Asset allocation policy, returns and expenses of superannuation funds : recent evidence based on default options

We examine the asset allocation, returns, and expenses of superannuation funds whose assets are mainly invested in default investment options between 2004 and 2012. A majority of these funds fail to earn returns commensurate with their strategic asset allocation policy. It appears that much of the variation of returns between the funds might be a result of their engaging in significant active management of assets. Our results indicate that returns from active management are negatively related to expenses. We also find strong evidence of economies of scale existing in these superannuation funds across different size categories.

Principles of investments

"Emphasises asset allocation while presenting the practical applications of investment theory. The authors concentrate on the intuition and insights that will be useful to students throughout their careers as new ideas and challenges emerge from the financial marketplace. It provides a good foundation to understand the basic types of securities and financial markets as well as how trading in those markets is conducted. The Portfolio Management section is discussed towards the end of the course and supported by a web-based portfolio simulation with a hypothetical $100,000 brokerage account to buy and sell stocks and mutual funds. Students get a chance to use real data found in the Wall Street Survivor simulation in conjunction with the chapters on investments. This site is powered by StockTrak, the leading provider of investment simulation services to the academic community. Principles of Investments includes increased attention to changes in market structure and trading technology. The theory is supported by a wide range of exercises, worksheets and problems."--publisher website Contents: Investments: background and issues -- Asset classes and financial markets -- Securities markets -- Managed funds and investment management -- Risk and return: past and prologue -- Efficient diversification -- Capital asset pricing and arbitrage pricing theory -- The efficient market hypothesis -- Bond prices and yields -- Managing bond portfolios -- Equity valuation -- Macroeconomic and industry analysis -- Financial statement analysis -- Investors and the investment process -- Hedge funds -- Portfolio performance evaluation.

Parametric modelling for the efficient design of daylight strategies with complex geometries

Daylight devices are important components of any climate responsive façade system. But, the evolution of parametric CAD systems and digital fabrication has had an impact on architectural form so that regular forms are shifting to complex geometries. Architectural and engineering integration of daylight devices in envelopes with complex geometries is a challenge in terms of design and performance evaluation. The purpose of this paper is to assess daylight performance of a building with a climatic responsive envelope with complex geometry that integrates shading devices in the façade. The case study is based on the Esplanade buildings in Singapore. Climate-based day-light metrics such as Daylight Availability and Useful Daylight Illuminance are used. DIVA (daylight simulation), and Grasshopper (parametric analysis) plug-ins for Rhinoceros have been employed to examine the range of performance possibilities. Parameters such as dimension, inclination of the device, projected shadows and shape have been changed in order to maximize daylight availability and Useful Daylight Illuminance while minimizing glare probability. While orientation did not have a great impact on the results, aperture of the shading devices did, showing that shading devices with a projection of 1.75 m to 2.00 m performed best, achieving target lighting levels without issues of glare.

System level tests of transformer differential protection using an IEC 61850 process bus

The IEC 61850 family of standards for substation communication systems were released in the early 2000s, and include IEC 61850-8-1 and IEC 61850-9-2 that enable Ethernet to be used for process-level connections between transmission substation switchyards and control rooms. This paper presents an investigation of process bus protection performance, as the in-service behavior of multi-function process buses is largely unknown. An experimental approach was adopted that used a Real Time Digital Simulator and 'live' substation automation devices. The effect of sampling synchronization error and network traffic on transformer differential protection performance was assessed and compared to conventional hard-wired connections. Ethernet was used for all sampled value measurements, circuit breaker tripping, transformer tap-changer position reports and Precision Time Protocol synchronization of sampled value merging unit sampling. Test results showed that the protection relay under investigation operated correctly with process bus network traffic approaching 100% capacity. The protection system was not adversely affected by synchronizing errors significantly larger than the standards permit, suggesting these requirements may be overly conservative. This 'closed loop' approach, using substation automation hardware, validated the operation of protection relays under extreme conditions. Digital connections using a single shared Ethernet network outperformed conventional hard-wired solutions.

