Drivers of fund performance: a panel data analysis

The principle aim of this research is to elucidate the factors driving the total rate of return of non-listed funds using a panel data analytical framework. In line with previous results, we find that core funds exhibit lower yet more stable returns than value-added and, in particular, opportunistic funds, both cross-sectionally and over time. After taking into account overall market exposure, as measured by weighted market returns, the excess returns of value-added and opportunity funds are likely to stem from: high leverage, high exposure to development, active asset management and investment in specialized property sectors. A random effects estimation of the panel data model largely confirms the findings obtained from the fixed effects model. Again, the country and sector property effect shows the strongest significance in explaining total returns. The stock market variable is negative which hints at switching effects between competing asset classes. For opportunity funds, on average, the returns attributable to gearing are three times higher than those for value added funds and over five times higher than for core funds. Overall, there is relatively strong evidence indicating that country and sector allocation, style, gearing and fund size combinations impact on the performance of unlisted real estate funds.

Can company-fund manager meetings convey informational benefits? Exploring the rationalisation of equity investment decision making by UK fund managers

Conventional economic theory, applied to information released by listed companies, equates ‘useful’ with ‘price-sensitive’. Stock exchange rules accordingly prohibit the selec- tive, private communication of price-sensitive information. Yet, even in the absence of such communication, UK equity fund managers routinely meet privately with the senior execu- tives of the companies in which they invest. Moreover, they consider these brief, formal and formulaic meetings to be their most important sources of investment information. In this paper we ask how that can be. Drawing on interview and observation data with fund managers and CFOs, we find evidence for three, non-mutually exclusive explanations: that the characterisation of information in conventional economic theory is too restricted, that fund managers fail to act with the rationality that conventional economic theory assumes, and/or that the primary value of the meetings for fund managers is not related to their investment decision making but to the claims of superior knowledge made to clients in marketing their active fund management expertise. Our findings suggest a disconnect between economic theory and economic policy based on that theory, as well as a corre- sponding limitation in research studies that test information-usefulness by assuming it to be synonymous with price-sensitivity. We draw implications for further research into the role of tacit knowledge in equity investment decision-making, and also into the effects of the principal–agent relationship between fund managers and their clients.

QoS evaluation of bandwidth schedulersin IPTV networks offered SRD fluidvideo traffic: a simulation study

IPTV is now offered by several operators in Europe, US and Asia using broadcast video over private IP networks that are isolated from Internet. IPTV services rely ontransmission of live (real-time) video and/or stored video. Video on Demand (VoD)and Time-shifted TV are implemented by IP unicast and Broadcast TV (BTV) and Near video on demand are implemented by IP multicast. IPTV services require QoS guarantees and can tolerate no more than 10-6 packet loss probability, 200 ms delay, and 50 ms jitter. Low delay is essential for satisfactory trick mode performance(pause, resume,fast forward) for VoD, and fast channel change time for BTV. Internet Traffic Engineering (TE) is defined in RFC 3272 and involves both capacity management and traffic management. Capacity management includes capacityplanning, routing control, and resource management. Traffic management includes (1)nodal traffic control functions such as traffic conditioning, queue management, scheduling, and (2) other functions that regulate traffic flow through the network orthat arbitrate access to network resources. An IPTV network architecture includes multiple networks (core network, metronetwork, access network and home network) that connects devices (super head-end, video hub office, video serving office, home gateway, set-top box). Each IP router in the core and metro networks implements some queueing and packet scheduling mechanism at the output link controller. Popular schedulers in IP networks include Priority Queueing (PQ), Class-Based Weighted Fair Queueing (CBWFQ), and Low Latency Queueing (LLQ) which combines PQ and CBWFQ.The thesis analyzes several Packet Scheduling algorithms that can optimize the tradeoff between system capacity and end user performance for the traffic classes. Before in the simulator FIFO,PQ,GPS queueing methods were implemented inside. This thesis aims to implement the LLQ scheduler inside the simulator and to evaluate the performance of these packet schedulers. The simulator is provided by ErnstNordström and Simulator was built in Visual C++ 2008 environmentand tested and analyzed in MatLab 7.0 under windows VISTA.

Determinantes da reserva de caixa das empresas brasileiras

Estudos que investigam as razões do acumulo de caixa e a existência de uma política de gestão ativa do caixa têm ganhado evidência na literatura acadêmica internacional nos últimos anos. As pesquisas que consideram os determinantes do nível de caixa e suas implicações ainda encontram-se em um estágio inicial. Adicionalmente, pesquisas ao redor do mundo têm encontrado elevado nível de caixa acumulado pelas empresas. De acordo com as principais linhas de investigação empírica, três correntes teóricas podem explicar o nível de caixa a partir das variáveis denominadas determinantes: tradeoff theory, pecking order theory e a teoria de agência. Este estudo tem por objetivo investigar empiricamente os determinantes do caixa e identificar a existência ou não de uma política de gestão ativa nas empresas brasileiras. Foi realizada uma pesquisa com amostra de 198 empresas listadas na BOVESPA, no período de 1998 a 2008, totalizando 2178 observações. A pesquisa utilizou modelos econométricos de regressão linear e painel de dados. Com as evidências empíricas encontradas, podemos concluir que a gestão do nível de caixa acumulado é uma importante decisão a ser tomada pelas empresas brasileiras. As teorias que suportam as explicações dos determinantes do nível de caixa podem ser aplicadas de modo complementar ao invés de divergentes.

