An equity wealth preservation strategy: Following the macro trend

Financial crisis have happened in the past and will continue to do so in the future. In the most recent 2008 crisis, global equities (as measured by the MSCI ACWI index) lost a staggering 54.2% in USD, on the year. During those periods wealth preservation becomes at the top of most investor’s concerns. The purpose of this paper is to develop a strategy that protects the investment during bear markets and significant market corrections, generates capital appreciation, and that can support Millennium BCP’s Wealth Management Unit on their asset allocation procedures. This strategy extends the Dual Momentum approach introduced by Gary Antonacci (2014) in two ways. First, the investable set of securities in the equities space increases from two to four. Besides the US it will comprise the Japanese, European (excl. UK) and EM equity indices. Secondly, it adds a volatility filter as well as three indicators related to the business cycle and the state of the economy, which are relevant to decide on the strategy’s exposure to equities. Overall the results attest the resiliency of the strategy before, during and after historical financial crashes, as it drastically reduces the downside exposure and consistently outperforms the benchmark index by providing higher mean returns with lower variance.

Orthogonal models, structure crossing, nesting and inference

We intend to study the algebraic structure of the simple orthogonal models to use them, through binary operations as building blocks in the construction of more complex orthogonal models. We start by presenting some matrix results considering Commutative Jordan Algebras of symmetric matrices, CJAs. Next, we use these results to study the algebraic structure of orthogonal models, obtained by crossing and nesting simpler ones. Then, we study the normal models with OBS, which can also be orthogonal models. We intend to study normal models with OBS (Orthogonal Block Structure), NOBS (Normal Orthogonal Block Structure), obtaining condition for having complete and suffcient statistics, having UMVUE, is unbiased estimators with minimal covariance matrices whatever the variance components. Lastly, see ([Pereira et al. (2014)]), we study the algebraic structure of orthogonal models, mixed models whose variance covariance matrices are all positive semi definite, linear combinations of known orthogonal pairwise orthogonal projection matrices, OPOPM, and whose least square estimators, LSE, of estimable vectors are best linear unbiased estimator, BLUE, whatever the variance components, so they are uniformly BLUE, UBLUE. From the results of the algebraic structure we will get explicit expressions for the LSE of these models.

Improving accuracy of inflation forecasts using macroeconomic information

This thesis examines the effects of macroeconomic factors on inflation level and volatility in the Euro Area to improve the accuracy of inflation forecasts with econometric modelling. Inflation aggregates for the EU as well as inflation levels of selected countries are analysed, and the difference between these inflation estimates and forecasts are documented. The research proposes alternative models depending on the focus and the scope of inflation forecasts. I find that models with a Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) in mean process have better explanatory power for inflation variance compared to the regular GARCH models. The significant coefficients are different in EU countries in comparison to the aggregate EU-wide forecast of inflation. The presence of more pronounced GARCH components in certain countries with more stressed economies indicates that inflation volatility in these countries are likely to occur as a result of the stressed economy. In addition, other economies in the Euro Area are found to exhibit a relatively stable variance of inflation over time. Therefore, when analysing EU inflation one have to take into consideration the large differences on country level and focus on those one by one.

A comparative review of risk based portfolio allocations: An empirical study throughout rising yields

Since the financial crisis, risk based portfolio allocations have gained a great deal in popularity. This increase in popularity is primarily due to the fact that they make no assumptions as to the expected return of the assets in the portfolio. These portfolios implicitly put risk management at the heart of asset allocation and thus their recent appeal. This paper will serve as a comparison of four well-known risk based portfolio allocation methods; minimum variance, maximum diversification, inverse volatility and equally weighted risk contribution. Empirical backtests will be performed throughout rising interest rate periods from 1953 to 2015. Additionally, I will compare these portfolios to more simple allocation methods, such as equally weighted and a 60/40 asset-allocation mix. This paper will help to answer the question if these portfolios can survive in a rising interest rate environment.

Monte Carlo valuation of worst-of auto-callable equity swaps

This thesis proposes a Monte Carlo valuation method for Worst-of Auto-callable equity swaps. The valuation of this type of swap usually requires complex numerical methods which are implemented in “black-box” valuation systems. The method proposed is an alternative benchmark tool that is relatively simple to implement and customize. The performance of the method was evaluated according to the variance and bias of the output and to the accuracy when compared to a leading valuation system in the market.

Os programas de educação física e o desempenho motor na ginástica: um estudo exploratório com alunos do 12º ano de escolaridade

Relatório de estágio de mestre em Ensino de Educação Física nos Ensinos Básico e Secundário

The reasonant influence of supply chain management practices on organizational performance

A single supply chain management (SCM) practice will have a certain impact on organizational performance(OP). However, since it is placed in a system that many other practices are conducted simultaneously, the practice itself will interact with other ones and have a greater impact on OP. This mechanism is named the "resonant" influence. The technique of Structural equation modelling (SEM) was used to test the above mechanism with data collected from Vietnamese garment enterprises. The tcst results showed that the model without mutual interaction among SCM practices could explain 42.8%, 26.3% and 34% variance of operational performance, customer satisfaction and financial performance. While the one containing this interaction is capable to explain 69.5%, 33.1% and 57.3%, respectively.

