PERFORMANCE ANALYSIS OF A TACTICAL ASSET ALLOCATION – Evidence from the Black–Litterman model based fixed income portfolio

Over time the demand for quantitative portfolio management has increased among financial institutions but there is still a lack of practical tools. In 2008 EDHEC Risk and Asset Management Research Centre conducted a survey of European investment practices. It revealed that the majority of asset or fund management companies, pension funds and institutional investors do not use more sophisticated models to compensate the flaws of the Markowitz mean-variance portfolio optimization. Furthermore, tactical asset allocation managers employ a variety of methods to estimate return and risk of assets, but also need sophisticated portfolio management models to outperform their benchmarks. Recent development in portfolio management suggests that new innovations are slowly gaining ground, but still need to be studied carefully. This thesis tries to provide a practical tactical asset allocation (TAA) application to the Black–Litterman (B–L) approach and unbiased evaluation of B–L models’ qualities. Mean-variance framework, issues related to asset allocation decisions and return forecasting are examined carefully to uncover issues effecting active portfolio management. European fixed income data is employed in an empirical study that tries to reveal whether a B–L model based TAA portfolio is able outperform its strategic benchmark. The tactical asset allocation utilizes Vector Autoregressive (VAR) model to create return forecasts from lagged values of asset classes as well as economic variables. Sample data (31.12.1999–31.12.2012) is divided into two. In-sample data is used for calibrating a strategic portfolio and the out-of-sample period is for testing the tactical portfolio against the strategic benchmark. Results show that B–L model based tactical asset allocation outperforms the benchmark portfolio in terms of risk-adjusted return and mean excess return. The VAR-model is able to pick up the change in investor sentiment and the B–L model adjusts portfolio weights in a controlled manner. TAA portfolio shows promise especially in moderately shifting allocation to more risky assets while market is turning bullish, but without overweighting investments with high beta. Based on findings in thesis, Black–Litterman model offers a good platform for active asset managers to quantify their views on investments and implement their strategies. B–L model shows potential and offers interesting research avenues. However, success of tactical asset allocation is still highly dependent on the quality of input estimates.

Performance improvement in mediterranean operations using risk management analysis : Case study of Containerships Group Ltd

Emerging markets of Northern Africa and Turkey provide growth opportunities for logistics service companies in the middle of low growth environment of European Union. The purpose of this research is to explore and analyze the risk factors in container shipping industry and third party logistics (3PL) services. The research empirically examined the risk factors, which are related within the interaction between these two parties in emerging markets of Mediterranean area. The previous studies have provided a valuable insight into the operational risks faced by container shipping industries. However, most of these studies have focused on one or several operational risk factors from a single point of view, and no studies have inclusively examined the possible operational risks faced in the container shipping industry from dual perspective of 3PL provider and its customers. A questionnaire has been deployed to collect related data; and the impacts of the risks were then be assessed and ranked using the method of risk mapping. Respondents were located in Turkey, Algeria, Tunisia, and Libya. Research presents the most important risk factors identified, and compares them between 3PL provider and its customers. The research also provide some risk mitigation strategies for the key risk factors, and tried to figure out a common risk picture, which guides the managers in both sides to have a better decisions and as a result, improve the performance of the container shipping operations. Challenge during project execution time was that customers identified vast amount of more risks than what was the case with logistics service operator.

What is the current state of cloud service research and its promise for the future? A systematic literature review