Sistema de gestão de ativos imobilizados do Instituto do Patrimônio Histórico e Artístico Nacional (IPHAN): ênfase em tangível permanente e consumo. Pesquisa, análise e proposta de implantação

O processo de convergência das normas internacionais de contabilidade no Brasil trouxe grandes avanços e contribuições para melhoria dos relatórios de contabilidade. No tocante a questão dos ativos imobilizados, é que este trabalho pretende apresentar as questões relacionadas à gestão e, também, examinar a importância assumida pela adoção de determinadas ferramentas para seu controle e gerenciamento. No rumo do debate sobre o papel estratégico desempenhado pela contabilidade, introduz a temática da importância da gestão do ativo imobilizado nas organizações públicas para o sucesso do registro e o controle desses bens. Por fim, explora as possibilidades para uma gestão eficiente e eficaz propondo a elaboração e implantação de um Sistema de Gestão de Ativos Imobilizados que atenda ao Instituto do Patrimônio Histórico e Artístico Nacional (IPHAN).

Tail risk in the hedge fund industry

The dissertation goal is to quantify the tail risk premium embedded into hedge funds' returns. Tail risk is the probability of extreme large losses. Although it is a rare event, asset pricing theory suggests that investors demand compensation for holding assets sensitive to extreme market downturns. By de nition, such events have a small likelihood to be represented in the sample, what poses a challenge to estimate the e ects of tail risk by means of traditional approaches such as VaR. The results show that it is not su cient to account for the tail risk stemming from equities markets. Active portfolio management employed by hedge funds demand a speci c measure to estimate and control tail risk. Our proposed factor lls that void inasmuch it presents explanatory power both over the time series as well as the cross-section of funds' returns.

Capital flows to Latin America: year end 2005

Includes bibliography

Capital flows to Latin America: first quarter 2006

Includes bibliography

Capital flows to Latin America: year end 2006

Includes bibliography

Capital flows to Latin America: quarterly developments

Includes bibliography

VoIP Traffic Shaping Analyses in Metropolitan Area Networks

This paper represents VoIP shaping analyses in devices that apply the three Quality of Service techniques – IntServ, DiffServ and RSVP. The results show queue management and packet stream shaping based on simulation of the three mostly demanded services – VoIP, LAN emulation and transaction exchange. Special attention is paid to the VoIP as the most demanding service for real time communication.

Assessing the queuing process using data envelopment analysis:an application in health centres

Queuing is one of the very important criteria for assessing the performance and efficiency of any service industry, including healthcare. Data Envelopment Analysis (DEA) is one of the most widely-used techniques for performance measurement in healthcare. However, no queue management application has been reported in the health-related DEA literature. Most of the studies regarding patient flow systems had the objective of improving an already existing Appointment System. The current study presents a novel application of DEA for assessing the queuing process at an Outpatients’ department of a large public hospital in a developing country where appointment systems do not exist. The main aim of the current study is to demonstrate the usefulness of DEA modelling in the evaluation of a queue system. The patient flow pathway considered for this study consists of two stages; consultation with a doctor and pharmacy. The DEA results indicated that waiting times and other related queuing variables included need considerable minimisation at both stages.

Controls on sensible heat and latent energy fluxes from a short-hydroperiod Florida Everglades marsh

Little is known of energy balance in low latitude wetlands where there is a year-round growing season and a climate best defined by wet and dry seasons. The Florida Everglades is a highly managed and extensive subtropical wetland that exerts a substantial influence on the hydrology and climate of the south Florida region. However, the effects of seasonality and active water management on energy balance in the Everglades ecosystem are poorly understood. An eddy covariance and micrometeorological tower was established in a short-hydroperiod Everglades marsh to examine the dominant environmental controls on sensible heat (H) and latent energy (LE) fluxes, as well as the effects of seasonality on these parameters. Seasonality differentially affected H and LE fluxes in this marsh, such that H was principally dominant in the dry season and LE was strongly dominant in the wet season. The Bowen ratio was high for much of the dry season (1.5–2.4), but relatively low (H and LE fluxes across nearly all seasons and years (). However, the 2009 dry season LE data were not consistent with this relationship () because of low seasonal variation in LE following a prolonged end to the previous wet season. In addition to net radiation, H and LE fluxes were significantly related to soil volumetric water content (VWC), water depth, air temperature, and occasionally vapor pressure deficit. Given that VWC and water depth were determined in part by water management decisions, it is clear that human actions have the ability to influence the mode of energy dissipation from this ecosystem. Impending modifications to water management under the Comprehensive Everglades Restoration Plan may shift the dominant turbulent flux from this ecosystem further toward LE, and this change will likely affect local hydrology and climate.

