Dynamic Performance Evaluation of Canadian Fixed-Income Funds using Markov Regime Switching Models

This thesis examines the performance of Canadian fixed-income mutual funds in the context of an unobservable market factor that affects mutual fund returns. We use various selection and timing models augmented with univariate and multivariate regime-switching structures. These models assume a joint distribution of an unobservable latent variable and fund returns. The fund sample comprises six Canadian value-weighted portfolios with different investing objectives from 1980 to 2011. These are the Canadian fixed-income funds, the Canadian inflation protected fixed-income funds, the Canadian long-term fixed-income funds, the Canadian money market funds, the Canadian short-term fixed-income funds and the high yield fixed-income funds. We find strong evidence that more than one state variable is necessary to explain the dynamics of the returns on Canadian fixed-income funds. For instance, Canadian fixed-income funds clearly show that there are two regimes that can be identified with a turning point during the mid-eighties. This structural break corresponds to an increase in the Canadian bond index from its low values in the early 1980s to its current high values. Other fixed-income funds results show latent state variables that mimic the behaviour of the general economic activity. Generally, we report that Canadian bond fund alphas are negative. In other words, fund managers do not add value through their selection abilities. We find evidence that Canadian fixed-income fund portfolio managers are successful market timers who shift portfolio weights between risky and riskless financial assets according to expected market conditions. Conversely, Canadian inflation protected funds, Canadian long-term fixed-income funds and Canadian money market funds have no market timing ability. We conclude that these managers generally do not have positive performance by actively managing their portfolios. We also report that the Canadian fixed-income fund portfolios perform asymmetrically under different economic regimes. In particular, these portfolio managers demonstrate poorer selection skills during recessions. Finally, we demonstrate that the multivariate regime-switching model is superior to univariate models given the dynamic market conditions and the correlation between fund portfolios.

ASSESSING THE PERFORMANCE OF EMERGING MARKET MUTUAL FUNDS IN CANADA

Emerging markets have received wide attention from investors around the globe because of their return potential and risk diversification. This research examines the selection and timing performance of Canadian mutual funds which invest in fixed-income and equity securities in emerging markets. We use (un)conditional two- and five-factor benchmark models that accommodate the dynamics of returns in emerging markets. We also adopt the cross-sectional bootstrap methodology to distinguish between ‘skill’ and ‘luck’ for individual funds. All the tests are conducted using a comprehensive data set of bond and equity emerging funds over the period of 1989-2011. The risk-adjusted measures of performance are estimated using the least squares method with the Newey-West adjustment for standard errors that are robust to conditional heteroskedasticity and autocorrelation. The performance statistics of the emerging funds before (after) management-related costs are insignificantly positive (significantly negative). They are sensitive to the chosen benchmark model and conditional information improves selection performance. The timing statistics are largely insignificant throughout the sample period and are not sensitive to the benchmark model. Evidence of timing and selecting abilities is obtained in a small number of funds which is not sensitive to the fees structure. We also find evidence that a majority of individual funds provide zero (very few provide positive) abnormal return before fees and a significantly negative return after fees. At the negative end of the tail of performance distribution, our resampling tests fail to reject the role of bad luck in the poor performance of funds and we conclude that most of them are merely ‘unlucky’.

One of Us or One of Them: A Generic Qualitative Study on the Efficacy of the Funds of Knowledge Strategy to Reduce Teacher Ethnocentrism

The purpose of this study was to examine whether English a Second Language (ESL) instructors’ ethnocentrism could be reduced using multicultural education (MCE) principles. There were three focus group discussions and a Likert scale questionnaire. The findings demonstrated that while ESL instructors were conscious of systemic barriers, media stereotypes, and bullying, more diversity training is required in order to improve teachers’ attitudes, responses, and instructional strategies regarding integration issues due to the increasing diversity of learners present in classrooms today. The findings of the study also demonstrated that MCE principles could be used to effectively raise the awareness of ESL instructors when dealing with integration and assimilation issues. When immigration, human rights, and multicultural policies were examined critically, ESL instructors were able to improve their cross-cultural skills in the classroom to be more inclusive towards diverse ethnic groups by giving learners greater opportunities to express themselves. As a result, learners’ knowledge, experience, and skills were validated in the classroom leading to a more meaningful learning experience.

A DFT Guided/Experimental Approach to Asymmetric Allylation and Phase-Transfer Catalysis

