title: Portfolio structure and optimisation of momentum returns

authors: Gupta, Kartick

subjects: momentum returns

abstract: This study analyses momentum returns in 54 countries covering 34 years.  It is the first study where optimising programmes are applied to momentum returns and portfolio selection.  Momentum returns have remained a contentious topic and a substantial amount of research purports to support and negate this anomaly.  Momentum studies have previously concentrated on finding the cause of this anomaly or determining whether abnormal returns are present only in a particular dataset.  However, there is no clear consensus regarding how to construct/implement a momentum strategy.  To date it has been unclear as to how many portfolios should be created, whether or not the portfolios should be equally-weighted or value-weighted and how the momentum returns will change when a chosen strategy is constructed/implemented compared to an alternative strategy.  This lack of precision concerning how to construct/implement momentum strategy potentially leads to confounding results.  This current thesis contributes to an understanding of the  structure impact effect  by computing momentum returns for changing portfolio structures and observing the magnitude of the impact on returns on a specially crafted database of 52,593 stocks from 54 countries over the time period 1973-2007.
The two important empirical extensions are the industrial momentum and the 52-week high momentum models.  Both the industrial momentum and 52-week high momentum strategies claim that their returns are superior to the traditional momentum return and possess superior explanatory power.  Empirical evidence, to date, has not been available to attest to whether the results hold true when applied in different markets.  This gap in knowledge motivated this research investigation of multiple countries addressing how different methods of calculating returns, different approaches to momentum strategy, different portfolio weighting process impact upon the robustness of results.
This research also addresses the question of whether momentum returns can be increased through the use of optimisation algorithms.  Traditionally, little attention has been paid to the portfolio weighting with either an equal-weighted or value-weighted approach to allocating funds to the Winner and Loser portfolios.  This study proposes an alternative way of allocating money to the Winner and Loser portfolios with the goal of generating increased returns.  Eight different algorithms are applied to the share returns to determine whether one method is clearly superior to others in maximising the momentum returns for the synthesised portfolios over a period of time.  This is the first study of its type where optimising programmes are applied to momentum returns and portfolio selection and covers several countries.
The results indicate that momentum returns are robust on a global scale and the returns are by and large statistically significant under different portfolio construction approaches.  Both the industrial and 52-week momentum strategies remain positive and statistically significant but do not generate the same magnitude of returns as the conventional momentum return model.  The optimisation of momentum return shows promising results as a number of optimisation techniques do enhance momentum returns.    As the potential to increase returns becomes known, traders will quickly react and there is likely to be a range of new investment products arising.

text: Portfolio structure and optimisation of momentum returns This study analyses momentum returns in 54 countries covering 34 years.  It is the first study where optimising programmes are applied to momentum returns and portfolio selection.  Momentum returns have remained a contentious topic and a substantial amount of research purports to support and negate this anomaly.  Momentum studies have previously concentrated on finding the cause of this anomaly or determining whether abnormal returns are present only in a particular dataset.  However, there is no clear consensus regarding how to construct/implement a momentum strategy.  To date it has been unclear as to how many portfolios should be created, whether or not the portfolios should be equally-weighted or value-weighted and how the momentum returns will change when a chosen strategy is constructed/implemented compared to an alternative strategy.  This lack of precision concerning how to construct/implement momentum strategy potentially leads to confounding results.  This current thesis contributes to an understanding of the  structure impact effect  by computing momentum returns for changing portfolio structures and observing the magnitude of the impact on returns on a specially crafted database of 52,593 stocks from 54 countries over the time period 1973-2007.
The two important empirical extensions are the industrial momentum and the 52-week high momentum models.  Both the industrial momentum and 52-week high momentum strategies claim that their returns are superior to the traditional momentum return and possess superior explanatory power.  Empirical evidence, to date, has not been available to attest to whether the results hold true when applied in different markets.  This gap in knowledge motivated this research investigation of multiple countries addressing how different methods of calculating returns, different approaches to momentum strategy, different portfolio weighting process impact upon the robustness of results.
This research also addresses the question of whether momentum returns can be increased through the use of optimisation algorithms.  Traditionally, little attention has been paid to the portfolio weighting with either an equal-weighted or value-weighted approach to allocating funds to the Winner and Loser portfolios.  This study proposes an alternative way of allocating money to the Winner and Loser portfolios with the goal of generating increased returns.  Eight different algorithms are applied to the share returns to determine whether one method is clearly superior to others in maximising the momentum returns for the synthesised portfolios over a period of time.  This is the first study of its type where optimising programmes are applied to momentum returns and portfolio selection and covers several countries.
The results indicate that momentum returns are robust on a global scale and the returns are by and large statistically significant under different portfolio construction approaches.  Both the industrial and 52-week momentum strategies remain positive and statistically significant but do not generate the same magnitude of returns as the conventional momentum return model.  The optimisation of momentum return shows promising results as a number of optimisation techniques do enhance momentum returns.    As the potential to increase returns becomes known, traders will quickly react and there is likely to be a range of new investment products arising.

