Добірка наукової літератури з теми "Jensen ́s alpha"

Actively managed funds try to outperform by deviating from passive benchmarks such as the S&P 500, leading to imperfect diversification and higher idiosyncratic volatility. The idiosyncratic volatility imposes an additional cost to the shareholders. In this study, using data of all the closed-end mutual funds listed with Dhaka Stock Exchange (DSE) from 2012 to 2019, I have attempted to quantify this higher idiosyncratic volatility as an additional expense on the portfolio and then estimate true expense ratio and true net alpha of the actively managed funds as a new measure for imperfect portfolio diversification. The study finds that mean volatility cost of the funds is 1.42% which is on an average around 89% of the explicit expense ratio and the findings that volatility costs are not strongly correlated with other performance measures such as Sharpe, Treynor or information ratios provides additional information about the fund performance. Moreover, when volatility cost is adjusted to traditional Jensen alpha measure to find a true net alpha of the funds, rankings of the funds significantly change and two alpha measures are not strongly positively correlated, suggesting new information about the fund performance.

Mutual funds are a type of collective investment scheme where a large number of small investors pool their savings together and entrust it to an asset manager, who manages the capital to maximize returns in exchange for a management fee. While mutual funds and other collective investment schemes are popular in developed markets, with assets under management (AUM) to GDP ratio of 62% globally, they are yet to gain popularity in Bangladesh, where AUM-to-GDP ratio stands at only 0.53%. However, mutual funds and asset management companies have been growing at high rates, with 37 closed-end and 42 open-end funds now in operation, and there is enormous potential for growth in the mutual fund industry in Bangladesh. Since mutual funds are a new product in the Bangladeshi market, a detailed study was performed in order to distinguish skilled asset managers from unskilled asset managers. In this study, “skill” has been defined as the ability to beat the broad-market DSEX index on after-fee basis, with the underlying logic that managers - all of whom charge a management fee - should at least be able to beat a passive investment in the broad DSEX. For purposes of the study, the weekly NAV at market value was of 76 mutual funds managed by 16 asset management companies (AMCs) were collected. The weekly returns for the DSEX and each fund under consideration were calculated separately. Four well-known measures were used to rank each mutual fund utilizing the weekly returns. The measures were Jensen’s Alpha, the Sharpe Ratio, the Treynor Ratio and the Modigliani M2 Alpha ratio. For AMCs managing multiple funds, the measures were asset-weighted to calculate the measure for the AMC as a whole. Our findings illustrated that only 5 out of 16 AMCs managed to beat the DSEX index and earn an alpha over the benchmark. Our findings were in line with academic consensus which states that active management is a zero-sum game and that the majority of actively managed funds will underperform the index on an after-fee basis. Our recommendation is for AMCs to introduce passively-managed index funds which will at least keep up with the market return and minimize fees and trading costs.

Hedge funds are considered to be market-neutral due to their unrestricted investment flexibility and more efficient market timing abilities (Ennis & Sebastian, 2003). They may also be considered as suitably unconventional assets for improving portfolio diversification (Lamm, 1999). The evidence from this study confirms the dominance of hedge funds over the CAC 40, DAX, S&P 500 and Dow Jones from 2004 to 2011. Overall, the Sharpe, Sortino, Omega, Jensens alpha, Treynor and Calmar ratios illustrate that US hedge funds outperformed both EU hedge funds and the associated equity markets over this period. Evidence was also found that both US and EU hedge funds were more correlated with the S&P 500 and Dow Jones after the financial crisis of 2007-2009 than before the crisis.

The number of alpha-factor binding sites on yeast MATa cells (8,000) and the equilibrium dissociation constant (6 X 10(-9) M) were determined from direct binding experiments. These values correct our previously reported estimates (D. D. Jennes, A. C. Burkholder, and L. H. Hartwell, Cell 35:521-529, 1983) that were based on indirect isotope dilution studies, and they lead to a revised rate constant for the association process (kon = 3 X 10(5) mol-1 s-1).

The number of alpha-factor binding sites on yeast MATa cells (8,000) and the equilibrium dissociation constant (6 X 10(-9) M) were determined from direct binding experiments. These values correct our previously reported estimates (D. D. Jennes, A. C. Burkholder, and L. H. Hartwell, Cell 35:521-529, 1983) that were based on indirect isotope dilution studies, and they lead to a revised rate constant for the association process (kon = 3 X 10(5) mol-1 s-1).

