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.

Structural analysis of the Paint Lake Deformation Zone, Northern Ontario /

The Paint Lake Deformation Zone (PLDZ), located within the Superior Province of Canada, demarcates a major structural and lithological break between the Onaman-Tashota Terrane to the north and the Beardmore-Geraldton Belt to the south. The PLDZ is an east-west trending lineament, approximately 50 km in length and up to 1 km in width, comprised of an early ductile component termed the Paint Lake Shear Zone and a late brittle component known as the Paint Lake Fault. Structures associated with PLDZ development including S-, C- and C'-fabrics, stretching lineations, slickensides, C-C' intersection lineations, Z-folds and kinkbands indicate that simple shear deformation dominated during a NW-SE compressional event. Movement along the PLDZ was in a dextral sense consisting of an early differential motion with southside- down and a later strike-slip motion. Although the locus of the PLDZ may in part be lithologically controlled, mylonitization which accompanied shear zone development is not dependent on the lithological type. Conglomerate, intermediate and mafic volcanic units exhibit similar mesoscopic and microscopic structures where transected by the PLDZ. Field mapping, supported by thin section analysis, defines five strain domains increasing in intensity of deformation from shear zone boundary to centre. A change in the dominant microstructural deformation mechanism from dislocation creep to diffusion creep is observed with increasing strain during mylonitization. C'-fabric development is temporally associated with this change. A decrease in the angular relationship between C- and C'-fabrics is observed upon attaining maximum strain intensity. Strain profiling of the PLDZ demonstrates the presence of an outer primary strain gradient which exhibits a simple profile and an inner secondary strain gradient which exhibits a more complex profile. Regionally metamorphosed lithologies of lower greenschist facies outside the PLDZ were subjected to retrograde metamorphism during deformation within the PLDZ.

Structural, stratigraphic and geochemical studies of the Horwood Peninsula - Gander Bay Area, Northeast Newfoundland /

The Horwood Peninsula - Gander Bay area is located at NE Newfoundland in the Botwood Zone (Williams et a1., 1974) or in the Dunnage Zone (Williams, 1979) of the Central Mobile Belt of the Newfoundland Appalachians. The area is underlain by Middle Ordovician to possible Lower Silurian rocks of the Davidsville and Indian Islands Groups, respectively. Three conformable formations named informally : the Mafic Volcanic Formation, the Greywacke and Siltstone Formation and the Black Slate Formation, have been recognized in the Davidsville Group. The Greywacke and the Black Slate Formations pass locally into a Melange Formation. From consideration of regional structure and abundant locally-derived mafic volcanic olisto- 1iths in the melange, it is considered to have originated by gravity sliding rather than thrusting. Four formations have been recognized in the Indian Islands Group. They mainly contain silty slate and phyllite, grey cherty siltstone, green to red micaceous siltstone and limestone horizons. Repetition of lithological units by F1 folding are well-demonstrated in one of formations in this Group. The major structure in this Group on the Horwood Peninsula is interpreted to be a synclinal complex. The lithology of this Group is different from the Botwood Group to the west and is probably Late Ordovician and/or Early Silurian in age. The effects of soft-sediment deformation can be seen from the lower part of the Davidsville Group to the middle part of the Indian Islands Group indicating continuous and/or episodic slumping and sliding activities throughout the whole area. However, no siginificant depOSitional and tectonic break that could be assigned to the Taconian Orogeny has been recognized in this study. Three periods of tectonic deformation were produced by the Acadian Orogeny. Double boudinage in thin dikes indicates a southeast-northwest sub-horizontal compression and main northeast-southwest sub-horizontal extension during the D1 deformation. A penetrative, axial planar slaty cleavage (Sl) and tight to isocJ.ina1 F1 folds are products of this deformation. The D2 and D3 deformations formed S2 and S3 fabrics associated with crenulations and kink bands which are well-shown in the slates and phyllites of the Indian Islands Group. The D2 and D3 deformations are the products of vertical and northeast-southwest horizontal shortening respectively. The inferred fault between the Ordovician slates (Davidsville Group) and the siltstones (Indian Islands Group) suggested by Williams (1963, 1964b, 1972, 1978) is absent. Formations can be followed without displacement across this inferred fault. Chemically, the pillow lavas, mafic agglomerates, tuff beds and diabase dikes are subdivided into three rock suites : (a) basaltic komatiite (Beaver Cove Assemblage), (b) tholeiitic basalt (diabase dikes), (c) alkaline basalt (Shoal Bay Assemblage). The high Ti02 , MgO, Ni contents and bimodal characteristic of the basaltic komatiite in the area are comparable to the Svartenhuk Peninsula at Baffin Bay and are interpreted to be the result of an abortive volcano-tectonic rift-zone in a rear-arc basin. Modal and chemical analyses of greywackes and siltstones show the trend of maturity of these rocks increasing from poorly sorted Ordovician greywackes to fairly well-sorted Silurian siltstones. Rock fragments in greywackes indicate source areas consisting of plagiogranite, low grade metamorphic rocks and ultramafic rocks. Rare sedimentary structures in both Groups indicate a southeasterly provenance. Trace element analyses of greywackes also reveal a possible island-arc affinity.