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.

The effect of perturbation warning on attention switching abilities during dual-task performance in young and older adults

This study examined whether providing an auditory warning would facilitate attention switching abilities in older adults during dual-tasking. Fifteen young and 16 older adults performed a tracking task while recovering their balance from a support surface translation. For half of the trials, an auditory warning was presented to inform participants of the upcoming translation. Performance was quantified through electromyographic (EMG) recordings of the lower limb muscles, while the ability to switch attention between tasks was determined by tracking task error. Providing warning of an upcoming loss of balance resulted in both young and older adults increasing their leg EMG activity by 10-165% (p<0.05) in preparation for the upcoming translation. However, no differences in the timing of attention switching were observed with or without the warning (p=0.424). Together, these findings suggest that providing a perturbation warning has minimal benefits in improving attention switching abilities for balance recovery in healthy older adults.

The infared optical properties of Sr2RuO4 and SmTiO3 including an object-oriented resistivity interface /

The perovskite crystal structure is host to many different materials from insulating to superconducting providing a diverse range of intrinsic character and complexity. A better fundamental description of these materials in terms of their electronic, optical and magnetic properties undoubtedly precedes an effective realization of their application potential. SmTiOa, a distorted perovskite has a strongly localized electronic structure and undergoes an antiferromagnetic transition at 50 K in its nominally stoichiometric form. Sr2Ru04 is a layered perovskite superconductor (ie. Tc % 1 K) bearing the same structure as the high-tem|>erature superconductor La2_xSrrCu04. Polarized reflectance measurements were carried out on both of these materials revealing several interesting features in the far-infrared range of the spectrum. In the case of SmTiOa, although insulating, evidence indicates the presence of a finite background optical conductivity. As the temperature is lowered through the ordering temperature a resonance feature appears to narrow and strengthen near 120 cm~^ A nearby phonon mode appears to also couple to this magnetic transition as revealed by a growing asymmetry in the optica] conductivity. Experiments on a doped sample with a greater itinerant character and lower Neel temperature = 40 K also indicate the presence of this strongly temperature dependent mode even at twice the ordering temperature. Although the mode appears to be sensitive to the magnetic transition it is unclear whether a magnon assignment is appropriate. At very least, evidence suggests an interesting interaction between magnetic and electronic excitations. Although Sr2Ru04 is highly anisotropic it is metallic in three-dimensions at low temperatures and reveals its coherent transport in an inter-plane Drude-like component to the highest temperatures measured (ie. 90 K). An extended Drude analysis is used to probe the frequency dependent scattering character revealing a peak in both the mass enhancement and scattering rate near 80 cm~* and 100 cm~* respectively. All of these experimental observations appear relatively consistent with a Fermi-liquid picture of charge transport. To supplement the optical measurements a resistivity station was set up with an event driven object oriented user interface. The program controls a Keithley Current Source, HP Nano-Voltmeter and Switching Unit as well as a LakeShore Temperature Controller in order to obtain a plot of the Resistivity as a function of temperature. The system allows for resistivity measurements ranging from 4 K to 290 K using an external probe or between 0.4 K to 295 K using a Helium - 3 Cryostat. Several materials of known resistivity have confirmed the system to be robust and capable of measuring metallic samples distinguishing features of several fiQ-cm.

Predicting performance on fluid intelligence from speed of processing, working memory, and controlled attention

