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.

Characterizing Dynamic Optimization Benchmarks for the Comparison of Multi-Modal Tracking Algorithms

Population-based metaheuristics, such as particle swarm optimization (PSO), have been employed to solve many real-world optimization problems. Although it is of- ten sufficient to find a single solution to these problems, there does exist those cases where identifying multiple, diverse solutions can be beneficial or even required. Some of these problems are further complicated by a change in their objective function over time. This type of optimization is referred to as dynamic, multi-modal optimization. Algorithms which exploit multiple optima in a search space are identified as niching algorithms. Although numerous dynamic, niching algorithms have been developed, their performance is often measured solely on their ability to find a single, global optimum. Furthermore, the comparisons often use synthetic benchmarks whose landscape characteristics are generally limited and unknown. This thesis provides a landscape analysis of the dynamic benchmark functions commonly developed for multi-modal optimization. The benchmark analysis results reveal that the mechanisms responsible for dynamism in the current dynamic bench- marks do not significantly affect landscape features, thus suggesting a lack of representation for problems whose landscape features vary over time. This analysis is used in a comparison of current niching algorithms to identify the effects that specific landscape features have on niching performance. Two performance metrics are proposed to measure both the scalability and accuracy of the niching algorithms. The algorithm comparison results demonstrate the algorithms best suited for a variety of dynamic environments. This comparison also examines each of the algorithms in terms of their niching behaviours and analyzing the range and trade-off between scalability and accuracy when tuning the algorithms respective parameters. These results contribute to the understanding of current niching techniques as well as the problem features that ultimately dictate their success.

A speculative systems model of the dynamic interaction among students, faculty and administration in the community college, with particular reference to intrinsic motivation and the teacher-administrator interface

The challenge the community college faces in helping meet the needs of the living open system of society is examined in this study. It is postulated that internalization student outcomes are required by society to reduce entropy and remain self-renewing. Such behavior is characterized as having an intrinsically motivated energy source and displays the seeking and conquering of challenge, the development of reflective knowledge and skill, full use of all capabilities, internal control, growth orientation, high self-esteem, relativistic thinking and competence. The development of a conceptual systems model that suggests how transactions among students, faculty and administration might occur to best meet the needs of internalization outcomes in students, and intrinsic motivation in faculty is a major purpose of this study. It is a speculative model that is based on a synthesis of a wide variety of variables. Empirical evidence, theoretical considerations, and speculative ideas are gathered together from researchers and theoretici.ans who are working on separate answers to questions of intrinsic motivation, internal control and environments that encourage their development. The model considers the effect administrators·have on faculty anq the corresponding effect faculty may have on students. The major concentration is on the administrator--teacher interface.For administrators the model may serve as a guide in planning effective transactions, and establishing system goals. The teacher is offered a means to coordinate actions toward a specific overall objective, and the administrator, teacher and researcher are invited to use the model to experiment, innovate, verify the assumptions on which the model is based, and raise additional hypotheses. Goals and history of the community colleges in Ontario are examined against current problems, previous progress and open system thinking. The nature of the person as a five part system is explored with emphasis on intrinsic motivation. The nature, operation, conceptualization, and value of this internal energy source is reviewed in detail. The current state of society, education and management theory are considered and the value of intrinsically motivating teaching tasks together with "system four" leadership style are featured. Evidence is reviewed that suggests intrinsically motivated faculty are needed, and "system four" leadership style is the kind of interaction-influence system needed to nurture intrinsic motivation in faculty.

Effect of the position of the double-bond in monounsaturated phospholipids on the dynamics of model membranes

Therllloelynalllics of lllodel 11lel1ll)rane systeills containing 1110nollnsaturatecl I)lloSI)holil) ids is strongly infllienced l)y the I)osition of the C==C dOlll)le })ond in tIle acyl chain. The telllI)eratllres of both chain-nlelting (TM) and La -+ HI! (TH) I)hase traIlsitions are lowered by IIp to 20°C when C==C is Inoved froln positions 6 or 11 to I)osition 9 in an 18-carl)on chain. This work is an attellll)t to ellicidate the uIlderlying Illoleclilar Illechanisllls reSI)Onsi])le for tllese draillatic tllerillodynaillic changes. Mixtllres of di-18: 1 l)hoSI)hatidylethanolanline with C==C at l)ositioIlS 6, 9, 11 were llsed, witll a sI1lall aI1lOlint of I)erdellterated tetradecanol, known to })e a gooel rel)Orter of the cllain Illoleclilar order. SI)ectral second 11I0I1lents were llsed to Illonitor tIle La -+ HII I)hase transition, which was fOllnd to ])e ])road (2-6°C), with a slight llysteresis on heatiIlg/cooling. The orientational order I)rofiles were nleasllred 1lSiIlg 2H Illiclear Illagnetic resonance and changes in these order I)rofiles between La aIld HII I)hases silow l)oth a local increase in order in the vicinity of the C==C bonds and an o\Terall decrease ill the average orientational order of the chain as a whole. These Sll])tle changes recluire })oth high-fidelity SI)ectrosCol)y and a careflll data analysis that takes into aCCOllnt the effects due to l)artiall1lagnetically-indllced orientational ordering of the l)ilayers. In tIle COIltext of SOllle recently rel)Orted cross-relaxation 11leaSlirenlents in Silllilar l)llOSI)llolil)iels, 0111' reslilts sllggest that large-anll)litllde conforlllational changes in the interior of tIle I110del 111eI11])ranes I)lay a 1110re significant role than I)reviollsly thOllght.

