Challenges arising from alternative investment management.

Alternative investment management differs from traditional asset management in a number of respects. First, it is distinct in terms of both its targets – aiming to achieve an absolute performance, regardless of trends in underlying markets – and its strategies, in particular exploiting inefficiencies in the valuation of financial assets via opportunistic and discretionary positions. It also differs in terms of the financial techniques implemented, e.g. the extensive use made of leverage, derivatives and short selling, and the specific investment vehicles used (ad hoc structures such as hedge funds that are not bound by ordinary law in the way traditional investment vehicles are). These particularities, alongside the fact that the alternative investment universe is somewhat opaque, make it difficult to measure a fund’s risks or a fund manager’s performance. Specific measurement tools are therefore required, which differ from those commonly used in traditional asset management. Over the past few years, the alternative investment management, a diverse and rapidly-evolving universe, has enjoyed a spectacular development, which is illustrated by the sharp rise in the amounts under management and the proliferation of investment vehicles offered to an increasingly broad investor base. In view of the specific nature of alternative fund managers’ modus operandi, the flourishing of the alternative investment industry raises questions as to its implications in terms of financial stability. It also raises new issues regarding the division of roles between market participants and supervisory authorities in the organisation and monitoring of this asset management sector.

Agricultural practices shape microbial communities and change fresh and soil organic matter mineralization in a tropical soil : S11.07-P -1

Priming effect (PE) is defined as a stimulation of the mineralization of soil organic matter (SOM) due to fresh organic matter (FOM) supply. This process leads simultaneously to a loss of carbon to the atmosphere and to a remobilization of nutrients. PE should thus be considered in the management of residues or amendments in agricultural soils, especially where soil fertility is essentially based on organic supply. In Madagascar, the Direct-seeding Mulch based cropping (DMC) systems appeared to be an opportunity for the development of a sustainable upland rice culture. In DMC systems soil is not tilled and protected from physical erosion by dead or alive cover plants and/or mulches of crop residues. DMC systems are also known to increase soil organic matter stocks in the first centimetres below the mulch layer. As the quality of FOM is a determinant of the priming effect process, we were interested to evaluate whether the quality of mulches could shape the belowground microbial community and impact its capacity to mineralize SOM. In 2010, we sampled soil samples from a field experimentation set up in 2003 in the centre of Madagascar. The 10 first centimetres under three crop mulches (two grasses and one legume) and two different fertilizations (organic and organic + mineral), were sampled during the rice growing season. Soils were incubated in the presence of 13C-enriched wheat straw residue to measure their FOM and SOM mineralization capacity. Bacteria involved in both fluxes were identified by the coupling between DNA-SIP and pyrosequencing techniques. (Texte intégral

Modification of a commercial dna extraction kit to simultaneously recover rna, safely and rapidly, and to assess molecular biomass of the total and the active part of microbial communities, from soils with diverse mineralogy and carbon content : S11.04-P -15

We have modified a commercial DNA extraction kit for soil to simultaneously co-extract RNA. In this new procedure RNA and DNA are separated by two selective purifications in cascade without the need of DNAase or RNAse digestion. Consequently DNA and RNA are respectively purified from the whole co-extraction solution. Nucleic acids extraction is based on the action of SDS coupled with an efficient bead-beating step, but it does not require any solvent. Avoiding the use of solvents, which are damaging for human health and environmental quality, was one of our most important motivations to develop this protocol. In a second time, we have optimized this protocol to improve the DNA and RNA yield, but kipping those yields below the saturation limit of the kit to assess and quantify the variations of molecular biomass of the total (DNA) and the active (RNA) part of microbial communities in natural samples. We have also introduced a first step of homogenization of soil sample in liquid nitrogen to improve the reliability of the fungal 18S gene sequence quantification. Finally, we have shown that this protocol can be applied to a wide diversity of soils whatever their mineralogy and metal content (2 Ferralsols, 1 Vertisol, 2 Andosols from Madagascar), texture or biomass content (1 poor sandy soil from Congo and one carbon rich temperate soil sample submitted or not to a 1 month cold stress). * E Tournier, L. Amenc and AL. Pablo contributed equally to this study. (Texte intégral

Impacts of organic residue management in eucalyptus forest on microbial communities : S11.04-P -8

