heat transfer rate.

Optimal Estimation of Anthropometric Parameters for Quantifying Multisegment Trunk Kinetics

2018 ◽  
Vol 140 (10) ◽  
Author(s):  
Alireza Noamani ◽  
Albert H. Vette ◽  
Richard Preuss ◽  
Milos R. Popovic ◽  
Hossein Rouhani
Keyword(s):  
Inverse Dynamics ◽  
Center Of Pressure ◽  
Initial Guess ◽  
Joint Moment ◽  
Body Motion ◽  
Top Down ◽  
Joint Moments ◽  
Anthropometric Parameters ◽  
Bottom Up ◽  
The Difference

Kinetics assessment of the human head-arms-trunk (HAT) complex via a multisegment model is a useful tool for objective clinical evaluation of several pathological conditions. Inaccuracies in body segment parameters (BSPs) are a major source of uncertainty in the estimation of the joint moments associated with the multisegment HAT. Given the large intersubject variability, there is currently no comprehensive database for the estimation of BSPs for the HAT. We propose a nonlinear, multistep, optimization-based, noninvasive method for estimating individual-specific BSPs and calculating joint moments in a multisegment HAT model. Eleven nondisabled individuals participated in a trunk-bending experiment and their body motion was recorded using cameras and a force plate. A seven-segment model of the HAT was reconstructed for each participant. An initial guess of the BSPs was obtained by individual-specific scaling of the BSPs calculated from the male visible human (MVH) images. The intersegmental moments were calculated using both bottom-up and top-down inverse dynamics approaches. Our proposed method adjusted the scaled BSPs and center of pressure (COP) offsets to estimate optimal individual-specific BSPs that minimize the difference between the moments obtained by top-down and bottom-up inverse dynamics approaches. Our results indicate that the proposed method reduced the error in the net joint moment estimation (defined as the difference between the net joint moment calculated via bottom-up and top-down approaches) by 79.3% (median among participants). Our proposed method enables an optimized estimation of individual-specific BSPs and, consequently, a less erroneous assessment of the three-dimensional (3D) kinetics of a multisegment HAT model.

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