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 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.

The effect of feeding regime on larval black fly (Diptera: simuliidae) primary head fan ray number

Identification of larval simuliids has always been difficult due to the morphological similarity many species bear to one another. For this reason all characters available have been drawn upon to aid in species identification, including head fan ray number. Even in light of an increasing body of anecdotal reports that head fan ray number is not fixed, it has continued to be used to aid species identification. In the current experiment simuliid larvae were reared under controlled laboratory conditions to last instar in one of three feeding regimes. Out of nine trials, the results of six showed a significant inverse relationship between feeding regime and head fan ray number. In addition to the laboratory experiments, larvae were also collected from the field over the course of the spring and summer, 1994. From these samples significant interspecific and intraspecific variations in head fan ray number were found both spatially and temporally within Algonquin Park. From these data it is concluded that head fan ray number for the species analysed is a developmentally plastic character, which varies in response to food availability. Furthermore, given the extreme variations in head fan ray number found in some species, I recommend that head fan ray number not be used as an aid to identification unless it can be shown to be a fixed character for the species in question.

Flow regime prediction via froude number calculation in a rock-bedded stream

Mathematical predictions of flow conditions along a steep gradient rock bedded stream are examined. Stream gage discharge data and Manning's Equation are used to calculate alternative velocities, and subsequently Froude Numbers, assuming varying values of velocity coefficient, full depth or depth adjusted for vertical flow separation. Comparison of the results with photos show that Froude Numbers calculated from velocities derived from Manning's Equation, assuming a velocity coefficient of 1.30 and full depth, most accurately predict flow conditions, when supercritical flow is defined as Froude Number values above 0.84. Calculated Froude Number values between 0.8 and 1.1 correlate well with observed transitional flow, defined as the first appearance of small diagonal waves. Transitions from subcritical through transitional to clearly supercritical flow are predictable. Froude Number contour maps reveal a sinuous rise and fall of values reminiscent of pool riffle energy distribution.

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.

Returning from the Wild: Exploring Participant's Experiences of Re-entry from Extended Wilderness Trips

The experience of a strong sense of community developed while participating in extended wilderness expeditions is one of the most significant and meaningful experiences associated with taking part in this form of outdoor recreation. The experience of returning to a home community from an extended wilderness expedition is explored through the impacts associated with psychological sense of community (McMillian & Chavis, 1986; McMillian, 1996). A phenomenological approach was used to investigate the re-entry experiences of six individuals through the use of semi-structured interviews. Twelve main themes and seventeen subthemes emerged within the findings and illustrate a lack of preparation for the difficulties associated with re-entry, negative impacts associated with the experience of sense of community, and problems transferring aspects of a wilderness community into participant’s post-expedition lives.

Modeling Metal Protein Complexes from Experimental Extended X-ray Absorption Fine Structure using Computational Intelligence

Experimental Extended X-ray Absorption Fine Structure (EXAFS) spectra carry information about the chemical structure of metal protein complexes. However, pre- dicting the structure of such complexes from EXAFS spectra is not a simple task. Currently methods such as Monte Carlo optimization or simulated annealing are used in structure refinement of EXAFS. These methods have proven somewhat successful in structure refinement but have not been successful in finding the global minima. Multiple population based algorithms, including a genetic algorithm, a restarting ge- netic algorithm, differential evolution, and particle swarm optimization, are studied for their effectiveness in structure refinement of EXAFS. The oxygen-evolving com- plex in S1 is used as a benchmark for comparing the algorithms. These algorithms were successful in finding new atomic structures that produced improved calculated EXAFS spectra over atomic structures previously found.