The Dudding group is interested in the application of Density Functional Theory (DFT) in developing asymmetric methodologies, and thus the focus of this dissertation will be on the integration of these approaches. Several interrelated subsets of computer aided design and implementation in catalysis have been addressed during the course of these studies. The first of the aims rested upon the advancement of methodologies for the synthesis of biological active C(1)-chiral 3-methylene-indan-1-ols, which in practice lead to the use of a sequential asymmetric Yamamoto-Sakurai-Hosomi allylation/Mizoroki Heck reaction sequence. An important aspect of this work was the utilization of ortho-substituted arylaldehyde reagents which are known to be a problematic class of substrates for existing asymmetric allylation approaches. The second phase of my research program lead to the further development of asymmetric allylation methods using o-arylaldehyde substrates for synthesis of chiral C(3)-substituted phthalides. Apart from the de novo design of these chemistries in silico, which notably utilized water-tolerant, inexpensive, and relatively environmental benign indium metal, this work represented the first computational study of a stereoselective indium-mediated process. Following from these discoveries was the advent of a related, yet catalytic, Ag(I)-catalyzed approach for preparing C(3)-substituted phthalides that from a practical standpoint was complementary in many ways. Not only did this new methodology build upon my earlier work with the integrated (experimental/computational) use of the Ag(I)-catalyzed asymmetric methods in synthesis, it provided fundamental insight arrived at through DFT calculations, regarding the Yamamoto-Sakurai-Hosomi allylation. The development of ligands for unprecedented asymmetric Lewis base catalysis, especially asymmetric allylations using silver and indium metals, followed as a natural extension from these earlier discoveries. To this end, forthcoming as well was the advancement of a family of disubstituted (N-cyclopropenium guanidine/N-imidazoliumyl substituted cyclopropenylimine) nitrogen adducts that has provided fundamental insight into chemical bonding and offered an unprecedented class of phase transfer catalysts (PTC) having far-reaching potential. Salient features of these disubstituted nitrogen species is unprecedented finding of a cyclopropenium based C-H•••πaryl interaction, as well, the presence of a highly dissociated anion projected them to serve as a catalyst promoting fluorination reactions. Attracted by the timely development of these disubstituted nitrogen adducts my last studies as a PhD scholar has addressed the utility of one of the synthesized disubstituted nitrogen adducts as a valuable catalyst for benzylation of the Schiff base N-diphenyl methylene glycine ethyl ester. Additionally, the catalyst was applied for benzylic fluorination, emerging from this exploration was successful fluorination of benzyl bromide and its derivatives in high yields. A notable feature of this protocol is column-free purification of the product and recovery of the catalyst to use in a further reaction sequence.

Electron Transfer Involving the Phylloquinone (A1) Cofactor of Photosystem I Examined with Time Resolved Absorbance and Electron Paramagnetic Resonance Spectroscopy

The dependence of the electron transfer (ET) rate on the Photosystem I (PSI) cofactor phylloquinone (A1) is studied by time-resolved absorbance and electron paramagnetic resonance (EPR) spectroscopy. Two active branches (A and B) of electron transfer converge to the FX cofactor from the A1A and A1B quinone. The work described in Chapter 5 investigates the single hydrogen bond from the amino acid residue PsaA-L722 backbone nitrogen to A1A for its effect on the electron transfer rate to FX. Room temperature transient EPR measurements show an increase in the rate for the A1A- to FX for the PsaA-L722T mutant and an increased hyperfine coupling to the 2-methyl group of A1A when compared to wild type. The Arrhenius plot of the A1A- to FX ET in the PsaA-L722T mutant suggests that the increased rate is probably the result of a slight change in the electronic coupling between A1A- and FX. The reasons for the non-Arrhenius behavior are discussed. The work discussed in Chapter 6 investigates the directionality of ET at low temperature by blocking ET to the iron-sulfur clusters FX, FA and FB in the menB deletion mutant strain of Synechocyctis sp. PCC 6803, which is unable to synthesize phylloquinone, by incorporating the high midpoint potential (49 mV vs SHE) 2,3-dichloro-1,4-naphthoquinone (Cl2NQ) into the A1A and A1B binding sites. Various EPR spectroscopic techniques were implemented to differentiate between the spectral features created from A and B- branch electron transfer. The implications of this result for the directionality of electron transfer in PS I are discussed. The work discussed in Chapter 7 was done to study the dependence of the heterogeneous ET at low temperature on A1 midpoint potential. The menB PSI mutant contains plastiquinone-9 in the A1 binding site. The solution midpoint potential of the quinone measures 100 mV more positive then wild-type phylloquinone. The irreversible ET to the terminal acceptors FA and FB at low temperature is not controlled by the forward step from A1 to FX as expected due to the thermodynamic differences of the A1 cofactor in the two active branches A and B. Alternatives for the ET heterogeneity are discussed.

The Ligand and Membrane-binding Behaviour of the Phosphatidylinositol Transfer Proteins (PITPa & PITPb)

Human Class I phosphatidylinositol transfer proteins (PITPs) exists in two forms: PITPα and PITPβ. PITPs are believed to be lipid transfer proteins based on their capacity to transfer either phosphatidylinositol (PI) or phosphatidylcholine (PC) between membrane compartments in vitro. In Drosophila, the PITP domain is found to be part of a multi-domain protein named retinal degeneration B (RdgBα). The PITP domain of RdgBα shares 40 % sequence identity with PITPα and has been shown to possess PI and PC binding and transfer activity. The detailed molecular mechanism of ligand transfer by the human PITPs and the Drosophila PITP domain remains to be fully established. Here, we investigated the membrane interactions of these proteins using dual polarization interferometry (DPI). DPI is a technique that measures protein binding affinity to a flat immobilized lipid bilayer. In addition, we also measured how quickly these proteins transfer their ligands to lipid vesicles using a fluorescence resonance energy transfer (FRET)-based assay. DPI investigations suggest that PITPβ had a two-fold higher affinity for membranes compared to PITPα. This was reflected by a four-fold faster ligand transfer rate for PITPβ in comparison to PITPα as determined by the FRET assay. Interestingly, DPI analysis also demonstrated that PI-bound human PITPs have lower membrane affinity compared to PC-bound PITPs. In addition, the FRET studies demonstrated the significance of membrane curvature in the ligand transfer rate of PITPs. The ligand transfer rate was higher when the accepting vesicles were highly curved. Furthermore, when the accepting vesicles contained phosphatidic acid (PA) which have smaller head groups, the transfer rate increased. In contrast, when the accepting vesicles contained phosphoinositides which have larger head groups, the transfer rate was diminished. However, PI, the favorite ligand of PITPs, or the presence of anionic lipids did not appear to influence the ligand transfer rate of PITPs. Both DPI and FRET examinations revealed that the PITP domain of RdgBα was able to bind to membranes. However, the RdgBα PITP domain appears to be a poor binder and transporter of PC.