One of the significant developments in the investing community is the rise of socially responsible or ethical investments during last two decades. Because of the increasing size and importance of ethical mutual funds, this paper seeks to evaluate and compare the performance of ethical mutual funds with general funds and benchmark index (S&P BSE Shariah 500 Equity Index) in the Indian market. The sample comprises six ethical fund schemes and three general fund schemes of Tauras mutual fund over the period 2009-2014 using weekly NAVs. The study uses return, risk, risk-adjusted measures (Sharpe ratio, Treynor ratio, Jensens alpha and information ratio), Famas decomposition measure, paired samples t-test, and growth regression equation to accomplish the objectives. The findings suggest that some of the ethical funds generated significantly higher return than other funds and benchmark index. Despite having higher risk, ethical funds outperformed other funds and benchmark index on the basis of various risk-adjusted measures and net selectivity returns. This indicates that the compromise made with respect to diversification by investing in ethical funds was well rewarded in terms of higher returns in Indian context. Our findings lend support to the case of ethical investing in India. Mutual funds and other investment funds should launch schemes which invest in socially responsible or ethical stocks.

The question of whether socially responsible stocks outperform or under-perform general stocks has been of keen interest for various researchers and academicians. This paper seeks to empirically examine the performance of socially responsible portfolios across various sectors and index of socially responsible and general companies in Indian stock market. We have taken up S&P ESG and CNX NIFTY as the indices of socially responsible and general companies respectively. ESG index has been classified into six different sectors on the basis of GICS. Performance has been evaluated in terms of risk, return and various risk-adjusted measures like Sharpe ratio, Treynor ratio, Double Sharpe ratio, Modified Sharpe ratio, M2 measure, Jensens alpha, Famas decomposition measure, etc. We have also checked whether market model is sufficient to explain cross sectional variation in stock returns or we need Fama-French three factor model. The study period ranges from January 1996 – December 2013 and it is further divided into different sub-periods. We find that socially responsible stocks across IT, FMCG and financial sectors are well rewarding in Indian stock market by generating significantly higher returns and outperforming the two indices on the basis of risk-adjusted measures employed during 18 year period and different sub-periods. The results uphold even with the use of market model and Fama-French three factor model by generating highest significant excess returns. There is no empirical evidence on the performance evaluation of socially responsible portfolios across different sectors. Hence this study is first of its kind. This will help investors in selecting best sector for investment in socially responsible companies. Significant higher returns of ESG index and socially responsible stocks across different sectors make Socially Responsible Investing (SRI) a better investment vehicle for investors in India. This is the time when general companies should change their approach and agenda towards CSR and start considering ESG issues as their investment themes. The regulators, policy makers and mutual funds should come up with different socially responsible products and sectoral indices to initiate the movement of SRI across different sectors in India.

