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.

Biogeochemistry of Paleozoic brachiopods from New York State and Ontario

A comprehensive elemental, isotopic and microstructural analyses was undertaken of brachiopod calcites from the Hamilton Group (Middle Devonian), Clinton Group (Middle Silurian) and Middle to Upper Ordovician strata of Ontario and New York State. The majority of specimens were microstructurally and chemically preserved in a pristine state, although a number of specimens show some degree of post-depositional alteration. Brachiopod calcites from the Hamilton and Clinton Groups were altered by marine derived waters whereas Trenton Group (Middle Ordovician) brachiopods altered in meteorically derived fluids. Analysis of the elemental and isotopic compositions of pristine Hamilton Group brachiopods indicates there are several chemical relationships inherent to brachiopod calcite. Taxonomic differentiation of Mg, Sr and Na contents was evident in three co-occuring species from the Hamilton Group. Mean Mg contents of pristine brachiopods were respectively Athyris spiriferoides (1309ppm), Mucrospirifer mucronatus (1035ppm) and Mediospirifer audacula (789ppm). Similarly, taxonomic differentiation of shell calcite compositions was observed in co-occuring brachiopods from the Clinton Group (Middle Silurian) and the Trenton Group (Middle Ordovician). The taxonomic control of elemental regulation into shell calcite is probably related to the slightly different physiological systems and secretory mechanisms. A relationship was observed in Hamilton Group species between the depth of respective brachiopod communities and their Mg, Sr and Na contents. These elements were depleted in the shell calcites of deeper brachiopods compared to their counterparts in shallower reaches. Apparently shell calcite elemental composition is related to environmental conditions of the depositional setting, which may have controlled the secretory regime, mineral morphology of shell calcite and precipitation rates of each species. Despite the change in Mg, Sr and Na contents between beds and formations in response to environmental conditions, the taxonomic differentiation of shell calcite composition is maintained. Thus, it may be possible to predict relative depth changes in paleoenvironmental reconstructions using brachiopod calcite. This relationship of brachiopod chemistry to depth was also tested within a transgressiveregressive (T-R) cycle in the Rochester Shale Formation (Middle Silurian). Decreasing Mg, Sr and Na contents were observed in the transition from the shallow carbonates of the Irondequoit Formation to the deeper shales of the lowest 2 m of Rochester Shale. However, no isotopic and elemental trends were observed within the entire T-R cycle which suggests that either the water conditions did not change significantly or that the cycle is illusory. A similar relationship was observed between the Fe and Mn chemistries of shell calcite and redox/paleo-oxygen conditions. Hamilton Group brachiopods analysed from deeper areas of the shelf are enriched in Mn and Fe relative to those from shallow zones. The presence of black shales and dysaerobic faunas, during deposition of the Hamilton Group, suggests that the waters of the northern Appalachian Basin were stratified. The deeper brachiopods were marginally positioned above an oxycline and their shell calcites reflect periodic incursions of oxygen depleted water. Furthermore, analysis of Dalmanella from the black shales of the Collingwood Shale (Upper Ordovician) in comparison to those from the carbonates of the Verulam Formation (Middle Ordovician) confirm the relationship of Fe and Mn contents to periodic but not permanent incursions of low oxygen waters. The isotopic compositions of brachiopod calcite found in Hamilton Group (813C; +2.5% 0 to +5.5% 0; 8180 -2.50/00 to -4.00/00) and Clinton Group (813C; +4.00/00 to +6.0; 8180; -1.8% 0 to -3.60/ 00) are heavier than previously reported. Uncorrected paleotemperatures (assuming normal salinity, 0% 0 SMOW and no fractionation effects) derived from these isotopic values suggest that the Clinton sea temperature (Middle Silurian) ranged from 18°C to 28°C and Hamilton seas (Middle Devonian) ranged between 24°C and 29°C. In addition, the isotopic variation of brachiopod shell calcite is significant and is related to environmental conditions. Within a single time-correlative shell bed (the Demissa Bed; Hamilton Group) a positive isotopic shift of 2-2.5% 0 in 013C compositions and a positive shift of 1.0-1.50/00 in 0180 composition of shell calcite is observed, corresponding with a deepening of brachiopod habitats toward the axis of the Appalachian Basin. Moroever, a faunal succession from deeper Ambocoelia dominated brachiopod association to a shallow Tropidoleptus dominated assocation is reflected by isotopic shifts of 1.0-1.50/00. Although, other studies have emphasized the significance of ±20/oo shifts in brachiopod isotopic compositions, the recognition of isotopic variability in brachiopod calcite within single beds and within depositional settings such as the Appalachian Basin has important implications for the interpretation of secular isotopic trends. A significant proportion of the variation observed isotopic distribution during the Paleozoic is related to environmental conditions within the depositional setting.