Harvest residue management during inter-rotation period greatly influences the availability of nutrients in the soils and the sustainability of future rotations in fast growing plantations established on highly weathered tropical forest. Impact of forest management treatment on productivity was shown, particularly in plantations where organic matter (OM) content is extremely low like in Congo. Consequences of OM management on microbial communities were rarely taken in account. However, changes in microbial biodiversity can impact decomposition processes indicating that understanding the significance of biodiversity is essential to assess the consequences of forestry practices for carbon and nutrient cycles. Experiment was conducted in Eucalyptus plantations in Congo. Three treatments were studied (all aboveground organic residues removed from the plot; only stemwood harvested which correspond to Congolese commercial plantation; or double supply of residues). DNA and RNA were co-extracted from leaf-litter and upper soil layers (0-10 cm). Density and structure of bacterial and fungal communities were assessed by the quantitative PCR (qPCR) and fingerprinting technique (DGGE), respectively based on 16S and 18S rRNA. We also investigated functional microbial communities potentially involved in C cycling: the phylum of the Actinobacteria, known for their saprophytic activities; the BphDox bacterial community involved in the degradation of aromatic compounds and Laccase fungal community implicated in the degradation of phenolic compounds. Altogether, these data allowed to progress in the establishment of links between nutrients flux measured in field and microbial analyses which is a challenge to a better understanding of the functioning of forest ecosystems. (Texte intégral)

Fundamental indexation revisited: new evidence on alpha

This study proposes indexing strategies representative of the equity market and based on readily available accounting information. In contrast to the previous literature, we discard balance sheet variables and instead develop two indices that revolve solely around income statement and dividend measures. We find that these indices outperformed the FTSE 100 by 3% on an annual basis over the last 25 years, whilst delivering similar or lower volatility. The constructed indices overlap by 90% with the FTSE 100, in terms of their total market capitalisation and constituent members. They have positive and significant alphas in 3- and 4-factor performance attribution models, showing that the performance cannot be explained by value, size, market beta or momentum tilts alone

Estimated Correlation Matrices and Portfolio Optimization

Financial correlations play a central role in financial theory and also in many practical applications. From theoretical point of view, the key interest is in a proper description of the structure and dynamics of correlations. From practical point of view, the emphasis is on the ability of the developed models to provide the adequate input for the numerous portfolio and risk management procedures used in the financial industry. This is crucial, since it has been long argued that correlation matrices determined from financial series contain a relatively large amount of noise and, in addition, most of the portfolio and risk management techniques used in practice can be quite sensitive to the inputs. In this paper we introduce a model (simulation)-based approach which can be used for a systematic investigation of the effect of the different sources of noise in financial correlations in the portfolio and risk management context. To illustrate the usefulness of this framework, we develop several toy models for the structure of correlations and, by considering the finiteness of the time series as the only source of noise, we compare the performance of several correlation matrix estimators introduced in the academic literature and which have since gained also a wide practical use. Based on this experience, we believe that our simulation-based approach can also be useful for the systematic investigation of several other problems of much interest in finance

Hedge fund return predictability; To combine forecasts or combine information?

While the majority of the predictability literature has been devoted to the predictability of traditional asset classes, the literature on the predictability of hedge fund returns is quite scanty. We focus on assessing the out-of-sample predictability of hedge fund strategies by employing an extensive list of predictors. Aiming at reducing uncertainty risk associated with a single predictor model, we first engage into combining the individual forecasts. We consider various combining methods ranging from simple averaging schemes to more sophisticated ones, such as discounting forecast errors, cluster combining and principal components combining. Our second approach combines information of the predictors and applies kitchen sink, bootstrap aggregating (bagging), lasso, ridge and elastic net specifications. Our statistical and economic evaluation findings point to the superiority of simple combination methods. We also provide evidence on the use of hedge fund return forecasts for hedge fund risk measurement and portfolio allocation. Dynamically constructing portfolios based on the combination forecasts of hedge funds returns leads to considerably improved portfolio performance

The salt-responsive transcriptome of chickpea roots and nodules via deepSuperSAGE