The information technology (IT) industry has recently witnessed the proliferation of cloud services, which have allowed IT service providers to deliver on-demand resources to customers over the Internet. This frees both service providers and consumers from traditional IT-related burdens such as capital and operating expenses and allows them to respond rapidly to new opportunities in the market. Due to the popularity and growth of cloud services, numerous researchers have conducted studies on various aspects of cloud services, both positive and negative. However, none of those studies have connected all relevant information to provide a holistic picture of the current state of cloud service research. This study aims to investigate that current situation and propose the most promising future directions. In order to determine achieve these goals, a systematic literature review was conducted on studies with a primary focus on cloud services. Based on carefully crafted inclusion criteria, 52 articles from highly credible online sources were selected for the review. To define the main focus of the review and facilitate the analysis of literature, a conceptual framework with five main factors was proposed. The selected articles were organized under the factors of the proposed framework and then synthesized using a narrative technique. The results of this systematic review indicate that the impacts of cloud services on enterprises were the factor best covered by contemporary research. Researchers were able to present valuable findings about how cloud services impact various aspects of enterprises such as governance, performance, and security. By contrast, the role of service provider sub-contractors in the cloud service market remains largely uninvestigated, as do cloud-based enterprise software and cloud-based office systems for consumers. Moreover, the results also show that researchers should pay more attention to the integration of cloud services into legacy IT systems to facilitate the adoption of cloud services by enterprise users. After the literature synthesis, the present study proposed several promising directions for cloud service research by outlining research questions for the underexplored areas of cloud services, in order to facilitate the development of cloud service markets in the future.

The effects of derivative use on equity fund performance

Investing in mutual funds has become more popular than ever and the amount of money invested in mutual funds registered in Finland has hit its all-time high. Mutual funds provide a relatively low-cost method for private investors to invest in stock market and achieve diversified portfolios. In finance there is always a tradeoff between risk and return, where higher expected returns can usually be achieved only by taking higher risks. Diversifying the portfolio gets rid some of the risk but systematic risk cannot be diversified away. These risks can be managed by hedging the investments with derivatives. The use of derivatives should improve the performance of the portfolios using them compared to the funds that don’t. However, previous studies have shown that the risk exposure and return performance of derivative users does not considerably differ from nonusers. The purpose of this study is to examine how the use of derivatives affects the performance of equity funds. The funds studied were 155 equity funds registered in Finland in 2013. Empirical research was done by studying the derivative use of the funds during a 6-year period between 2008–2013. The performance of the funds was studied quantitatively by using several different performance measures used in mutual fund industry; Sharpe Ratio, Treynor Ratio, Jensen's alpha, Sortino Ratio, M2 and Omega Ratio. The effect of derivative use on funds' performance was studied by using a dummy variable and comparing performance measures of derivative-users and nonusers. The differences in performance measures between the two groups were analyzed with statistical tests. The hypothesis was that funds' derivative use should improve their performance relative to the funds that don't use them. The results of this study are in line with previous studies that state that the use of derivatives does not improve mutual funds' performance. When performance was measured with Jensen's alpha, funds that did not use derivatives performed better than the ones that used them. When measured with other performance measures, the results didn’t differ between two groups.

Marketing performance measurement in the marketing-finance interface

Marketing and finance are both facing challenges in the constantly changing business environment. Finance is challenged to change its role from cost control to value-adding business partner while marketing needs to be able to demonstrate its accountability so how it contributes to firm performance. Finance is the key partner for marketing to prove its impact by helping marketing to measure its actions. By doing so, finance can also emphasize its business partner role. There is not a lot of research conducted of the relationship between marketing and finance departments. The aim of this study is to investigate how the professional differences of marketing and finance and their forms of cooperation affect marketing performance measurement. Literature of marketing and finance disciplines, their cooperation, performance implications of their interface as well as the roles of marketing performance measurement, performance measurement system and measures were reviewed. This research was conducted as a qualitative case study among senior management of marketing and finance in the sporting goods company. The data collected through semi-structured interviews, participant observation and secondary data was described and classified and connections were made. The results of the study show that the nature of marketing and finance disciplines has many effects on their cooperation and performance measurement. Due to the ambiguous nature of marketing, measuring its performance is still seen as a challenge but digitalization is helping the measurement. It was indicated that marketing and finance professionals need to have different skillsets in order to perform their roles effectively and thus cooperation is needed. Marketing performance needs to be measured with both financial and nonfinancial measures. Both marketing and finance interviewees highlighted the importance of marketing measures over financial measures. Measuring marketing performance comprehensively is seen as a challenge since marketing and finance cooperation is still shaped by the cost control and budget management roles, rather than performance measurement. We recognized three constraints affecting this cooperation and performance measurement: people, time and software. If marketing and finance would develop deeper cooperation, they could create comprehensive performance measurement system that improves organizational performance.