NMR studies of strong hydrogen bond to fluoride ion

Systems such as MF/diol (M = alkali metal) and }1F/carboxylic acid were subjected to IH, I9F and 13C nmr study to investigate the nature of the very strong H-bonding of fluoride ions with these systems. Evidence indicates a strong H-bond in diol-fluoride systems (~H ~ -(56) kJ mol-I) which is stronger than most 'typical' H-bonds (~H = -(12-40) kJ mol-I), but weaker than that reported for carboxylic acid-fluoride systems (~H ~ -(120) kJ mol-I). Approximate fluoride H-bonded shifts (o(OH)OHF) were evaluated for MF/diol systems from IH chemical shift measurements. No direct correlation was observed between I9F chemical shift and H-bond strength. Thermodynamic parameters were calculated from temperature dependent IH and 19F shifts. Preliminary studies of BUn 4NF-acetylacetone by I9F nmr were conducted at low temperatures and a possible Jmax (ca. 400 Hz) is reported for the fluoride ion H-bonded to acetylacetone. Highfield shift for non-protonated carbons and downfield shift for protonated carbons were observed in carboxylic acid/KF systems. Significant decreas$in I3C TI due to strong H-bonding to fluoride ions were also detected in both diol and carboxylic acid systems. Anomalous results were obtained, such as increasing NOE with increasing temperature in neat 1,2-ethanediol (values above the theoretical maximum of 1.988) and in 1,2-ethanediol/KF. The large 13C NOE's for carboxy carbons in neat carboxylic acids which are. further enhanced by the addition of KF are also unusual.

The versatility and utilization of phosphorus based compounds in classic carbon-carbon bond forming and esterification reactions

The phosphonium salt room temperature ionic liquid tetradecyltrihexylphosphonium chloride (THPC) has been employed as an efficient reusable media for the palladium catalyzed Suzuki cross-coupling reaction of aryl halides, including aryl chlorides, under mild conditions. The cross-coupling reactions were found to proceed in THPC containing small amounts ofwater and toluene (single phase) using potassium phosphate and 1% Pd2(dba)3'CHCI3. Variously substituted iodobenzenes, including electron rich derivatives, reacted efficiently in THPC with a variety of arylboronic acids and were all complete within 1 hour at 50°C. The corresponding aryl bromides also reacted under these conditions with the addition of a catalytic amount of triphenylphosphine that allowed for complete conversion and high isolated yields. The reactions involving aryl chlorides were considerably slower, although the addition of triphenylphosphine and heating at 70°C allowed high conversion of electron deficient derivatives. Addition of water and hexane to the reaction products results in a triphasic system, from which the catalyst was then recycled by removing the top (hexanes) and bottom (aqueous) layers and adding the reagents to the ionic liquid which was heated again at 50°C; resulting in complete turnover of iodobenzene. Repetition of this procedure gave the biphenyl product in 82-97% yield (repeated five times) for both the initial and recycled reaction sequences. IL ESTERIFICATIONREACTION A new class oftrialkylphosphorane has been prepared through reaction of a trialkylphosphine with 2-chlorodimethylmalonate in the presence oftriethylamine. These new reagents promote the condensation reaction of carboxylic acids with alcohols to provide esters along with trialkylphosphine oxide and dimethylmalonate. The condensation reaction of chiral secondary alcohols can be controlled to give either high levels of inversion or retention through a subtle interplay involving basicity of the reaction media, solvent, and tuning the electronic and steric nature of the carboxylic acid and stenc nature of the phosphorane employed. A coherent mechanism is postulated to explain these observations involving reaction via an initial acyloxyphosphonium ion.

