Trend following, risk parity and momentum in commodity futures

We show that combining momentum and trend following strategies for individual commodity futures can lead to portfolios which offer attractive risk adjusted returns which are superior to simple momentum strategies; when we expose these returns to a wide array of sources of systematic risk we find that robust alpha survives. Experimenting with risk parity portfolio weightings has limited impact on our results though in particular is beneficial to long–short strategies; the marginal impact of applying trend following methods far outweighs momentum and risk parity adjustments in terms of risk-adjusted returns and limiting downside risk. Overall this leads to an attractive strategy for investing in commodity futures and emphasises the importance of trend following as an investment strategy in the commodity futures context

PDGFRᵝ-Rearranged Myeloid Neoplasm with Marked Eosinophilia in a 37-year-old Man; and a Literature Review

BACKGROUND PDGFR-positive myeloid neoplasms are rare. Marked leukocytosis (over 100x10(9)/L) with marked eosinophilia (over 10%) has been rarely described in myeloid neoplasms associated with PDGFR rearrangement. CASE REPORT We report a case of 37-year-old man with myeloid neoplasm associated with PDGFR rearrangement who presented with marked eosinophilia of 13.3% and leukocytosis with WBC count of 189x10(9)/L. He was found to have PDGFR locus rearrangement at 5q32-33 by fluorescent in situ hybridization (FISH). He responded very well to low-dose imatinib therapy. To the best of our knowledge this degree of hypereosinophilia and leukocytosis in a young adult was reported only once previously. Using low dose therapy in treating this condition has rarely been reported and has not been clearly defined. Our case demonstrated that low dose imatinib therapy can be as effective as high dose imatinib therapy in treating PDGFR-positive myeloid neoplasms. CONCLUSIONS The patient presented with very high WBC and eosinophil count rarely reported in a young adult with PDGFR-rearranged myeloid neoplasm. The recognition of this rare presentation as a manifestation of PDGFR-gene translocation is important, and equally important that low-dose imatinib (100 mg/day) might have the same effect as higher dose imatinib (400 mg/day)

Derangements of Toll-like Receptors, Inflammatory Cytokines, and Reactive Oxygen Species in Philadelphia Chromosome-Negative Myeloproliferative Neoplasm: Implicate Roles of Inflammation in the Pathogenesis

Abstract Philadelphia chromosome-negative myeloproliferative neoplasms (MPN) including essential thrombocythemia(ET), polycythemia vera(PV), and myelofibrosis (MF) have been regarded as a stem cell diseases with malignant clonal proliferation; but recently, inflammatory processes have been proposed as playing found a major role in the pathogenesis of MPN. Toll-like receptors (TLRs) are a family of pattern-recognition receptors that function as key initiators of innate immunity signaling, then induce inflammatorycytokines, and ROS formation. Therefore we measured TLRs, inflammatory cytokines, and ROS in patients with MPN to assess the role of inflammation in MPN. Methods: TLR assay.TLR-2, 4, 7, 9 quantification was performed by immuno-staining of 1×106 mononuclear cells which were incubated with fluorescence-conjugated anti-TLR-2, 4, 7, 9 antibodies and assayed by flow cytometry. Monocytes culture and dendritic cells differentiation.Human monocytes were isolated from human peripheral blood mononuclear cells (PBMNC) using Pan Monocyte Isolation Kit. Isolated monocytes were incubated with IL-4 and GM-CSF in cultures to differentiate to dendric cells . Immature dendritic cells were either left untreated or stimulated with Pam3CSK4. The maturation of dendritic cells was determined by flow cytometry using CD80, CD83, CD11c, and HLA-DR. Multiplex ELISA. Human plasma and cell culture supernatants were analyzed in duplicates by Meso Scale Discovery Multi-Spot Assay system. In total, ten cytokines were assayed: IFN-g, IL-1b, IL-2, IL-4, IL-6, IL-8, IL-10, IL-12p70, IL-13, and TNF-a. Cell ROS measurement. Cellular ROS was determined by a dichlorofluorescein (DCF) assay. PBMNCs were incubated with 10 µM 2′,7′-dichlorodihydrofluorescein diacetate (carboxy-H2DCFDA) (Life Technology) for 30 min at 37°C. The oxidation of H2DCFDA was measured and analyzed by flowcytometery. Results. 1)TLR2 was the only TLR found to be elevated in PV or ET patients (Fig 1). 2) PlasmaIL-1b levels were elevated in TLR2 high patients than TLR-2 low patients. 3) No difference between TLR-2 high and low patients in the maturation of monocytes to dendritic cells. 4) Monocyte derived dendritic cells with high TLR-2 patientsreleased more IL-8 and TNF-a after Pam3CSK4 stimulation (Fig 2). 5) ROS were more elevated in MF patients than PV, ET patients, and controls (Fig 3). Conclusion. 1) TLR 2 is significantly elevated in PV and some ET patients and TLR-2 high patients were found to have elevated plasma IL-1b,and IL-8, and TNF-α in monocytes-derived dendric cell cultures afterPam3CSK4 stimulation than TLR-2 low patients. This confirms that TLR-2 is deranged in PV and ET. 2) ROS is elevated in MF patients compared to ET and PV patients, or controls. Thus, this study suggests that inflammatory processes likely play a role in the pathogenesis of Ph- MPN through first TLR-2 derangement in PV and ET , then through years of chronic inflammatory process , with the accumulation of more ROS seen in MF, which caused more damage to the DNA resulting more malignant clonal proliferation. A similar phenomenon was observed that in JAK2V617F mutation , allele-burden was observed gradually increased from ET , PV then to MF . Disclosures No relevant conflicts of interest to declare. </jats:sec