Power and Performance Management Strategies on NoC-Based Multicore Platforms, Using DVFS, Adaptive Algorithm and Task Parallelism

This work presents synopsis of efficient strategies used in power managements for achieving the most economical power and energy consumption in multicore systems, FPGA and NoC Platforms. In this work, a practical approach was taken, in an effort to validate the significance of the proposed Adaptive Power Management Algorithm (APMA), proposed for system developed, for this thesis project. This system comprise arithmetic and logic unit, up and down counters, adder, state machine and multiplexer. The essence of carrying this project firstly, is to develop a system that will be used for this power management project. Secondly, to perform area and power synopsis of the system on these various scalable technology platforms, UMC 90nm nanotechnology 1.2v, UMC 90nm nanotechnology 1.32v and UMC 0.18 μmNanotechnology 1.80v, in order to examine the difference in area and power consumption of the system on the platforms. Thirdly, to explore various strategies that can be used to reducing system’s power consumption and to propose an adaptive power management algorithm that can be used to reduce the power consumption of the system. The strategies introduced in this work comprise Dynamic Voltage Frequency Scaling (DVFS) and task parallelism. After the system development, it was run on FPGA board, basically NoC Platforms and on these various technology platforms UMC 90nm nanotechnology1.2v, UMC 90nm nanotechnology 1.32v and UMC180 nm nanotechnology 1.80v, the system synthesis was successfully accomplished, the simulated result analysis shows that the system meets all functional requirements, the power consumption and the area utilization were recorded and analyzed in chapter 7 of this work. This work extensively reviewed various strategies for managing power consumption which were quantitative research works by many researchers and companies, it's a mixture of study analysis and experimented lab works, it condensed and presents the whole basic concepts of power management strategy from quality technical papers.

Liberal versus neo-developmental convention to growth: why has Brazil shown a poor performance since the 1980s?

The main goal of our paper is to provide analytical arguments to explain why Brazil has not been able to restore its long-term capacity for economic growth, especially compared with its economy in the 1950-1979 period (7.3 per cent per year on average) or even with a select number of emerging economies in the 1980-2010 period(6.7 per cent per year on average, against 2.3 per cent per year on average in Brazil in the same period). We build our idea of convention to growth based on the Keynesian concept of convention. For our purposes, this concept could be briefly summarized as the way in which the set of public and private economic decisions related to different objectives, such as how much to produce and invest, how much to charge for products and services, how to finance public and private debt, how to finance research and development, and so on, are indefinitely - or at least until there is no change- carried out by the political, economic and social institutions. This analytical reference can be connected to the Neo-Schumpeterian National Innovation System (NIS) concept, which emphasizes not only institutions associated with science and technology per se, but also the complex interaction among them and other institutions. In this paper we identify two conventions to long-term growth in the last three decades in Brazil: the liberal and the neo-developmental. We show that the poor performance in the Brazilian economy in terms of real GDP growth from the 1980s on can be explained by a weak coordination between short-term macroeconomic policies and long-term industrial and technological policies. This weak coordination, in turn, can be associated with the prevalence of the liberal convention from the 1990s on, which has emphasized price stabilization to the detriment of a neo-developmental strategy whose primary goal is to sustain higher rates of growth and full employment in Brazil.

Intellectual capital, knowledge management practices and firm performance

Researchers have widely recognised and accepted that firm performance is increasingly related to knowledge-based issues. Two separately developed literature streams, intellectual capital (IC) and knowledge management (KM), have been established as the key discussions related to knowledge-based competitive advantage of the firm. Intellectual capital has provided evidence on the strategic key intangible resources of the firm, which could be deployed to create competitive advantage. Knowledge management, in turn, has focused on the managerial processes and practices which can be used to leverage IC to create competitive advantage. Despite extensive literature on both issues, some notable research gaps remain to be closed. In effect, one major gap within the knowledge management research is the lack of understanding related to its influence on firm performance, while IC researchers have articulated a need to utilise more finegrained conceptual models to better understand the key strategic value-creating resources of the firm. In this dissertation, IC is regarded as the entire intellectual capacity, knowledge and competences of the firm that can be leveraged to achieve sustained competitive advantage. KM practices are defined as organisational and managerial activities that enable the firm to leverage its IC to create value. The objective of this dissertation is to answer the research question: “What is the relationship between intellectual capital, knowledge management practices and firm performance?” Five publications have addressed the research question using different approaches. The first two publications were systematic literature reviews of the extant empirical IC and KM research, which established the current state of understanding regarding the relationship between IC, KM practices and firm performance. Publications III and IV were empirical research articles that assessed the developed conceptual model related to IC, KM practices and firm performance. Finally, Publication V was among the first research papers to merge IC and KM disciplines in order to find out which configurations could yield organisational benefits in terms of innovation and market performance outcomes.