Investigating a dynamic modular framework for subjective well-being

According to Diener (1984), the three primary components of subjective well-being (SWB) are high life satisfaction (LS), frequent positive affect (P A), and infrequent negative affect (NA). The present dissertation extends previous research and theorizing on SWB by testing an innovative framework developed by Shmotkin (2005) in which SWB is conceptualized as an agentic process that promotes and maintains positive functioning. Two key components ofShmotkin's framework were explored in a longitudinal study of university students. In Part 1, SWB was examined as an integrated system of components organized within individuals. Using cluster analysis, five distinct configurations of LS, P A, and NA were identified at each wave. Individuals' SWB configurations were moderately stable over time, with the highest and lowest stabilities observed among participants characterized by "high SWB" and "low SWB" configurations, respectively. Changes in SWB configurations in the direction of a high SWB pattern, and stability among participants already characterized by high SWB, coincided with better than expected mental, physical, and interpersonal functioning over time. More positive levels of functioning and improvements in functioning over time discriminated among SWB configurations. However, prospective effects of SWB configurations on subsequent functioning were not observed. In Part 2, subjective temporal perspective "trajectories" were examined based on individuals' ratings of their past, present, and anticipated future LS. Upward subjective LS trajectories were normative at each wave. Cross-sectional analyses revealed consistent associations between upward subjective trajectories and lower levels of LS, as well as less positive mental, physical, and interpersonal functioning. Upward subjective LS trajectories were biased both with respect to underestimation of past LS and overestimation of future LS, demonstrating their illusional nature. Further, whereas more negative retrospective bias was associated with greater current distress and dysfunction, more positive prospective bias was associated with less positive functioning in the future. Prospective relations, however, were not consistently observed. Thus, steep upward subjective LS trajectory appeared to be a form of wishful-thinking, rather than an adaptive form of selfenhancement. Major limitations and important directions for future research are considered. Implications for Shmotkin's (2005) framework, and for research on SWB more generally, also are discussed

THE INFLUENCE OF LENGTH CHANGE SPEED AND DIRECTION ON DYNAMIC FUNCTION POTENTIATION IN FAST MOUSE MUSCLE

The purpose of this study was to test the hypothesis that the potentiation of dynamic function was dependent upon both length change speed and direction. Mouse EDL was cycled in vitro (25º C) about optimal length (Lo) with constant peak strain (± 2.5% Lo) at 1.5, 3.3 and 6.9 Hz before and after a conditioning stimulus. A single pulse was applied during shortening or lengthening and peak dynamic (concentric or eccentric) forces were assessed at Lo. Stimulation increased peak concentric force at all frequencies (range: 19 ± 1 to 30 ± 2%) but this increase was proportional to shortening speed, as were the related changes to concentric work/power (range: -15 ± 1 to 39 ± 1 %). In contrast, stimulation did not increase eccentric force, work or power at any frequency. Thus, results reveal a unique hysteresis like effect for the potentiation of dynamic output wherein concentric and eccentric forces increase and decrease, respectively, with work cycle frequency.

A stochastic dynamic programming approach for pricing options on stock-index futures

The aim of this thesis is to price options on equity index futures with an application to standard options on S&P 500 futures traded on the Chicago Mercantile Exchange. Our methodology is based on stochastic dynamic programming, which can accommodate European as well as American options. The model accommodates dividends from the underlying asset. It also captures the optimal exercise strategy and the fair value of the option. This approach is an alternative to available numerical pricing methods such as binomial trees, finite differences, and ad-hoc numerical approximation techniques. Our numerical and empirical investigations demonstrate convergence, robustness, and efficiency. We use this methodology to value exchange-listed options. The European option premiums thus obtained are compared to Black's closed-form formula. They are accurate to four digits. The American option premiums also have a similar level of accuracy compared to premiums obtained using finite differences and binomial trees with a large number of time steps. The proposed model accounts for deterministic, seasonally varying dividend yield. In pricing futures options, we discover that what matters is the sum of the dividend yields over the life of the futures contract and not their distribution.

An Interactive Theorem Prover for First-Order Dynamic Logic

Dynamic logic is an extension of modal logic originally intended for reasoning about computer programs. The method of proving correctness of properties of a computer program using the well-known Hoare Logic can be implemented by utilizing the robustness of dynamic logic. For a very broad range of languages and applications in program veri cation, a theorem prover named KIV (Karlsruhe Interactive Veri er) Theorem Prover has already been developed. But a high degree of automation and its complexity make it di cult to use it for educational purposes. My research work is motivated towards the design and implementation of a similar interactive theorem prover with educational use as its main design criteria. As the key purpose of this system is to serve as an educational tool, it is a self-explanatory system that explains every step of creating a derivation, i.e., proving a theorem. This deductive system is implemented in the platform-independent programming language Java. In addition, a very popular combination of a lexical analyzer generator, JFlex, and the parser generator BYacc/J for parsing formulas and programs has been used.