Fishing territoriality and diversity between the ethnic populations Ashaninka and Kaxinawá ,Breu river, Brazil/Peru

This study describes the diversity and the subsistence fishing territoriality of traditional populations of a village Ashaninka and two Kaxinawá living at the margins of Breu River (Brasil/Peru). In general, samplings in the dwellings were carried out late in the afternoon, as the fishermen arrived in the village. The data were analysed in an exploratory way through the index of pondered dominance (ID%), by analysis of variance and by a correspondence analysis in order to determine the associations of the fish species and the fishing spots between the villages of the Indigenous Reserve. The results of the analysis of variance demonstrated that differences exist between the fish diversities of the catches. However, post-hoc tests only detected differences in diversities between the hand fishhook and the other fishing gears (bow and arrow, castnets and rotenone tingui). Although the use of bow and arrow resulted in a low capture (Kg), this fishing strategy is associated with a high fishing diversity, in terms of number of species. These results demonstrate that there is no overlap in the frequency of the visits to the fishing spots between the Ashaninka and Kaxinawá populations. This pattern is the same found for the correspondence analysis for the fish species, which describes the relationship between the deep pools environments exploited by the fishermen Ashaninka and Kaxinawá of Mourão. These ethnic populations still continue to maintain a strong cultural and cosmological tradition, with their territories defined in an informal way of the upper Juruá area.

Exploring TM image texture and its relationships with biomass estimation in Rondônia, Brazilian Amazon

Many texture measures have been developed and used for improving land-cover classification accuracy, but rarely has research examined the role of textures in improving the performance of aboveground biomass estimations. The relationship between texture and biomass is poorly understood. This paper used Landsat Thematic Mapper (TM) data to explore relationships between TM image textures and aboveground biomass in Rondônia, Brazilian Amazon. Eight grey level co-occurrence matrix (GLCM) based texture measures (i.e., mean, variance, homogeneity, contrast, dissimilarity, entropy, second moment, and correlation), associated with seven different window sizes (5x5, 7x7, 9x9, 11x11, 15x15, 19x19, and 25x25), and five TM bands (TM 2, 3, 4, 5, and 7) were analyzed. Pearson's correlation coefficient was used to analyze texture and biomass relationships. This research indicates that most textures are weakly correlated with successional vegetation biomass, but some textures are significantly correlated with mature forest biomass. In contrast, TM spectral signatures are significantly correlated with successional vegetation biomass, but weakly correlated with mature forest biomass. Our findings imply that textures may be critical in improving mature forest biomass estimation, but relatively less important for successional vegetation biomass estimation.

Exposição à escrita e rendimento académico na língua portuguesa: um estudo com alunos do 5.º e 7.º ano

Dissertação de mestrado integrado em Psicologia

Satisfaction with Life Scale among adolescents and young adults in Portugal: extending evidence of construct validity

The paper presents three empirical studies designed to extend the test of the construct validity of the Satisfaction With Life Scale (SWLS) among Portuguese students. In the first study, the responses of 461 elementary and secondary education students were submitted to a principal component analysis. A solution of one single factor was chosen, accounting for 55.7 % of the total variance, with Cronbach alpha coefficient and inter-item correlation above .70 and .20, respectively. The second study used a sample of 317 undergraduate students and registered a similar factor solution for SWLS (/pq = 0.99), which accounted for 65.6 % of the total variance (Cronbach alpha .89 and inter-item correlation above .20). A test–retest analysis registered coefficients of .70 (T2) and .77 (T3) and no significant statistically differences between T2, T3 and T1. The third study used a sample of 107 foster care youths from elementary and secondary education. Confirmatory factor analysis results indicate adequate fit indexes for the one-factor solution (v2/df = 2.70, GFI = .96, CFI = .96), which showed convergent validity, reliability and homogeneity. In conclusion, there is psychometric evidence for the one-factor structure of the SWLS in Portugal.