Background: The combination of high-throughput transcript profiling and next-generation sequencing technologies is a prerequisite for genome-wide comprehensive transcriptome analysis. Our recent innovation of deepSuperSAGE is based on an advanced SuperSAGE protocol and its combination with massively parallel pyrosequencing on Roche's 454 sequencing platform. As a demonstration of the power of this combination, we have chosen the salt stress transcriptomes of roots and nodules of the third most important legume crop chickpea (Cicer arietinum L.). While our report is more technology-oriented, it nevertheless addresses a major world-wide problem for crops generally: high salinity. Together with low temperatures and water stress, high salinity is responsible for crop losses of millions of tons of various legume (and other) crops. Continuously deteriorating environmental conditions will combine with salinity stress to further compromise crop yields. As a good example for such stress-exposed crop plants, we started to characterize salt stress responses of chickpeas on the transcriptome level. Results: We used deepSuperSAGE to detect early global transcriptome changes in salt-stressed chickpea. The salt stress responses of 86,919 transcripts representing 17,918 unique 26 bp deepSuperSAGE tags (UniTags) from roots of the salt-tolerant variety INRAT-93 two hours after treatment with 25 mM NaCl were characterized. Additionally, the expression of 57,281 transcripts representing 13,115 UniTags was monitored in nodules of the same plants. From a total of 144,200 analyzed 26 bp tags in roots and nodules together, 21,401 unique transcripts were identified. Of these, only 363 and 106 specific transcripts, respectively, were commonly up-or down-regulated (> 3.0-fold) under salt stress in both organs, witnessing a differential organ-specific response to stress. Profiting from recent pioneer works on massive cDNA sequencing in chickpea, more than 9,400 UniTags were able to be linked to UniProt entries. Additionally, gene ontology (GO) categories over-representation analysis enabled to filter out enriched biological processes among the differentially expressed UniTags. Subsequently, the gathered information was further cross-checked with stress-related pathways. From several filtered pathways, here we focus exemplarily on transcripts associated with the generation and scavenging of reactive oxygen species (ROS), as well as on transcripts involved in Na(+) homeostasis. Although both processes are already very well characterized in other plants, the information generated in the present work is of high value. Information on expression profiles and sequence similarity for several hundreds of transcripts of potential interest is now available. Conclusions: This report demonstrates, that the combination of the high-throughput transcriptome profiling technology SuperSAGE with one of the next-generation sequencing platforms allows deep insights into the first molecular reactions of a plant exposed to salinity. Cross validation with recent reports enriched the information about the salt stress dynamics of more than 9,000 chickpea ESTs, and enlarged their pool of alternative transcripts isoforms

Overexpression of the HcPT1.1 transporter in Hebeloma cylindrosporum alters the phosphorus accumulation of Pinus pinaster and the distribution of HcPT2 in ectomycorrhizae

Ectomycorrhizal (ECM) fungi are associated with the roots of woody plants in temperate and boreal forests and help them to acquire water and nutrients, particularly phosphorus (P). However, the molecular mechanisms responsible for the transfer of P from the fungus to the plant in ectomycorrhizae are still poorly understood. In the model association between the ECM fungus Hebeloma cylindrosporum and its host plant Pinus pinaster, we have shown that the fungus, which possesses three H+:Pi symporters (HcPT1.1, HcPT1.2 and HcPT2), expresses mainly HcPT1.1 and HcPT2 in the extraradical and intraradical hyphae of ectomycorrhizae to transport P from the soil to colonized roots. The present study focuses on the role of the HcPT1.1 protein in plant P nutrition, in function of P availability. We artificially overexpressed this P transporter by fungal Agrotransformation and investigated the effect of the different lines, wild-type and transformed ones, on plant P accumulation, the distribution of HcPT1.1 and HcPT2 proteins in ectomycorrhizae by immunolocalization, and 32P efflux in an experimental system mimicking intraradical hyphae. Surprisingly, we showed that plants interacting with transgenic fungal lines overexpressing HcPT1.1 did not accumulate more P in their shoots than plants colonized with the control ones. Although the overexpression of HcPT1.1 did not affect the expression levels of the other two P transporters in pure cultures, it induced a strong reduction in HcPT2 proteins in ectomycorrhizae, particularly in intraradical hyphae, but still improved the P status of host plant shoots compared with non-mycorrhizal plants. Finally, 32P efflux from hyphae was higher in lines overexpressing HcPT1.1 than in the control ones. These results suggest that a tight regulation and/or a functional redundancy between the H+:Pi symporters of H. cylindrosporum might exist to ensure a sustainable P delivery to P. pinaster roots