Conditioning information in mutual fund performance evaluation: Portuguese evidence

We estimate and compare the performance of Portuguese-based mutual funds that invest in the domestic market and in the European market using unconditional and conditional models of performance evaluation. Besides applying both partial and full conditional models, we use European information variables, instead of the most common local ones, and consider stochastically detrended conditional variables in order to avoid spurious regressions. The results suggest that mutual fund managers are not able to outperform the market, presenting negative or neutral performance. The incorporation of conditioning information in performance evaluation models is supported by our findings, as it improves the explanatory power of the models and there is evidence of both time-varying betas and alphas related to the public information variables. It is also shown that the number of lags to be used in the stochastic detrending procedure is a critical choice, as it will impact the significance of the conditioning information. In addition, we observe a distance effect, since managers who invest locally seem to outperform those who invest in the European market. However, after controlling for public information, this effect is slightly reduced. Furthermore, the results suggest that survivorship bias has a small impact on performance estimates.

Measuring fund performance using multi-factor models: evidence for the Portuguese market

This paper examines the performance of Portuguese equity funds investing in the domestic and in the European Union market, using several unconditional and conditional multi-factor models. In terms of overall performance, we find that National funds are neutral performers, while European Union funds under-perform the market significantly. These results do not seem to be a consequence of management fees. Overall, our findings are supportive of the robustness of conditional multi-factor models. In fact, Portuguese equity funds seem to be relatively more exposed to smallcaps and more value-oriented. Also, they present strong evidence of time-varying betas and, in the case of the European Union funds, of time-varying alphas too. Finally, in terms of market timing, our tests suggest that mutual fund managers in our sample do not exhibit any market timing abilities. Nevertheless, we find some evidence of timevarying conditional market timing abilities but only at the individual fund level.

Style and performance of international socially responsible funds in Europe

This paper analyses the performance and investment styles of internationally oriented Socially Responsible Investment (SRI)funds, domiciled in eight European markets, in comparison with characteristics-matched conventional funds. To the best of our knowledge, this is the first multi-country study, focused on international SRI funds (investing in Global and in European equities), to combine the matched-pairs approach with the use of robust conditional multi-factor performance evaluation models, which allow for both time-varying alphas and betas and also control for home biases and spurious regression biases.In general, the results show that differences in the performance of international SRI funds and their conventional peers are not statistically significant. Regarding investment styles, SRI and conventional funds exhibit similar factor exposures in most cases. In addition,conventional benchmarks present a higher explaining power of SRI fund returns than SRI benchmarks. Our results also show significant differences in the investment styles of SRI funds according to whether they use “best-in-class” screening strategies or not. When compared to SRI funds that employ simple negative and/or positive screens, SRI “best-in-class” funds present significantly lower exposures to small caps and momentum strategies and significantly higher exposures to local stocks.

Estimativa do recurso associado a um parque eólico e solução ótima de integração do parque numa rede elétrica do sudeste brasileiro

Um dos objetivos da presente dissertação consiste em estimar o recurso eólico num determinado local com base em dados de velocidade e direção de vento de outro local. Para esta estimativa, é utilizado um método que faz a extrapolação dos dados de vento do local onde as medições de velocidade e direção de vento foram realizadas para o local onde se quer estimar o recurso eólico, permitindo assim fazer uma avaliação da potência disponível que se pode obter para uma dada configuração de turbinas eólicas e tendo em consideração fatores topográficos tais como a rugosidade, orografia da superfície e também obstáculos em redor. Este método foi aplicado usando a ferramenta computacional, Wind Atlas Analysis and Aplication Program (WAsP), de modo a avaliar a potência média de um parque eólico na região de Osório, Brasil. O outro objetivo desta dissertação consiste no estudo e definição da melhor ligação do referido parque eólico à rede elétrica local. Para o efeito e após modelização da rede elétrica foram identificados os reforços de rede necessários na zona que irá receber a nova potência do parque eólico. No estudo em causa foram avaliadas quatro alternativas de ligação do parque eólico à rede. A escolha da melhor alternativa de ligação foi efetuada tendo por base uma análise de relação entre benefício de perdas da rede e custos de reforço da rede local.

Epidemiological methods for research with drug misusers: review of methods for studying prevalence and morbidity

Epidemiological studies of drug misusers have until recently relied on two main forms of sampling: probability and convenience. The former has been used when the aim was simply to estimate the prevalence of the condition and the latter when in depth studies of the characteristics, profiles and behaviour of drug users were required, but each method has its limitations. Probability samples become impracticable when the prevalence of the condition is very low, less than 0.5% for example, or when the condition being studied is a clandestine activity such as illicit drug use. When stratified random samples are used, it may be difficult to obtain a truly representative sample, depending on the quality of the information used to develop the stratification strategy. The main limitation of studies using convenience samples is that the results cannot be generalised to the whole population of drug users due to selection bias and a lack of information concerning the sampling frame. New methods have been developed which aim to overcome some of these difficulties, for example, social network analysis, snowball sampling, capture-recapture techniques, privileged access interviewer method and contact tracing. All these methods have been applied to the study of drug misuse. The various methods are described and examples of their use given, drawn from both the Brazilian and international drug misuse literature.