Re-Design of ribbon for new applications

O conceito de qualidade de vida surge pela primeira vez em 1920, através do economista inglês Arthur Cecil Pigou, que utiliza este termo para descrever o impacto governamental sobre a vida das pessoas mais desfavorecidas. Com a instalação de uma era industrializada e com o fim da 2º Guerra Mundial, a sociedade mudou de paradigma e iniciou uma procura incessante de formas para melhorar a sua qualidade de vida. Este conceito desenvolve-se juntamente com o desenvolvimento do conceito de educação, saúde, habitação, transporte, trabalho e lazer, bem como indicadores do aumento da esperança de vida, a diminuição da mortalidade infantil e dos níveis de poluição. O avanço da tecnologia teve um papel fundamental para a evolução desses conceitos, bem como o Design na procura de soluções para aplicação dessas mesmas tecnologias. No caso concreto da indústria tèxtil, a tendência é o desenvolvimento de têxteis inteligentes envolvendo a engenharia electrónica no seu processo de conceptualização e de fabrico. A chamada tecnologia wearable abre novos horizontes para a criação de soluções inovadoras, abrindo novos nichos de mercado com elevado valor acrescentado. Existem atualmente vários produtos no mercado cuja funcionalidade e utilidade lhes conferiu um estatuto imutável ao longo dos anos, onde a evolução não avançou na tendência atual. Esse é o caso dos tecidos estreitos, cuja funcionalidade poderá adquirir novas capacidades e ser utilizada em diferentes componentes têxteis nas mais variadas áreas. Essas capacidades poderão ser acrescentadas pela incorporação de materiais com luminosidade (Led’s e L-Wire) nas suas estruturas. Neste estudo realizado o design de produtos com novas funcionalidades, adaptando as tecnologias até agora desenvolvidas em novas soluções e/ou novas recriações de produto.

On the Hill estimator: a comparison of methods

Extreme value theory (EVT) deals with the occurrence of extreme phenomena. The tail index is a very important parameter appearing in the estimation of the probability of rare events. Under a semiparametric framework, inference requires the choice of a number k of upper order statistics to be considered. This is the crux of the matter and there is no definite formula to do it, since a small k leads to high variance and large values of k tend to increase the bias. Several methodologies have emerged in literature, specially concerning the most popular Hill estimator (Hill, 1975). In this work we compare through simulation well-known procedures presented in Drees and Kaufmann (1998), Matthys and Beirlant (2000), Beirlant et al. (2002) and de Sousa and Michailidis (2004), with a heuristic scheme considered in Frahm et al. (2005) within the estimation of a different tail measure but with a similar context. We will see that the new method may be an interesting alternative.

Estudo de validação do Partner Interaction Questionnaire para fumantes e ex-fumantes

O presente artigo tem por objetivo validar uma versão adaptada do Partner Interaction Questionnaire (PIQ), instrumento que avalia o suporte para deixar de fumar dado pelo parceiro. É apresentada uma versão adaptada do PIQ para fumantes e abstinentes. Participaram no estudo 224 fumantes (52.7% do sexo feminino e 47.3% do sexo masculino; média de idades=28.6 anos; DP=8.69) e 169 ex-fumantes (68.6% do sexo masculino e 31.4% do sexo feminino; média de idades= 43.1 anos; DP=13.02). O instrumento apresentou boa fidelidade (alfa de Cronbach: 0.73) para a subescala positiva e para a subescala negativa (alfa de Cronbach: 0.77). O estudo de validade revelou a presença de dois fatores que explicam 43.36% da variância. O instrumento apresenta boa validade de construto, correlacionando-se positivamente com o ajustamento de casais e a qualidade de vida mental, e negativamente com a depressão. Esta versão adaptada do PIQ reuniu as condições necessárias para a sua aplicação em fumantes e ex-fumantes, podendo ser uma escala útil em programas de intervenção de cessação tabágica e de manutenção da abstinência.

Suporte social em cuidadores informais de dependentes de substâncias.

Os cuidadores informais têm de lidar com situações potencialmente causadoras de stress e Sobrecarga. Uma amostra com 120 cuidadores de Dependentes de Substâncias, residentes em Portugal, completou uma bateria de questionários que incluía o BDI (Beck, Ward, Mendelson, Mock, & Erbaugh, 1961; McIntyre & Araújo-Soares, 1999), BSI (Canavarro, 1999; Derogatis, 1975, 1993), CRA (Given, et al., 1992), WHOQOL – Bref (Fleck, 2000; Vaz Serra, et al., 2006) e o IESSS (Ensel & Woelfel, 1986; Faria, 1999). De seguida, os participantes foram distribuídos por três grupos (G1, G2 e G3), dependendo do tempo de abstinência do familiar a quem prestavam cuidados. O estudo explorou a relação entre diversas variáveis clínicas e psicológicas e o suporte social nesses cuidadores. Os resultados revelaram que a coabitação com o paciente, o distress psicológico, a qualidade de vida (relações sociais e psicológica) e a sobrecarga são preditores, do suporte social explicando 48% da variância observada. O modelo de mediação demonstrou que o suporte social é um mediador parcial da relação entre o distress e a sobrecarga, explicando 60% da variância observada. Deste modo, verifica-se a importância de intervir no suporte social no sentido de diminuir o impacto do distress e sobrecarga nos cuidadores.