Fluid inteliigence has been defined as an innate ability to reason which is measured commonly by the Raven's Progressive Matrices (RPM). Individual differences in fluid intelligence are currently explained by the Cascade model (Fry & Hale, 1996) and the Controlled Attention hypothesis (Engle, Kane, & Tuholski, 1999; Kane & Engle, 2002). The first theory is based on a complex relation among age, speed, and working memory which is described as a Cascade. The alternative to this theory, the Controlled Attention hypothesis, is based on the proposition that it is the executive attention component of working memory that explains performance on fluid intelligence tests. The first goal of this study was to examine whether the Cascade model is consistent within the visuo-spatial and verbal-numerical modalities. The second goal was to examine whether the executive attention component ofworking memory accounts for the relation between working memory and fluid intelligence. Two hundred and six undergraduate students between the ages of 18 and 28 completed a battery of cognitive tests selected to measure processing speed, working memory, and controlled attention which were selected from two cognitive modalities, verbalnumerical and visuo-spatial. These were used to predict performance on two standard measures of fluid intelligence: the Raven's Progressive Matrices (RPM) and the Shipley Institute of Living Scales (SILS) subtests. Multiple regression and Structural Equation Modeling (SEM) were used to test the Cascade model and to determine the independent and joint effects of controlled attention and working memory on general fluid intelligence. Among the processing speed measures only spatial scan was related to the RPM. No other significant relations were observed between processing speed and fluid intelligence. As 1 a construct, working memory was related to the fluid intelligence tests. Consistent with the predictions for the RPM there was support for the Cascade model within the visuo-spatial modality but not within the verbal-numerical modality. There was no support for the Cascade model with respect to the SILS tests. SEM revealed that there was a direct path between controlled attention and RPM and between working memory and RPM. However, a significant path between set switching and RPM explained the relation between controlled attention and RPM. The prediction that controlled attention mediated the relation between working memory and RPM was therefore not supported. The findings support the view that the Cascade model may not adequately explain individual differences in fluid intelligence and this may be due to the differential relations observed between working memory and fluid intelligence across different modalities. The findings also show that working memory is not a domain-general construct and as a result its relation with fluid intelligence may be dependent on the nature of the working memory modality.

Studies on oxamyl : analytical method development and investigation of fate in peach seedlings and corn seeds

A high performance liquid chromatographic method employing two columns connected in series and separated~y·a.switching valve has been developed for the analysis of the insecticide/ nematicide oxamyl (methyl-N' ,N'-dimethyl-N-[(methylcarbamoyl) oxy]-l-thiooxarnimidate) and two of its metabolites. A variation of this method involving two reverse phase columns was employed to monitor the persistence and translocation of oxamyl in treated peach seedlings. It was possible to simultaneously analyse for oxamyl and its corresponding oxime (methyl-N',N'-dimethyl-N-hydroxy-l-thiooxamimidate}, a major metabolite of oxamyl in plants, without prior cleanup of the samples. The method allowed detection of 0.058 pg oxamyl and 0.035 p.g oxime. On treated peach leaves oxamyl was found to dissipate rapidly during the first two-week period, followed by a period of slow decomposition. Movement of oxamyl or its oxime did not occur in detectable quantities to untreated leaves or to the root or soil. A second variation of the method which employed a size exclusion column as·the first column and a reverse phase column as the second was used to monitor the degradation of oxamyl in treated, planted corn seeds and was suitable for simultaneous analysis of oxamyl, its oxime and dimethylcyanoformamide (DMCF), a metabolite of oxamyl. The method allowed detection of 0.02 pg oxamyl, 0.02 p.g oxime and 0.005 pg DMCF. Oxamyl was found to persist for a period of 5 - 6 weeks, which is long enough to permit oxamyl seedtreatment to be considered as a potential means of protecting young corn plants from nematode attack. Decomposition was found to be more rapid in unsterilized soil than in sterililized soil. DMCF was found to have a nematostatic effect at high concentrations ( 2,OOOpprn), but at lower concentrations no effect on nematode mobility was observed. Oxamyl, on the other hand, was found to reduce the mobility of nematodes at concentrations down to 4 ppm.