Integrated Lean Six Sigma approach for patient flow improvement in hospital emergency department

Because of increased competition between healthcare providers, higher customer expectations, stringent checks on insurance payments and new government regulations, it has become vital for healthcare organisations to enhance the quality of the care they provide, to increase efficiency, and to improve the cost effectiveness of their services. Consequently, a number of quality management concepts and tools are employed in the healthcare domain to achieve the most efficient ways of using time, manpower, space and other resources. Emergency departments are designed to provide a high-quality medical service with immediate availability of resources to those in need of emergency care. The challenge of maintaining a smooth flow of patients in emergency departments is a global problem. This study attempts to improve the patient flow in emergency departments by considering Lean techniques and Six Sigma methodology in a comprehensive conceptual framework. The proposed research will develop a systematic approach through integration of Lean techniques with Six Sigma methodology to improve patient flow in emergency departments. The results reported in this paper are based on a standard questionnaire survey of 350 patients in the Emergency Department of Aseer Central Hospital in Saudi Arabia. The results of the study led us to determine the most significant variables affecting patient satisfaction with patient flow, including waiting time during patient treatment in the emergency department; effectiveness of the system when dealing with the patient’s complaints; and the layout of the emergency department. The proposed model will be developed within a performance evaluation metric based on these critical variables, to be evaluated in future work within fuzzy logic for continuous quality improvement.

Development of empirical equations for irradiance profile of a standard parabolic trough collector using Monte Carlo ray tracing technique

Irradiance profile around the receiver tube (RT) of a parabolic trough collector (PTC) is a key effect of optical performance that affects the overall energy performance of the collector. Thermal performance evaluation of the RT relies on the appropriate determination of the irradiance profile. This article explains a technique in which empirical equations were developed to calculate the local irradiance as a function of angular location of the RT of a standard PTC using a vigorously verified Monte Carlo ray tracing model. A large range of test conditions including daily normal insolation, spectral selective coatings and glass envelop conditions were selected from the published data by Dudley et al. [1] for the job. The R2 values of the equations are excellent that vary in between 0.9857 and 0.9999. Therefore, these equations can be used confidently to produce realistic non-uniform boundary heat flux profile around the RT at normal incidence for conjugate heat transfer analyses of the collector. Required values in the equations are daily normal insolation, and the spectral selective properties of the collector components. Since the equations are polynomial functions, data processing software can be employed to calculate the flux profile very easily and quickly. The ultimate goal of this research is to make the concentrating solar power technology cost competitive with conventional energy technology facilitating its ongoing research.

Facial expression recognition experiments with data from television broadcasts and the world wide web

Facial expression recognition (FER) systems must ultimately work on real data in uncontrolled environments although most research studies have been conducted on lab-based data with posed or evoked facial expressions obtained in pre-set laboratory environments. It is very difficult to obtain data in real-world situations because privacy laws prevent unauthorized capture and use of video from events such as funerals, birthday parties, marriages etc. It is a challenge to acquire such data on a scale large enough for benchmarking algorithms. Although video obtained from TV or movies or postings on the World Wide Web may also contain ‘acted’ emotions and facial expressions, they may be more ‘realistic’ than lab-based data currently used by most researchers. Or is it? One way of testing this is to compare feature distributions and FER performance. This paper describes a database that has been collected from television broadcasts and the World Wide Web containing a range of environmental and facial variations expected in real conditions and uses it to answer this question. A fully automatic system that uses a fusion based approach for FER on such data is introduced for performance evaluation. Performance improvements arising from the fusion of point-based texture and geometry features, and the robustness to image scale variations are experimentally evaluated on this image and video dataset. Differences in FER performance between lab-based and realistic data, between different feature sets, and between different train-test data splits are investigated.

THE quest for alpha : can artificial neural networks help?

The application of artificial neural networks (ANN) in finance is relatively new area of research. We employed ANNs that used both fundamental and technical inputs to predict future prices of widely held Australian stocks and used these predicted prices for stock portfolio selection over a 10-year period (2001-2011). We found that the ANNs generally do well in predicting the direction of stock price movements. The stock portfolios selected by the ANNs with median accuracy are able to generate positive alpha over the 10-year period. More importantly, we found that a portfolio based on randomly selected network configuration had zero chance of resulting in a significantly negative alpha but a 27% chance of yielding a significantly positive alpha. This is in stark contrast to the findings of the research on mutual fund performance where active fund managers with negative alphas outnumber those with positive alphas.