year: 2010

title: Simulation with real world network stacks

authors: Jansen, Sam

subjects: computer science

abstract: Network simulation is used widely in network research to test new protocols, modifications to existing protocols and new ideas. The tool used in many cases is ns-2. The nature of the ns-2 protocols means that they are often based on theoretical models that might not behave in the same way as real networks. This paper presents the Network Simulation Cradle which allows real world network stacks to be used in a wrapper that allows the stacks protocols to be used in the ns-2 network simulator. The network stacks from the open source operating systems Linux, FreeBSD and OpenBSD are included in the simulation cradle as well as a stack designed for embedded systems, lwIP. Our results show that ns-2's TCP implementations do not match observed behaviour from real machines in some respects and using the Network Simulation Cradle produces results closer to real world network stacks.

text: Simulation with real world network stacks Network simulation is used widely in network research to test new protocols, modifications to existing protocols and new ideas. The tool used in many cases is ns-2. The nature of the ns-2 protocols means that they are often based on theoretical models that might not behave in the same way as real networks. This paper presents the Network Simulation Cradle which allows real world network stacks to be used in a wrapper that allows the stacks protocols to be used in the ns-2 network simulator. The network stacks from the open source operating systems Linux, FreeBSD and OpenBSD are included in the simulation cradle as well as a stack designed for embedded systems, lwIP. Our results show that ns-2's TCP implementations do not match observed behaviour from real machines in some respects and using the Network Simulation Cradle produces results closer to real world network stacks.

year: 2005

title: Culture is our business: Issues and challenges for forensic and correctional psychologists

authors: Tamatea, Armon J.

subjects: Science & Technology

abstract: Psychology has made significant advances in the development of more empirical, standardized, and consistent approaches to the prediction, assessment, and treatment of offending behaviour. However, crime occurs in a cultural context. Similarly, forensic and correctional psychology derive from a cultural basis that privileges certain types of knowledge and promotes certain forms of practice that are incommensurate with the outlook and realities of some offenders and their communities. While there is an emerging literature on ethnicity and race in criminal justice psychology, very little research that addresses culture is published. The reasons for this knowledge gap are complex, not least because the worldviews of indigenous and diverse communities do not superimpose neatly onto current best-practice models of risk assessment or offender rehabilitation. Given Australia and New Zealand’s commitment to the involvement and wellbeing of indigenous peoples as well as the shared experience of progressively more pluralistic societies, it is argued that there is a critical need to bring the somewhat disparate domains of forensic psychology and culture into conversation with a view to informing policy and practice. The example of risk assessment is used to illustrate some of the complexities of working with cultural difference. Central to this article is a call for a culturally-engaged and proactive philosophy of practice that embraces the needs of diverse offenders, victims and communities.

text: Culture is our business: Issues and challenges for forensic and correctional psychologists Psychology has made significant advances in the development of more empirical, standardized, and consistent approaches to the prediction, assessment, and treatment of offending behaviour. However, crime occurs in a cultural context. Similarly, forensic and correctional psychology derive from a cultural basis that privileges certain types of knowledge and promotes certain forms of practice that are incommensurate with the outlook and realities of some offenders and their communities. While there is an emerging literature on ethnicity and race in criminal justice psychology, very little research that addresses culture is published. The reasons for this knowledge gap are complex, not least because the worldviews of indigenous and diverse communities do not superimpose neatly onto current best-practice models of risk assessment or offender rehabilitation. Given Australia and New Zealand’s commitment to the involvement and wellbeing of indigenous peoples as well as the shared experience of progressively more pluralistic societies, it is argued that there is a critical need to bring the somewhat disparate domains of forensic psychology and culture into conversation with a view to informing policy and practice. The example of risk assessment is used to illustrate some of the complexities of working with cultural difference. Central to this article is a call for a culturally-engaged and proactive philosophy of practice that embraces the needs of diverse offenders, victims and communities.

year: 2017