Investigation of the fatigue performance of welded duplex stainless steel

Diplomityössä tutkitaan hitsatun duplex-teräksen, laatu: EN 1.4462 (Outokumpu laatu 2205) väsymislujuutta. Tutkimusmetodologia noudattaa sekä kokeellisia että laskennallisia menetelmiä. Kokeelliset menetelmät sisältävät hitsatun teräksen väsytystestaukset laboratoriossa, hitsausten jälkikäsittelyt (HiFIT) sekä perusaineelle ja hitseille tehtävät metallurgiset tutkimukset. Väsytyskokeista saatavia tuloksia verrataan kansainvälisen hitsausinstituutin (IIW) vahvistamiin rakennekohtaisiin standardeihin sekä kirjallisuudessa esiintyviin tutkimustuloksiin. Laskennalliset menetelmät sisältävät vertailulaskelmia tehollisen lovijännityksen (ENS) menetelmää hyödyntäen. Tehollisen lovijännityksen menetelmässä liitoksissa vaikuttavat teholliset lovijännitykset selvitetään elementtimenetelmän (FEM) avulla. Tulokset vahvistavat, että hitsauksella ja hitsausten jälkikäsittelyllä on suuri merkitys rakenteen kestoikään. Suurin osa väsytyskokeiden tuloksista osoitti parempia väsymiskestävyyden arvoja kuin rakennekohtaiset standardit, mutta liitosten liitosvirheiden todettiin heikentävän väsytyskestävyyttä. Jälkikäsittelyiden todettiin parantavan liitosten väsymiskestävyyden tuloksia ja todettiin tulosten olevan hyödynnettävissä mitoituksessa.

Performance Degradation Modelling and Techno-Economic Analysis of Lithium-Ion Battery Energy Storage Systems

Transmission system operators and distribution system operators are experiencing new challenges in terms of reliability, power quality, and cost efficiency. Although the potential of energy storages to face those challenges is recognized, the economic implications are still obscure, which introduce the risk into the business models. This thesis aims to investigate the technical and economic value indicators of lithium-ion battery energy storage systems (BESS) in grid-scale applications. In order to do that, a comprehensive performance lithium-ion BESS model with degradation effects estimation is developed. The model development process implies literature review on lifetime modelling, use, and modification of previous study progress, building the additional system parts and integrating it into a complete tool. The constructed model is capable of describing the dynamic behavior of the BESS voltage, state of charge, temperature and capacity loss. Five control strategies for BESS unit providing primary frequency regulation are implemented, in addition to the model. The questions related to BESS dimensioning and the end of life (EoL) criterion are addressed. Simulations are performed with one-month real frequency data acquired from Fingrid. The lifetime and cost-benefit analysis of the simulation results allow to compare and determine the preferable control strategy. Finally, the study performs the sensitivity analysis of economic profitability with variable size, EoL and system price. The research reports that BESS can be profitable in certain cases and presents the recommendations.

Problem solving and computer-assisted instruction in science education : analysis of research findings and the research process /