DEVELOPMENT OF A DECISION/DEPLOYMENT SUPPORT TOOL FOR VARIABLE SPEED LIMITS IN RECURRENT CONGESTION

Traffic demand increases are pushing aging ground transportation infrastructures to their theoretical capacity. The result of this demand is traffic bottlenecks that are a major cause of delay on urban freeways. In addition, the queues associated with those bottlenecks increase the probability of a crash while adversely affecting environmental measures such as emissions and fuel consumption. With limited resources available for network expansion, traffic professionals have developed active traffic management systems (ATMS) in an attempt to mitigate the negative consequences of traffic bottlenecks. Among these ATMS strategies, variable speed limits (VSL) and ramp metering (RM) have been gaining international interests for their potential to improve safety, mobility, and environmental measures at freeway bottlenecks. Though previous studies have shown the tremendous potential of variable speed limit (VSL) and VSL paired with ramp metering (VSLRM) control, little guidance has been developed to assist decision makers in the planning phase of a congestion mitigation project that is considering VSL or VSLRM control. To address this need, this study has developed a comprehensive decision/deployment support tool for the application of VSL and VSLRM control in recurrently congested environments. The decision tool will assist practitioners in deciding the most appropriate control strategy at a candidate site, which candidate sites have the most potential to benefit from the suggested control strategy, and how to most effectively design the field deployment of the suggested control strategy at each implementation site. To do so, the tool is comprised of three key modules, (1) Decision Module, (2) Benefits Module, and (3) Deployment Guidelines Module. Each module uses commonly known traffic flow and geometric parameters as inputs to statistical models and empirically based procedures to provide guidance on the application of VSL and VSLRM at each candidate site. These models and procedures were developed from the outputs of simulated experiments, calibrated with field data. To demonstrate the application of the tool, a list of real-world candidate sites were selected from the Maryland State Highway Administration Mobility Report. Here, field data from each candidate site was input into the tool to illustrate the step-by-step process required for efficient planning of VSL or VSLRM control. The output of the tool includes the suggested control system at each site, a ranking of the sites based on the expected benefit-to-cost ratio, and guidelines on how to deploy the VSL signs, ramp meters, and detectors at the deployment site(s). This research has the potential to assist traffic engineers in the planning of VSL and VSLRM control, thus enhancing the procedure for allocating limited resources for mobility and safety improvements on highways plagued by recurrent congestion.

Effects of a pediatric weight management program with and without active video games

Importance Active video games may offer an effective strategy to increase physical activity in overweight and obese children. However, the specific effects of active gaming when delivered within the context of a pediatric weight management program are unknown. Objective To evaluate the effects of active video gaming on physical activity and weight loss in children participating in an evidence-based weight management program delivered in the community. Design, Setting, and Participants Group-randomized clinical trial conducted during a 16-week period in YMCAs and schools located in Massachusetts, Rhode Island, and Texas. Seventy-five overweight or obese children (41 girls [55%], 34 whites [45%], 20 Hispanics [27%], and 17 blacks [23%]) enrolled in a community-based pediatric weight management program. Mean (SD) age of the participants was 10.0 (1.7) years; body mass index (BMI) z score, 2.15 (0.40); and percentage overweight from the median BMI for age and sex, 64.3% (19.9%). Interventions All participants received a comprehensive family-based pediatric weight management program (JOIN for ME). Participants in the program and active gaming group received hardware consisting of a game console and motion capture device and 1 active game at their second treatment session and a second game in week 9 of the program. Participants in the program-only group were given the hardware and 2 games at the completion of the 16-week program. Main Outcomes and Measures Objectively measured daily moderate-to-vigorous and vigorous physical activity, percentage overweight, and BMI z score. Results Participants in the program and active gaming group exhibited significant increases in moderate-to-vigorous (mean [SD], 7.4 [2.7] min/d) and vigorous (2.8 [0.9] min/d) physical activity at week 16 (P < .05). In the program-only group, a decline or no change was observed in the moderate-to-vigorous (mean [SD] net difference, 8.0 [3.8] min/d; P = .04) and vigorous (3.1 [1.3] min/d; P = .02) physical activity. Participants in both groups exhibited significant reductions in percentage overweight and BMI z scores at week 16. However, the program and active gaming group exhibited significantly greater reductions in percentage overweight (mean [SD], −10.9% [1.6%] vs −5.5% [1.5%]; P = .02) and BMI z score (−0.25 [0.03] vs −0.11 [0.03]; P < .001). Conclusions and Relevance Incorporating active video gaming into an evidence-based pediatric weight management program has positive effects on physical activity and relative weight.