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.

The effects of temperature on nickel tocicity in goldfish (carassius auratus L.)

Although it is widely assumed that temperature affects pollutant toxicity, few studies have actually investigated this relationship. Moreover, such research as has been done has involved constant temperatures; circumstances which are rarely, if ever, actually experienced by north temperate, littoral zone cyprinid species. To investigate the effects of temperature regime on nickel toxicity in goldfish (Carassius auratus L.), 96- and 240-h LCSO values for the heavy metal pollutant, nickel (NiCI2.6H20), were initially determined at 2DoC (22.8 mg/L and 14.7 mg/L in artificially softened water). Constant temperature bioassays at 10°C, 20°C and 30°C were conducted at each of 0, 240-h and 96-h LCSO nickel concentrations for 240 hours. In order to determine the effects of temperature variation during nickel exposure it was imperative that the effects of a single temperature change be investigated before addressing more complex regimes. Single temperature changes of + 10°C or -10°C were imposed at rates of 2°C/h following exposures of between 24 hand 216 h. The effects of a single temperature change on mortality, and duration of toxicant exposure at high and low temperatures were evaluated. The effects of fluctuating temperatures during exposure were investigated through two regimes. The first set of bioassays imposed a sinewave diurnal cycle temperature (20.±.1DOC) throughout the 10 day exposure to 240-h LeSO Ni. The second set of investigations approximated cyprinid movement through the littoral zone by imposing directionally random temperature changes (±2°C at 2-h intervals), between extremes of 10° and 30°C, at 240-h LC50 Ni. Body size (i.e., total length, fork length, and weight) and exposure time were recorded for all fish mortalities. Cumulative mortality curves under constant temperature regimes indicated significantly higher mortality as temperature and nickel concentration were increased. At 1DOC no significant differences in mortality curves were evident in relation to low and high nickel test concentrations (Le., 16 mg/L and 20 mg/L). However at 20°C and 30°C significantly higher mortality was experienced in animals exposed to 20 mg/L Ni. Mortality at constant 10°C was significantly lower than at 30°C with 16 mg/L and was significantly loWer than each of 2DoC and 39°C tanks at 20 mg/L Ni exposure. A single temperature shift from 20°C to 1DoC resulted in a significant decrease in mortality rate and conversely, a single temperature shift from 20°C to 30°C resulted in a significant increase in mortality rate. Rates of mortality recorded during these single temperature shift assays were significantly different from mortality rates obtained under constant temperature assay conditions. Increased Ni exposure duration at higher temperatures resulted in highest mortality. Diurnally cycling temperature bioassays produced cumulative mortality curves approximating constant 20°C curves, with increased mortality evident after peaks in the temperature cycle. Randomly fluctuating temperature regime mortality curves also resembled constant 20°C tanks with mortalities after high temperature exposures (25°C - 30°C). Some test animals survived in all assays with the exception of the 30°C assays, with highest survival associated with low temperature and low Ni concentration. Post-exposure mortality occurred most frequently in individuals which had experienced high Ni concentrations and high temperatures during assays. Additional temperature stress imposed 2 - 12 weeks post exposure resulted in a single death out of 116 individuals suggesting that survivors are capable of surviving subsequent temperature stresses. These investigations suggest that temperature significantly and markedly affects acute nickel toxicity under both constant and fluctuating temperature regimes and plays a role in post exposure mortality and subsequent stress response.

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.

A Shift in Role: The Perspectives of Ontario Secondary Principals Working in Data-Driven Environments

This study occurred in 2009 and questioned how Ontario secondary school principals perceived their role had changed, over a 7 year period, in response to the increased demands of data-driven school environments. Specifically, it sought to identify principals' perceptions on how high-stakes testing and data-driven environments had affected their role, tasks, and accountability responsibilities. This study contextualized the emergence of the Education Quality and Accountability Offices (EQAO) as a central influence in the creation of data-driven school environments, and conceptualized the role of the principal as using data to inform and persuade a shift in thinking about the use of data to improve instruction and student achievement. The findings of the study suggest that data-driven environments had helped principals reclaim their positional power as instructional leaders, using data as an avenue back into the classroom. The use of data shifted the responsibilities of the principal to persuade teachers to work collaboratively to improve classroom instruction in order to demonstrate accountability.