Quantification of IGF-1 Receptor May Be Useful in Diagnosing Polycythemia Vera–Suggestion to Be Added to Be One of the Minor Criterion

<div><p>Endogenous erythroid colony (EEC) formation is one of the minor criteria for diagnosing polycythemia vera (PV) according to 2008 WHO diagnostic criteria. But EEC requires bone marrow aspiration and sophisticated laboratory procedures; therefore, practically it is rarely used to diagnose PV. Insulin-like growth factor 1 receptor (IGF-1R) was found to be constitutively phosphorylated and was responsible for the EEC formation in PV; therefore, we measured IGF-1R levels in the peripheral blood of 26 PV patients and compared them with those of 33 patients with secondary polycythemia and 29 normal controls. Among the PV patients, 16 were treated with only phlebotomy, 9 received hydroxyurea, and 1 was treated with ruxolinitinib. We found that PV patients treated with only phlebotomy had significantly higher IGF-1R levels than did those PV patients treated with hydroxyurea or ruxolinitinib. None of the secondary PV patients or normal controls had elevated IGR-1R levels, while 14 of 16 (87%) PV patients had significantly elevated IGF-1R levels. The new 2016 WHO has eliminated EEC as a minor criterion for diagnosing PV, but there are still some cases that cannot be definitively diagnosed by the current criteria. Therefore, we suggest that quantifying the IGF-1R level in peripheral blood by flow cytometry to replace EEC as the minor criterion for diagnosing PV.</p></div

IGF-1R expression is mostly from CD34⁺ and CD33⁺cell population.

Four PV patients with elevated IGF-1R were studied. Flow cytometry analysis was done to investigate which cell populations produce IGF-1R. Setting IGF-1R (MFI) of mononuclear cell population values as 100%, CD33-CD34- cells were found to be 58±14%; CD33+CD34-, 135.7±41%; CD33-CD34+, 163.6±21.5%; CD33+CD34+,195.3±7.5%. Therefore, IGF-1R expression was mostly from CD34+ and CD33+ cell populations.</p

IGF-1R expression in other Ph(-) MPN patients.

<p>IGF-1R expression was measured by flow cytometry in 19 patients with essential thrombocythemia (ET), 28 myelofibrosis (MF) patients including 5 post-ET-MF, 5 post-PV-MF, and 18 primary myelofibrosis (PMF). The patients who were treated with hydroxyurea and ruxolitinib were excluded. The results showed that ET and MF patients had significantly elevated IGF-1R levels compared with controls; ET (183.0, 86.8–327.0) (n = 19) and MF (135.1, 73.01–247.6) (n = 28) patients had significantly elevated IGF-1R levels compared with controls (47.75, 34.50–68.79) (n = 30) (<i>P</i><0.05). PV patients had elevated levels compared with ET and MF patients, while no significant difference was found between ET and MF patients.</p

Characteristics of Phlebotomized Only PV patients.

<p>Characteristics of Phlebotomized Only PV patients.</p

IGF-1R expression is significantly increased in patients with polycythemia vera.

<p>A) Representative flow cytometry analysis of IGF-1R (measured by MFI) in patients with untreated PV (received only phlebotomy), secondary polycythemia, normal controls, and treated PV (treated with hydroxyurea or ruxolitinib). B) Untreated PV patients have significantly increased IGF-1R (measured by MFI), results were expressed as median, interquartile range in PV (361.5, 227.8–461.1), secondary polycythemia (58.13,15.46–90.43), controls (49.20,14.63–113.5), and treated PV (52.29,23.89–149.3) (<i>P</i><0.05).</p