The determination of sinigrin in Brassica, and investigations into the use of allyl-isothiocyanate as a nematicide

The goal of this thesis was to study factors related to the development of Brassica juncea as a sustainable nematicide. Brassica juncea is characterized by the glycoside (glucosinolate) sinigrin. Various methods were developed for the determination of sinigrin in Brassica juncea tissue extracts. Sinigrin concentrations in plant tissues at various stages of growth were monitored. Sinigrin enzymatically breaks down into allylisothiocyanate (AITC). AITC is unstable in aqueous solution and degradation was studied in water and in soil. Finally, the toxicity of AITC against the root-lesion nematode (Pratylenchus penetrans) was determined. A method was developed to extract sinigrin from whole Brassica j uncea tissues. The optimal time of extraction wi th boiling phosphate buffer (0.7mM, pH=6.38) and methanol/water (70:30 v/v) solutions were both 25 minutes. Methanol/water extracted 13% greater amount of sinigrin than phosphate buffer solution. Degradation of sinigrin in boiling phosphate buffer solution (0.13%/minute) was similar to the loss of sinigrin during the extraction procedure. The loss of sinigrin from boiling methanol/water was estimated to be O.Ol%/minute. Brassica juncea extract clean up was accomplished by an ion-pair solid phase extraction (SPE) method. The recovery of sinigrin was 92.6% and coextractive impurities were not detected in the cleaned up extract. Several high performance liquid chromatography (HPLC) methods were developed for the determination of sinigrin. All the developed methods employed an isocratic mobile phase system wi th a low concentration of phosphate buffer solution, ammonium acetate solution or an ion-pair reagent solution. A step gradient system was also developed. The method involved preconditioning the analytical column with phosphate buffer solution and then switching the mobile phase to 100% water after sample injection.Sinigrin and benzyl-glucosinolate were both studied by HPLC particle beam negative chemical ionization mass spectrometry (HPLCPB- NCI-MS). Comparison of the mass spectra revealed the presence of fragments arising from the ~hioglucose moiety and glucosinolate side-chain. Variation in the slnlgrin concentration within Brassica juncea plants was studied (Domo and Cutlass cuItivars). The sinigrin concentration in the top three leaves was studied during growth of each cultivar. For Cutlass, the minimum (200~100~g/g) and maximum (1300~200~g/g) concentrations were observed at the third and seventh week after planting, respectively. For Domo, the minimum (190~70~g/g) and maximum (1100~400~g/g) concentrations were observed at the fourth and eighth week after planting, respectively. The highest sinigrin concentration was observed in flower tissues 2050±90~g/g and 2300±100~g/g for Cutlass and Domo cultivars, respectively. Physical properties of AITC were studied. The solubility of AITC in water was determined to be approximately 1290~g/ml at 24°C. An HPLC method was developed for the separation of degradation compounds from aqueous AITC sample solutions. Some of the degradation compounds identified have not been reported in the literature: allyl-thiourea, allyl-thiocyanate and diallyl-sulfide. In water, AITC degradation to' diallyl-thiourea was favored at basic pH (9.07) and degradation to diallyl-sulfide was favored at acidic pH (4 . 97). It wap necessary to amend the aqueous AITC sample solution with acetonitrile ?efore injection into the HPLC system. The acetonitrile amendment considerably improved AITC recovery and the reproducibility of the results. The half-life of aqueous AITC degradation at room temperature did not follow first-order kinetics. Beginning with a 1084~g/ml solution, the half-life was 633 hours. Wi th an ini tial AITC concentration of 335~g/ml the half-life was 865 hours. At 35°C the half-life AITC was 76+4 hours essentially independent of the iiisolution pH over the range of pH=4.97 to 9.07 (1000~g/ml). AITC degradation was also studied in soil at 35°C; after 24 hours approximately 75% of the initial AITC addition was unrecoverable by water extraction. The ECso of aqueous AITC against the root-lesion nematode (Pratylenchus penetrans) was determined to be approximately 20~g/ml at one hour exposure of the nematode to the test solution. The toxicological study was also performed with a myrosinase treated Brassica juncea extract. Myrosinase treatment of the Brassica juncea extract gave nearly quantitative conversion of sinigrin into AITC. The myrosinase treated extract was of the same efficacy as an aqueous AITC solution of equivalent concentration. The work of this thesis was focused upon understanding parameters relevant to the development of Brassica juncea as a sustainable nematicide. The broad range of experiments were undertaken in support of a research priority at Agriculture and Agri-Food Canada.