Background:Approximately 50% of patients with inflammatory arthritis (IA) experience worsening of disease activity during pregnancy.1,2 Given the evidence that increased disease activity immediately before or during pregnancy is associated with adverse pregnancy outcomes, it is imperative to maintain tighter disease control during this period.3 Treatment options are limited to steroids or disease-modifying anti-rheumatic drugs (DMARDs) compatible with pregnancy. Certolizumab pegol (CZP) is a humanized TNF-alpha inhibitor with no to minimal transplacental transfer, making it a suitable option during pregnancy.4 In patients who relapse while on treatment with a biologic, consideration can be given to optimizing the dose of the biologic. Studies in Crohn’s disease demonstrated that increasing the CZP dose from 400 mg Q4W to Q2W is a viable strategy for recapturing efficacy.5 Similar data is not available for the rheumatology population or for pregnancy.Objectives:To describe the successful control of juvenile inflammatory arthritis (JIA) flares using a reloading strategy with CZP in a pregnant patient with prior failure of multiple conventional systemic (cs)DMARDs and biologics.Methods:This is a case report of a 31-year old female with JIA who presented with a disease flare in the 1st trimester of her 2ndpregnancy. The patient was treated with multiple csDMARDs and biologics since age 6. She experienced significant gastrointestinal side effects to subcutaneous methotrexate and leflunomide and inadequate response to hydroxychloroquine and sulfasalazine. Subsequently, she initiated and maintained treatment with etanercept for 14 years until she developed secondary loss of efficacy. She had primary non-response to golimumab and abatacept and experienced a severe allergic reaction to infliximab. Since 2017, she has been treated with CZP 200 mg Q2W with good control of disease activity.Prior to conception, the patient had low disease activity (Table 1). At 11 weeks gestation, the patient noted worsening of disease activity, with pain at 4/10, fatigue at 7/10, morning stiffness for 60 minutes, swollen joint count (SJC) 4/28, and tender joint count (TJC) 19/28. The patient global assessment of disease activity (PtGA) remained at 4/10 while physician global assessment of disease activity (PhGA) and health assessment questionnaire disability index (HAQ-DI) increased to 6/10 and 1.625, respectively (Table 1). She reported that symptoms worsen one week after CZP injection with more joint pain and swelling in hands, wrists, and feet. The patient declined the addition of hydroxychloroquine, sulfasalazine, and steroids due to previous tolerability, lack of efficacy, and concerns about safety during pregnancy. The patient received 3 loading doses of CZP 400 mg Q2W. She then continued treatment with CZP 200 mg Q2W.Table 1.Disease activity prior to conception and during pregnancy before and after reloading CZP.CharacteristicPrior to conception11 weeks gestation19 weeks gestation after reloading CZPSJC (28 joints)242TJC (28 joints)NA19NAPhGA*462PtGA*444HAQ-DI1.51.6251.5Pain*442Fatigue*775Morning stiffness (min)606020-30*Assessed on a 10-point scale.Results:On follow-up at 19 weeks gestation the patient reported 80% improvement in joint pain and swelling and reduction in morning stiffness (Table 1). Pain and fatigue were rated as 2/10 and 5/10, respectively. PtGA score was 4/10, PhGA score was 2/10 and HAQ-DI score was 1.5 (Table 1).Conclusion:Reloading CZP to control increased IA disease activity during pregnancy may be a viable treatment option. To our knowledge, this is the first report of dose optimization in IA and in pregnancy in a patient treated with CZP.References:[1]van den Brandt S, et al. Arthritis Res Ther 2017;19(1):64.[2]Jethwa, H et al, Arthritis Rheumatol. 2016;68 (suppl 10).[3]de Man Y, et al. Curr Opin Rheumatol. 2014;26:329–333.[4]Mariette X, et al. Ann Rheum Dis. 2018 Feb;77(2):228-233.[5]Sandborn WJ, et al. American College of Gastroenterology Annual Scientific Meeting. 2009; Abstract 699Disclosure of Interests:Viktoria Pavlova Speakers bureau: Amgen, Abbvie, BMS, Jenssen, Lilly, Merk, Novartis, Roche, UCB, Pfizer, Consultant of: Amgen, Abbvie, BMS, Jenssen, Lilly, Merk, Novartis, Roche, UCB, Pfizer, Grant/research support from: UCB

<p class="MsoBodyText" style="text-align: justify; margin: 0in 0.6in 0pt 0.5in;"><span style="font-size: 10pt;"><span style="font-family: Times New Roman;">Since the mid-1990s, US corporations have increasingly emphasized stock-based compensation for outside directors in order to align their interests with stockholders and thus boost firm performance. We demonstrate that stock options and stock grants (each as a ratio relative to total compensation) for directors were positively related to future firm performance (measured as stock returns, and, separately, as Jensen&rsquo;s Alpha) for a panel of 450 Standard and Poor 500 firms over 1995-97. Stock option ratios appeared to have a stronger impact on firm performance than stock grants did. </span></span></p>

