A Survival Analysis of Australian Equity Mutual Funds

Determining which types of mutual (or managed) investment funds are good financial investments is complicated by potential surbivorship biases. This project adds to a small recent international literature on the patterns and determinants of mutual fund survivorship. We use statistical techniques for survival data that are rarely applied in finance. Of specific interest is the hazard rate of fund closure, which gives the variation over time in the conditional probability of fund closure given fund survival to date. For a sample of 251 retail investment funds in Australia from 1980 to 1999 we identify a hump-shaped hazard function that reaches its maximum after about five or six years, a pattern similar to the UK findings of Lunde, Timmermann and Blake (1999). We also consider the impact of monthly and annual fund performance (gross and relative to a market benchmark). Returns relative to the benckmark are much more important than gross returns, with hgiher relative returns associated with lower hazard of fund closure. There appears to be an asymmetric response to performance, with positive shocks having a larger impact on the hazard rate than negative shocks.mutual funds; survivorship bias; duration analysis; cox regression

U.S. East Coast Trough Indices at 500 hPa and New England Winter Climate Variability

Using monthly gridded 500-hPa data, two synoptic indices are defined to better understand the principle mechanisms controlling intraseasonal to multiannual winter climate variability in NewEngland (NE). The “trough axis index” (TAI) is created to quantify the mean longitudinal position of the common East Coast pressure trough, and the “trough intensity index” (TII) is calculated to estimate the relative amplitude of this trough at 42.5°N. The TAI and TII are then compared with records for NE regional winter precipitation, temperature, and snowfall with the goal of understanding physical mechanisms linking NE winter climate with regional sea surface temperatures (SST), the North Atlantic Oscillation (NAO), and the Pacific–North American (PNA) teleconnection pattern. The TAI correlates most significantly with winter precipitation at inland sites, such that a western (eastern)trough axis position is associated with greater (lower) average monthly precipitation. Also, significant correlations between the TAI and both NE regional SSTs and the NAO suggest that longitudinal shifting of the trough is one possible mechanism linking the North Atlantic with NE regional winterclimate variability. The NE winter temperature is significantly correlated with the TII, regional SSTs, and the NAO. While the PNA also correlates with the TII, NE winter climate variables are apparently unrelated to the PNA index

Design of internal support structures for an inflatable lunar habitat

NASA has a long range goal of constructing a fully equipped, manned lunar outpost on the near side of the moon by the year 2015. The proposed outpost includes an inflatable lunar habitat to support crews during missions longer that 12 months. A design for the internal support structures of the inflatable habitat is presented. The design solution includes material selection, substructure design, assembly plan development, and concept scale model construction. Alternate designs and design solutions for each component of the design are discussed. Alternate materials include aluminum, titanium, and reinforced polymers. Vertical support alternates include column systems, truss systems, suspension systems, and lunar lander supports. Horizontal alternates include beams, trusses, floor/truss systems, and expandable trusses. Feasibility studies on each alternate showed that truss systems and expandable trusses were the most feasible candidates for conceptual design. The team based the designs on the properties of 7075 T73 aluminum. The substructure assembly plan, minimizes assembly time and allows crews to construct the habitat without the use of EVA suits. In addition to the design solutions, the report gives conclusions and recommendations for further study of the inflatable habitat design

An investigation of pulsar searching techniques with the Fast Folding Algorithm

Here we present an in-depth study of the behaviour of the Fast Folding Algorithm, an alternative pulsar searching technique to the Fast Fourier Transform. Weaknesses in the Fast Fourier Transform, including a susceptibility to red noise, leave it insensitive to pulsars with long rotational periods (P > 1 s). This sensitivity gap has the potential to bias our understanding of the period distribution of the pulsar population. The Fast Folding Algorithm, a time-domain based pulsar searching technique, has the potential to overcome some of these biases. Modern distributed-computing frameworks now allow for the application of this algorithm to all-sky blind pulsar surveys for the first time. However, many aspects of the behaviour of this search technique remain poorly understood, including its responsiveness to variations in pulse shape and the presence of red noise. Using a custom CPU-based implementation of the Fast Folding Algorithm, ffancy, we have conducted an in-depth study into the behaviour of the Fast Folding Algorithm in both an ideal, white noise regime as well as a trial on observational data from the HTRU-S Low Latitude pulsar survey, including a comparison to the behaviour of the Fast Fourier Transform. We are able to both confirm and expand upon earlier studies that demonstrate the ability of the Fast Folding Algorithm to outperform the Fast Fourier Transform under ideal white noise conditions, and demonstrate a significant improvement in sensitivity to long-period pulsars in real observational data through the use of the Fast Folding Algorithm.Comment: 19 pages, 15 figures, 3 table

Eliciting trade-offs between water charges and service benefits in Scotland. ESRI Working Paper No. 655 March 2020

If it is the responsibility of a regulatory body to decide where to prioritise future investment, then it is important to understand the priorities of the citizenry it represents. This paper, in collaboration with the OECD and the Scottish water industry, presents the results of an online (n= 500) and face-to-face laboratory (n= 99) study that utilised experimental behavioural science to explore how Scottish citizens trade-off costs and potential improvements to their water service. Participants’ priorities for investment were elicited using a novel ‘slider task’ methodology that forced them to explicitly consider the trade-offs required to allocate limited resources across multiple possible water service improvements. The provision of additional cost and timing information was systematically varied. Results suggest that citizens are increasingly accepting of price rises when provided this information. Results also suggest that citizens’ priorities for specific improvements are not sensitive to the costs of different improvements but are sensitive to the lengths of time improvements take to be made. Findings from this study are designed to inform the regulatory process of the Scottish water industry and highlight the potential role of behavioural science in regulation more generally

A search for starlight reflected from HD 75289 b

We have used a doppler tomographic analysis to conduct a deep search for the starlight reflected from the planetary companion to HD 75289. In 4 nights on VLT2/UVES in January 2003, we obtained 684 high resolution echelle spectra with a total integration time of 26 hours. We establish an upper limit on the planet's geometric albedo p < 0.12 (to the 99.9% significance level) at the most probable orbital inclination i ~ 60 degrees, assuming a grey albedo, a Venus-like phase function and a planetary radius R_p = 1.6 R_Jup. We are able to rule out some combinations of the predicted planetary radius and atmospheric albedo models with high, reflective cloud decks.Comment: 5 pages, 5 figures, MNRAS accepted 12 Oct 200