The quantitative component of this study examined the effect of computerassisted instruction (CAI) on science problem-solving performance, as well as the significance of logical reasoning ability to this relationship. I had the dual role of researcher and teacher, as I conducted the study with 84 grade seven students to whom I simultaneously taught science on a rotary-basis. A two-treatment research design using this sample of convenience allowed for a comparison between the problem-solving performance of a CAI treatment group (n = 46) versus a laboratory-based control group (n = 38). Science problem-solving performance was measured by a pretest and posttest that I developed for this study. The validity of these tests was addressed through critical discussions with faculty members, colleagues, as well as through feedback gained in a pilot study. High reliability was revealed between the pretest and the posttest; in this way, students who tended to score high on the pretest also tended to score high on the posttest. Interrater reliability was found to be high for 30 randomly-selected test responses which were scored independently by two raters (i.e., myself and my faculty advisor). Results indicated that the form of computer-assisted instruction (CAI) used in this study did not significantly improve students' problem-solving performance. Logical reasoning ability was measured by an abbreviated version of the Group Assessment of Lx)gical Thinking (GALT). Logical reasoning ability was found to be correlated to problem-solving performance in that, students with high logical reasoning ability tended to do better on the problem-solving tests and vice versa. However, no significant difference was observed in problem-solving improvement, in the laboratory-based instruction group versus the CAI group, for students varying in level of logical reasoning ability.Insignificant trends were noted in results obtained from students of high logical reasoning ability, but require further study. It was acknowledged that conclusions drawn from the quantitative component of this study were limited, as further modifications of the tests were recommended, as well as the use of a larger sample size. The purpose of the qualitative component of the study was to provide a detailed description ofmy thesis research process as a Brock University Master of Education student. My research journal notes served as the data base for open coding analysis. This analysis revealed six main themes which best described my research experience: research interests, practical considerations, research design, research analysis, development of the problem-solving tests, and scoring scheme development. These important areas ofmy thesis research experience were recounted in the form of a personal narrative. It was noted that the research process was a form of problem solving in itself, as I made use of several problem-solving strategies to achieve desired thesis outcomes.

Understanding the financial status of a group of high performance athletes

With the 2010 Vancouver Winter Olympic Games quickly approaching, there has been a heightened interest in the performance of Canadian athletes at international competitions (Duffy, 2007; Fidlin, 2005; Longley, 2006). Two significant documents outline Canada's goal to become the number one sporting nation at the 2010 Olympic Games, and improve Canada's performance at the 2008 Olympic Games: Own the Podium and Road to Excellence (Priestner Allinger & Allinger, 2004; Road to Excellence, 2006). These two documents represent heightened interest in the performance of our elite athletes, in conjunction with Canada's hosting status of the Vancouver 2010 Winter Olympic Games. The requirements to train and compete at the international level have become more demanding both in terms of financial resources and time commitment. The need to financially assist athletes with their training and competition costs has been an important topic of debate over the past decades (Beamish & Borowy, 1987; Gatehouse, 2004; Macintosh, 1996; Munro, 1970; Owens, 2004). Two sources of fiinding for high performance athletes in Canada are the Athlete Assistance Program (AAP) provided by the Federal Government and the Canadian Olympic Excellence Fund provided by the Canadian Olympic Committee. The importance of these fiinds for athletes has been discussed in various forums (Ekos, 1992, 1997, 2005; Priestner Allinger & Allinger, 2004; Thibault «& Babiak, 2005). However, alternative sources of funds for high performance athletes have never been the object of research. As such the purpose of this study was to describe a group of athlete applicants from the time period of November 2004 to April 2006, and to contextualize these applications within the development of the Charitable Fund for Athletes.

The effect of motor-encoding activities on memory and performance in a grade one reading program