Dynamic Upper Leg Strength and Neuromuscular Function in Children, Adolescents and Adults

This study examined muscle strength, muscle performance, and neuromuscular function during contractions at different velocities across maturation stages and between sexes. Participants included pre-pubertal, late-pubertal and adult males and females. All completed 8 isometric and 8 isokinetic leg extensions at two different velocities. Peak torque (PT), rate of torque development (PrTD), electromechanical-day (EMD), rate of muscle activation (Q30), muscle activation efficiency and coactivation were determined. Sex, maturity, and velocity main effects were found in PT and PrTD, reflecting greater values in men, adults, and isometric contractions respectively. When values were normalized to quadriceps cross-sectional area (qCSA), there was still an increase with maturity. EMD decreased with maturity. Adults had greater activation efficiency than children. Overall, differences in muscle size and neuromuscular function failed to explain group differences in PT or PrTD. More research is needed to investigate why adults may be affected to a greater extent by increasing movement velocity.

The Bond Girl phenomenon: defining the female protagonists of the James Bond films

Please consult the paper edition of this thesis to read. It is available on the 5th Floor of the Library at Call Number: Z 9999 C65 F86 2005

THE INFLUENCE OF LENGTH CHANGE SPEED AND DIRECTION ON DYNAMIC FUNCTION POTENTIATION IN FAST MOUSE MUSCLE

The purpose of this study was to test the hypothesis that the potentiation of dynamic function was dependent upon both length change speed and direction. Mouse EDL was cycled in vitro (250 C) about optimal length (Lo) with constant peak strain (± 2.5% Lo) at 1.5,3.3 and 6.9 Hz before and after a conditioning stimulus. A single pulse was applied during shortening or lengthening and peak dynamic (concentric or eccentric) forces were assessed at Lo. Stimulation increased peak concentric force at all frequencies (range: 19±1 to 30 ± 2%) but this increase was proportional to shortening speed, as were the related changes to concentric work/power (range: -15 ± 1 to 39 ± 1 %). In contrast, stimulation did not increase eccentric force, work or power at any frequency. Thus, results reveal a unique hysteresis like effect for the potentiation of dynamic output wherein concentric and eccentric forces increase and decrease, respectively, with work cycle frequency.

Photograph - Francis Bond Head Willson, 1870

Photograph of Francis Bond Head Willson of Beaverdams. He was the great grandson of Thomas and Abigail Willson. The photographer is Geo. Grenville, Artist, Thorold, Ontario. There are two copies of the photograph in the collection and one has the date 1870 handwritten on the back.

A DYNAMIC FRAMEWORK FOR THE RELATIONS BETWEEN FOREIGN EXCHANGE RATES, SAVINGS AND INVESTMENTS

The Meese-Rogoff forecasting puzzle states that foreign exchange (FX) rates are unpredictable. Since one country’s macroeconomic conditions could affect the price of its national currency, we study the dynamic relations between the FX rates and some macroeconomic accounts. Our research tests whether the predictability of the FX rates could be improved through the advanced econometrics. Improving the predictability of the FX rates has important implications for various groups including investors, business entities and the government. The present thesis examines the dynamic relations between the FX rates, savings and investments for a sample of 25 countries from the Organization for Economic Cooperation and Development. We apply quarterly data of FX rates, macroeconomic indices and accounts including the savings and the investments over three decades. Through preliminary Augmented Dickey-Fuller unit root tests and Johansen cointegration tests, we found that the savings rate and the investment rate are cointegrated with the vector (1,-1). This result is consistent with many previous studies on the savings-investment relations and therefore confirms the validity of the Feldstein-Horioka puzzle. Because of the special cointegrating relation between the savings rate and investment rate, we introduce the savings-investment rate differential (SID). Investigating each country through a vector autoregression (VAR) model, we observe extremely insignificant coefficient estimates of the historical SIDs upon the present FX rates. We also report similar findings through the panel VAR approach. We thus conclude that the historical SIDs are useless in forecasting the FX rate. Nonetheless, the coefficients of the past FX rates upon the current SIDs for both the country-specific and the panel VAR models are statistically significant. Therefore, we conclude that the historical FX rates can conversely predict the SID to some degree. Specifically, depreciation in the domestic currency would cause the increase in the SID.