Selectivity and timing performance of UK investment trusts

This study examines the selectivity and timing performance of 218 UK investment trusts over the period July 1981 to June 2009. We estimate the Treynor and Mazuy (1966) and Henriksson and Merton (1981) models augmented with the size, value, and momentum factors, either under the OLS method adjusted with the Newey-West procedure or under the GARCH(1,1)-in-mean method following the specification of Glosten et al. (1993; hereafter GJR-GARCH-M). We find that the OLS method provides little evidence in favour of the selectivity and timing ability, consistent with previous studies. Interestingly, the GJR-GARCH-M method reverses this result, showing some relatively strong evidence on favourable selectivity ability, particularly for international funds, as well as favourable timing ability, particularly for domestic funds. We conclude that the GJR-GARCH-M method performs better in evaluating fund performance compared with the OLS method and the non-parametric approach, as it essentially accounts for the time-varying characteristics of factor loadings and hence obtains more reliable results, in particular, when the high frequency data, such as the daily returns, are used in the analysis. Our results are robust to various in-sample and out-of-sample tests and have valuable implications for practitioners in making their asset allocation decisions across different fund styles. © 2012 Elsevier B.V.

A CFD study of biomass pyrolysis in a downer reactor equipped with a novel gas-solid separator-II thermochemical performance and products

A Eulerian-Eulerian CFD model was used to investigate the fast pyrolysis of biomass in a downer reactor equipped with a novel gas-solid separation mechanism. The highly endothermic pyrolysis reaction was assumed to be entirely driven by an inert solid heat carrier (sand). A one-step global pyrolysis reaction, along with the equations describing the biomass drying and heat transfer, was implemented in the hydrodynamic model presented in part I of this study (Fuel Processing Technology, V126, 366-382). The predictions of the gas-solid separation efficiency, temperature distribution, residence time and the pyrolysis product yield are presented and discussed. For the operating conditions considered, the devolatilisation efficiency was found to be above 60% and the yield composition in mass fraction was 56.85% bio-oil, 37.87% bio-char and 5.28% non-condensable gas (NCG). This has been found to agree reasonably well with recent relevant published experimental data. The novel gas-solid separation mechanism allowed achieving greater than 99.9% separation efficiency and < 2 s pyrolysis gas residence time. The model has been found to be robust and fast in terms of computational time, thus has the great potential to aid in future design and optimisation of the biomass fast pyrolysis process.

Do work placements improve final year academic performance or do high-calibre students choose to do work placements?

This study investigates whether the completion of an optional sandwich work placement enhances student performance in final year examinations. Using Propensity Score Matching, our analysis departs from the literature by controlling for self-selection. Previous studies may have overestimated the impact of sandwich work placements on performance because it might be the case that high-calibre students choose to go on placement. Our results, utilising a large student data set, indicate that self-selection is present, but the effects of a placement on student performance still have an impact. This robust finding is found to be of a remarkably similar magnitude across two UK universities.

A laser induced breakdown spectroscopy quantitative analysis method based on the robust least squares support vector machine regression model

Data fluctuation in multiple measurements of Laser Induced Breakdown Spectroscopy (LIBS) greatly affects the accuracy of quantitative analysis. A new LIBS quantitative analysis method based on the Robust Least Squares Support Vector Machine (RLS-SVM) regression model is proposed. The usual way to enhance the analysis accuracy is to improve the quality and consistency of the emission signal, such as by averaging the spectral signals or spectrum standardization over a number of laser shots. The proposed method focuses more on how to enhance the robustness of the quantitative analysis regression model. The proposed RLS-SVM regression model originates from the Weighted Least Squares Support Vector Machine (WLS-SVM) but has an improved segmented weighting function and residual error calculation according to the statistical distribution of measured spectral data. Through the improved segmented weighting function, the information on the spectral data in the normal distribution will be retained in the regression model while the information on the outliers will be restrained or removed. Copper elemental concentration analysis experiments of 16 certified standard brass samples were carried out. The average value of relative standard deviation obtained from the RLS-SVM model was 3.06% and the root mean square error was 1.537%. The experimental results showed that the proposed method achieved better prediction accuracy and better modeling robustness compared with the quantitative analysis methods based on Partial Least Squares (PLS) regression, standard Support Vector Machine (SVM) and WLS-SVM. It was also demonstrated that the improved weighting function had better comprehensive performance in model robustness and convergence speed, compared with the four known weighting functions.

Implementation of a machine tool performance measurement and diagnostic system and its impact on parts verification

Five axis machine tools are increasing and becoming more popular as customers demand more complex machined parts. In high value manufacturing, the importance of machine tools in producing high accuracy products is essential. High accuracy manufacturing requires producing parts in a repeatable manner and precision in compliance to the defined design specifications. The performance of the machine tools is often affected by geometrical errors due to a variety of causes including incorrect tool offsets, errors in the centres of rotation and thermal growth. As a consequence, it can be difficult to produce highly accurate parts consistently. It is, therefore, essential to ensure that machine tools are verified in terms of their geometric and positioning accuracy. When machine tools are verified in terms of their accuracy, the resulting numerical values of positional accuracy and process capability can be used to define design for verification rules and algorithms so that machined parts can be easily produced without scrap and little or no after process measurement. In this paper the benefits of machine tool verification are listed and a case study is used to demonstrate the implementation of robust machine tool performance measurement and diagnostics using a ballbar system.

Performance evaluation of adaptive context aware rate selection algorithm (ACARS) for road safety applications in vehicular network

One of the major drawbacks for mobile nodes in wireless networks is power management. Our goal is to evaluate the performance power control scheme to be used to reduce network congestion, improve quality of service and collision avoidance in vehicular network and road safety application. Some of the importance of power control (PC) are improving spatial reuse, and increasing network capacity in mobile wireless communications. In this simulation we have evaluated the performance of existing rate algorithms compared with context Aware Rate selection algorithm (ACARS) and also seen the performance of ACARS and how it can be applied to road safety, improve network control and power management. Result shows that ACARS is able to minimize the total transmit power in the presence of propagation processes and mobility of vehicles, by adapting to the fast varying channels conditions with the Path loss exponent values that was used for that environment which is shown in the network simulation parameter. Our results have shown that ACARS is a very robust algorithm which performs very well with the effect of propagation processes that is prone to every transmitted signal in mobile networks. © 2013 IEEE.

Effectiveness of performance appraisal:an integrated framework

Based on a robust analysis of the existing literature on performance appraisal (PA), this paper makes a case for an integrated framework of effectiveness of performance appraisal (EPA). To achieve this, it draws on the expanded view of measurement criteria of EPA, i.e. purposefulness, fairness and accuracy, and identifies their relationships with ratee reactions. The analysis reveals that the expanded view of purposefulness includes more theoretical anchors for the purposes of PA and relates to various aspects of human resource functions, e.g. feedback and goal orientation. The expansion in the PA fairness criterion suggests certain newly established nomological networks, which were ignored in the past, e.g. the relationship between distributive fairness and organization-referenced outcomes. Further, refinements in PA accuracy reveal a more comprehensive categorization of rating biases. Coherence among measurement criteria has resulted in a ratee reactions-based integrated framework, which should be useful for both researchers and practitioners.