A Matlab toolbox for parametric identification of radiation-force models of ships and offshore structures

This article describes a Matlab toolbox for parametric identification of fluid-memory models associated with the radiation forces ships and offshore structures. Radiation forces are a key component of force-to-motion models used in simulators, motion control designs, and also for initial performance evaluation of wave-energy converters. The software described provides tools for preparing non-parmatric data and for identification with automatic model-order detection. The identification problem is considered in the frequency domain.

Mathematical modelling and experimental validation of solar assisted heat pump system

Singapore is located at the equator, with abundant supply of solar radiation, relatively high ambient temperature and relative humidity throughout the year. The meteorological conditions of Singapore are favourable for efficient operation of solar energy based systems. Solar assisted heat pump systems are built on the roof-top of National University of Singapore’s Faculty of Engineering. The objectives of this study include the design and performance evaluation of a solar assisted heat-pump system for water desalination, water heating and drying of clothes. Using MATLAB programming language, a 2-dimensional simulation model has been developed to conduct parametric studies on the system. The system shows good prospect to be implemented in both industrial and residential applications and would give new opportunities in replacing conventional energy sources with green renewable energy.

Performances of socially responsible investment and environmentally friendly funds

The socially responsible investment (SRI) funds performances remain inconclusive. Hence, more studies need to be conducted to determine if SRI funds systematically underperform or outperform conventional funds. This paper has employed dynamic mean-variance model using shortage function approach to evaluate the performance of SRI and Environmentally friendly funds (EF). Unlike the traditional methods, this approach estimates fund performance considering both the return and risk at the same time. The empirical results show that SRI funds outperformed conventional funds in EU and US. In addition, the results of EU are among the top-performing categories. EF do not perform as well as SRI, but perform in manners equal or superior to conventional funds. These results show statistically significant in some cases.

Development of a Solar Assisted Heat Pump Desalination System

In view of the growing global demand for energy and concern expressed for environmental degradation, a clean and "free" energy source, such as solar energy, has been receiving greater attention in recent years for various applications using different techniques. The Direct Expansion Solar Assisted Heat Pump (DX-SAHP) principle is one of the most promising techniques as it makes use of both solar and ambient energy. As the system has capability to function at low temperatures, it has the potential to operate at night in the tropics. The system utilizes multi-effect distillation (MED) principle for the conversion of seawater to fresh water. An experimental setup of the DX-SAHP desalination system has been built at the Department of Mechanical Engineering, National University of Singapore (NUS). This system uses two types of flat-plate solar collectors. One is called evaporator-collector, where no glazing is used, and the efficiency varies between 80 and 90%. The other type of collector is single-glazed, where the maximum efficiency is about 60%, and it is used for feed water heating. For the heat pump cycle, refrigerant R134a is used. The present study provides a comprehensive analyses and performance evaluation of this system under different operating and meteorological conditions of Singapore. The Coefficient of Performance (COP) of the heat pump system reached a maximum value of 10. For a single effect of desalination, the system shows a Performance Ratio (PR) of around 1.3.

Mining resource profiles from event logs

Human resources are often responsible for the execution of business processes. In order to evaluate resource performance and identify best practices as well as opportunities for improvement, managers need objective information about resource behaviours. Companies often use information systems to support their processes and these systems record information about process execution in event logs. We present a framework for analysing and evaluating resource behaviour through mining such event logs. The framework provides a method for extracting descriptive information about resource skills, utilisation, preferences, productivity and collaboration patterns; a method for analysing relationships between different resource behaviours and outcomes; and a method for evaluating the overall resource productivity, tracking its changes over time and comparing it with the productivity of other resources. To demonstrate the applicability of our framework we apply it to analyse behaviours of employees in an Australian company and evaluate its usefulness by a survey among managers in industry.

Visual control for automated aircraft collision avoidance systems

This thesis presents a new vision-based decision and control strategy for automated aircraft collision avoidance that can be realistically applied to the See and Avoid problem. The effectiveness of the control strategy positions the research as a major contribution toward realising the simultaneous operation of manned and unmanned aircraft within civilian airspace. Key developments include novel classical and visual predictive control frameworks, and a performance evaluation technique aligned with existing aviation practise and applicable to autonomous systems. The overall approach is demonstrated through experimental results on a small multirotor unmanned aircraft, and through high fidelity probabilistic simulation studies.