1,720,972 research outputs found
Absolute or relative: the dark side of fund rating systems
Get PDFAcademic literature and market practitioners have always devoted great attention to the analysis of asset management products, with particular regard to fund classification and performance metrics. Less attention has been paid to rating methodologies and to the risk of attributing positive ratings to underperforming asset managers. The most widespread rating criterion is the ordinal one, which is based on the assumption that the best asset managers are those who have performed better than their competitors regardless of their ability to achieve a given threshold (i.e. a positive overperformance against the benchmark). Our study, after a
description of the most common risk-adjusted performance measures, introduces the idea of attributing the rating on a cardinal basis, setting in advance a given threshold that should be achieved to receive a positive evaluation (i.e. a rating equal to or higher than 3 on a scale of 1–5). The empirical test conducted on a sample of funds (belonging to the main equity and bond asset classes) made it possible to quantify the e®ects of the cardinal approach on the attribution of the rating and on the probability of assigning a good rating to underperforming funds. Empirical analysis also highlighted how the cardinal method allows, on average, better performance than the ordinal one even in an out-of-sample framework. The differences between the two methodologies are particularly remarkable in efficient markets such as the North American equity
market. The two rating assignment systems were also analyzed using contingency tables to test the ability to anticipate the default event (underperformance relative to the benchmark). The policy suggestion emerging from our study concerns the significant impact of the rating criterion in reducing the risk of recommending funds that, despite a good rating, have failed to perform satisfactorily and are unlikely to do so in the future either
I piani di accumulo (PAC): una scelta razionale o emotiva?
No full textLa recente crisi dei mercati finanziari ha riportato alla ribalta il piano di accumulo (PAC) come modalità di investimento alternativa, e preferibile, rispetto a quello in un’unica soluzione (PIC). Le nostre verifiche empiriche dimostrano che l’investimento graduale non presenta una maggiore efficienza in termini di trade-off tra rendimento e rischio. Il vantaggio che il piano di accumulo offre è quello di limitare la possibilità di sostenere perdite all’inizio del periodo di investimento, amplificando però quelle alla fine. Pertanto, il ricorso a questa strategia trova giustificazione nella finalità di accrescere il “comfort comportamentale” dell’investitore
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Fondi Flessibili: the beauty or the beast?
No full textL’analisi dell’enorme successo fatto registrare, negli ultimissimi anni, dal comparto dei fondi flessibili, letteralmente esploso sia in termini di nuovi prodotti via via offerti sul nostro mercato, sia in termini di masse allocate sugli stessi nei portafogli della clientela privata, ha portato gli autori ad interrogarsi sull’esistenza, o meno, di efficaci modelli in grado non solo di selezionare tali prodotti ma anche, e soprattutto, di preservare le regole auree alla base della costruzione del portafoglio. Ciò che è emerso in modo incontrovertibile dalle verifiche effettuate è che è decisamente preferibile, in sede di costruzione dei portafogli modello, optare per l’inserimento di asset class ad hoc per i prodotti flessibili, alle quali assegnare un ruolo di mera componente satellite. Per gestire, poi, al meglio la variabile rischio che caratterizza tali prodotti, è parso preferibile suggerire di creare due asset class distinte: una riservata ai fondi flessibili prudenti ed una riservata a quelli più volatili. Allo scopo di verificare, poi, la capacità di questi fondi di battere il mercato, si è ritenuto opportuno mettere a confronto la performance triennale dei fondi flessibili con quella fatta registrare, nel medesimo orizzonte temporale, dai portafogli in asset class che fungono da proxy dell’investimento neutrale di un investitore italiano. L’analisi svolta ha dimostrato chiaramente come i portafogli neutrali abbiano dominato, nello spazio rischio-rendimento, i fondi flessibili; tutto questo non ha fatto altro che confermare sia le difficoltà connesse all’implementazione del market timing in un contesto di efficienza informativa crescente, sia il nostro forte convincimento di non dover abusare di questa categoria di prodotti. Da ultimo, dopo aver confinato il ruolo di tali prodotti ad una componente satellite di un portafoglio investito prevalentemente in fondi direzionali mono-asset, si è proposto un criterio di classificazione, prima, e di selezione, poi, che risultasse metodologicamente robusto e solido
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
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