This study examined the effectiveness of motor-encoding activities on memory and performance of students in a Grade One reading program. There were two experiments in the study. Experiment 1 replicated a study by Eli Saltz and David Dixon (1982). The effect of motoric enactment (Le., pretend play) of sentences on memory for the sentences was investigated. Forty Grade One students performed a "memory-for-sentences" technique, devised by Saltz and Dixon. Only the experimental group used motoric enactment of the sentences. Although quantitative findings revealed no significant difference between the mean scores of the experimental group versus the control group, aspects of the experimental design could have affected the results. It was suggested that Saltz and Dixon's study could be replicated again, with more attention given to variables such as population size, nature of the test sentences, subjects' previous educational experience and conditions related to the testing environment. The second experiment was an application of Saltz and Dixon's theory that motoric imagery should facilitate memory for sentences. The intent was to apply this theory to Grade One students' ability to remember words from their reading program. An experimental gym program was developed using kinesthetic activities to reinforce the skills of the classroom reading program. The same subject group was used in Experiment 2. It was hypothesized that the subjects who experienced the experimental gym program would show greater signs of progress in reading ability, as evidenced by their scores on Form G of the Woodcock Reading Mastery Test--Revised. The data from the WRM--R were analyzed with a 3-way split-plot analysis of variance in which group (experimental vs. control) and sex were the between subjects variables and test-time (pre-test vs. post-test) was the within-subjects variable. Findings revealed the following: (a) both groups made substantial gains over time on the visual-auditory learning sub-test and the triple action of group x sex x time also was significant; (b) children in the experimental and control groups performed similarly on both the pre- and post-test of the letter identification test; (c) time was the only significant effect on subjects' performance on the word identification task; (d) work attack scores showed marked improvement in performance over time for both the experimenta+ and control groups; (e) passage comprehension scores indicated an improvement in performance for both groups over time. Similar to Experiment 1, it is suggested that several modifications in the experimental design could produce significant results. These factors are addressed with suggestions for further research in the area of active learning; more specifically, the effect of motor-encoding activities on memory and academic performance of children.

Investigating the effects of arousal state on cognitive performance in individuals with and without mild head injury

We examined the cognitive and emotional sequelae following mild head injury (MHI; e.g., concussion) in high-functioning individuals and whether persons with MHI pre~ent, both physiologically and via self-report, in a manner different from (i.e., underaroused) that of persons who have no history of head injury. We also investigated the effect arousal state ~as on the cognitive performance of this population. Using a quasiexperimental research design (N = 91), we examined changes in attention, working memory, and cognitive flexibility (subtests ofthe WAIS-III, 1997,WMS-III, 1997, & DKEFS, 2002) as a function of manipulated arousal (i.e., induced psychosocial stress/activation; reduced activation/relaxation). In addition to self-reported arousal and state anxiety (State-Trait Anxiety Inventory; Speilberger, 1983a) measures, physiological indices of arousal state (i.e., electrodermal responsivity, heart rate, and respiration activity) were recorded (via Polygraph Professional Suite, 2008) across a 2.5 hour interval while completing various cognitive tasks. Students also completed the Post-concussive Symptom Checklist (Gouvier et aI., 1992). The results demonstrate that university students who report a history ofMHI (i.e., "altered state of consciousness") experience significantly lower levels of anxiety, were physiologically underaroused, and were less responsive to stressors in their environment, compared to their non-~HI cohorts. As expected, cognitive flexibility (but not other neuropsychological measures of cognition) was advantaged with increased stress, and disadvantaged with reduced stress, in persons with reported MHI, but not for those without reported MHI which provided limited support for our hypothesis. Further, university students who had no complaints related to their previous MHI endorsed a greater number of traditional post-concussive symptoms in terms of intensity, duration and frequency as compared to students who did not report a MHI. The underarousal in traumatic brain injury has been associated with (ventromedial prefrontal cortex) VMPFC disruption and may be implicated in MHI generally. Students who report sustaining a previous MHI may be less able to physiologically respond and/or cognitively appraise, stressful experiences as compared to their no-MHI cohort and experience persistent, long-lasting consequences despite the subtle nature of a history of head injury.

Steeltown scene : genre, performance and identity in the alternative independent music scene in Hamilton, Ontario

This thesis examines the independent alternative music scene in the city of Hamilton, Ontario, also known, with reference to its industrial heritage, as "Steeltown." Drawing on the growing literature on the relationship between place and popular music, on my own experience as a local musician, direct observation of performances and of venues and other sites of interaction, as well as ethnographic interviews with scene participants, I focus on the role of space, genre and performance within the scene, and their contribution to a sense of local identity. In particular, I argue that the live performance event is essential to the success of the local music scene, as it represents an immediate process, a connection between performers and audience, one which is temporally rooted in the present. My research suggests that the Hamilton alternative music scene has become postmodern, embracing forms of "indie" music that lie outside of mainstream taste, and particularly those which engage in the exploration and deconstruction of pre-existing genres. Eventually, however, the creative successes of an "indiescene" permeate mass culture and often become co-opted into the popular music mainstream, a process which, in turn, promotes new experimentation and innovation at the local level.