Acute promyelocytic leukemia (APL) is a type of acute leukemia, which has the highest death rate among blood cancers and caused by a specific (15; 17) chromosomal translocation, resulting in a fusion gene PML/RARα. Klotho gene plays a role in preventing aging, inflammation and cancer. CTLA4, PD1 and LAG3 are immunosuppressive receptors located on surface of T cells and considered as a negative regulation of immune response. These genes regulate immune cell activity through several signalling moleculars such as STATs and NF-κB. In this study, to additionally determine the difference between APL and other leukemia, we performed experiments to measure mRNA expression of above genes by using realtime-PCR. Results showed that mRNA levels of KL, CTLA4, PD1 and LAG3 genes were lower, while expressions of STAT1, STAT3, STAT5 and STAT6 genes were significantly higher in APL patients than healthy controls. In addition, IκB-α gene expression was unaltered on APL cells. 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Pistillo, Evaluation of CTLA-4 expression and relevance as a novel prognostic factor in patients with non-small cell lung cancer, Cancer immunology, immunotherapy : CII, 61 (2012) 1463-1472.[21] M. Grzywnowicz, J. Zaleska, D. Mertens, W. Tomczak, P. Wlasiuk, K. Kosior, A. Piechnik, A. Bojarska-Junak, A. Dmoszynska, K. Giannopoulos, Programmed death-1 and its ligand are novel immunotolerant molecules expressed on leukemic B cells in chronic lymphocytic leukemia, PloS one, 7 (2012) e35178.[22] L. Long, X. Zhang, F. Chen, Q. Pan, P. Phiphatwatchara, Y. Zeng, H. Chen, The promising immune checkpoint LAG-3: from tumor microenvironment to cancer immunotherapy, Genes & cancer, 9 (2018) 176-189.[23] R.R. Saleh, P. Peinado, J. Fuentes-Antras, P. Perez-Segura, A. Pandiella, E. Amir, A. Ocana, Prognostic Value of Lymphocyte-Activation Gene 3 (LAG3) in Cancer: A Meta-Analysis, Frontiers in oncology, 9 (2019) 1040.[24] H.A. Jensen, H.B. Yourish, R.P. Bunaciu, J.D. Varner, A. Yen, Induced myelomonocytic differentiation in leukemia cells is accompanied by noncanonical transcription factor expression, FEBS open bio, 5 (2015) 789-800.[25] B. Kovacic, D. Stoiber, R. Moriggl, E. Weisz, R.G. Ott, R. Kreibich, D.E. Levy, H. Beug, M. Freissmuth, V. Sexl, STAT1 acts as a tumor promoter for leukemia development, Cancer cell, 10 (2006) 77-87.[26] V. Gouilleux-Gruart, F. Gouilleux, C. Desaint, J.F. Claisse, J.C. Capiod, J. Delobel, R. Weber-Nordt, I. Dusanter-Fourt, F. Dreyfus, B. Groner, L. Prin, STAT-related transcription factors are constitutively activated in peripheral blood cells from acute leukemia patients, Blood, 87 (1996) 1692-1697.[27] R.M. Weber-Nordt, C. Egen, J. Wehinger, W. Ludwig, V. Gouilleux-Gruart, R. Mertelsmann, J. Finke, Constitutive activation of STAT proteins in primary lymphoid and myeloid leukemia cells and in Epstein-Barr virus (EBV)-related lymphoma cell lines, Blood, 88 (1996) 809-816.[28] H.A. Bruns, M.H. 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There is no clear consensus about whether green investments perform better, worse orequal to conventional brown investments. With the rising popularity of socialinvestments, it becomes increasingly important to understand these investments. Therecent launch of the MSCI Climate Paris Aligned Indices (CPAI) aim to illustrate thedevelopment of an economy that is in line with the requirements and goals of the ParisAgreement from 2015. In this research we aim to find out whether the MSCI Europe,USA and EM Climate Paris Aligned Indices outperform their parent indices. We do thisby comparing performance measures such as the net return, standard deviation of netreturns and Sharpe ratio. We further conduct an ordinary least squares regression to testwhether the betas and Jensen´s alphas of the CPAI differ significantly from their parentindices.The results show that only the USA CPAI clearly outperforms its parent index. This isdue to it having a higher Sharpe Ratio and Jensen’s alpha as well as higher monthly netreturns and a lower standard deviation compared to its parent index. The regressionshows that it does perform better than the parent index. The results for the EM CPAIshow that it performs in a similar way as its parent index. It has a higher monthly netreturn but also slightly higher standard deviation which leads to an equally large Sharperatio. Neither the estimated Jensen’s alpha nor the beta are significantly different fromthose of its parent index and thus the hypothesis of it performing equally as well as itsparent index cannot not be rejected. Lastly, the Europe CPAI has a higher Sharpe ratio,Jensen’s alpha and monthly net returns than its parent index, but it also exhibits a higherstandard deviation. The regression indicated that it performs in a similar way as itsparent index, no difference could be proven. In conclusion, this means that all CPAIperform at least equally as well as their parent indices, if not better.

This study examines the total cumulative return and the total risk-adjusted return for OMXSPI and the two investment strategies The Magic Formula and The Acquirer’s Multiple. The aim is to find out if it’s possible to beat the market over time in contradiction to the efficient market hypothesis. Data has been collected to cover a 15-year period between 2005 and 2020. The results end up challenging the efficient market hypothesis with higher total cumulative returns, but also fairly convincingly higher risk-adjusted returns from the strategies. The study also found that the Acquirer’s Multiple outperformed the Magic Formula with regards to both measures.