Projecto de fundações e estrutura de um edifício destinado a pavilhão gimnodesportivo

Este trabalho tem como objectivo a elaboração do projecto de estruturas de um edifício destinado a pavilhão gimnodesportivo, caracterizando as suas diferentes fases de execução, desde a etapa inicial de concepção até à fase final de dimensionamento. Trata-se de um projecto complexo de uma estrutura com elementos estruturais em betão armado e pré-esforçado, e com muros de contenção. Na concepção do edifício foram utilizados os critérios gerais de dimensionamento presentes na regulamentação Europeia (Eurocódigos), uma vez que estes elementos representam o futuro da regulamentação de estruturas em termos Europeus, vindo substituir a nível nacional o “Regulamento de Segurança e Acções para Estruturas de Betão Armado (RSA)” e o “Regulamento para Estruturas de Betão Armado e Pré- Esforçado (REBAP)”. A adopção das normas europeias representam assim um elevado desafio devido ao aumento da complexidade na concepção e dimensionamento de estruturas que estes regulamentos traduzem, principalmente o Eurocódigo 8, que define de um modo mais detalhado e complexo a análise sísmica, relativamente à regulamentação actual em vigor. Devido à elevada complexidade que os projectos de estruturas apresentam, utilizam-se actualmente ferramentas de cálculo automático. No dimensionamento deste edifício foi utilizado um programa tridimensional de elementos finitos para a modelação da estrutura. Pretende-se com a escolha deste projecto e dos métodos de dimensionamento presentes nos Eurocódigos, o desenvolvimento de um trabalho detalhado e correcto, permitindo assim adquirir conhecimentos importantes relativamente às futuras normas, e pôr em prática as competências e os conhecimentos obtidos ao longo curso.

Lipid content of frozen fish: comparison of different extraction methods and variability during freezing storage

In this work, a microwave-assisted extraction (MAE) methodology was compared with several conventional extraction methods (Soxhlet, Bligh & Dyer, modified Bligh & Dyer, Folch, modified Folch, Hara & Radin, Roese-Gottlieb) for quantification of total lipid content of three fish species: horse mackerel (Trachurus trachurus), chub mackerel (Scomber japonicus), and sardine (Sardina pilchardus). The influence of species, extraction method and frozen storage time (varying from fresh to 9 months of freezing) on total lipid content was analysed in detail. The efficiencies of methods MAE, Bligh & Dyer, Folch, modified Folch and Hara & Radin were the highest and although they were not statistically different, differences existed in terms of variability, with MAE showing the highest repeatability (CV = 0.034). Roese-Gottlieb, Soxhlet, and modified Bligh & Dyer methods were very poor in terms of efficiency as well as repeatability (CV between 0.13 and 0.18).

Development of polyaniline microarray electrodes for cadmium analysis

Disposable screen-printed electrodes (SPCE) were modified using a cosmetic product to partially block the electrode surface in order to obtain a microelectrode array. The microarrays formed were electropolymerized with aniline. Scanning electron microscopy was used to evaluate the modified and polymerized electrode surface. Electrochemical characteristics of the constructed sensor for cadmium analysis were evaluated by cyclic and square-wave voltammetry. Optimized stripping procedure in which the preconcentration of cadmium was achieved by depositing at –1.20 V (vs. Ag/AgCl) resulted in a well defined anodic peak at approximately –0.7 V at pH 4.6. The achieved limit of detection was 4 × 10−9 mol dm−3. Spray modified and polymerized microarray electrodes were successfully applied to quantify cadmium in fish sample digests.

Análise dinâmica de mercados financeiros

Na sociedade actual, é cada vez mais difícil desassociar o ambiente financeiro do ambiente social, tendo o primeiro influência directa ou indirecta em praticamente todos os aspectos da sociedade. A esta influência está associada a vasta quantidade de informação e serviços financeiros que possibilitam uma melhor compreensão do ambiente socioeconómico actual, permitindo também o estudo das evoluções e das dinâmicas dos mercados financeiros. Este trabalho refere-se ao estudo e comparação de algumas ferramentas disponíveis para a análise dinâmica e tentativa de previsão de alguns índices de bolsa escolhidos. Tais métodos a estudar são modelos clássicos como o Autoregressivo, Média Móvel e o Modelo Misto apresentado por Box e Jenkins. São também propostos dois métodos que tentam distanciar-se dos métodos tradicionais por apenas considerarem para a sua previsão os momentos semelhantes ao momento actual que se tenta prever, ao invés de considerar todo o espectro dos dados disponíveis, tal como os métodos clássicos referidos anteriormente.

Avaliação da intervenção socioeducativa sobre a violência na escola

A investigação desenvolvida no âmbito do projeto Estratégias de Intervenção socioeducativa em contextos sociais complexos enquadra-se na avaliação das políticas sociais e educativas, em particular no que diz respeito à segurança escolar em contextos marcados pela diversidade e complexidade social e cultural. O processo de avaliação centrou-se na análise das estratégias de intervenção socioeducativa relativas ao problema da violência na escola, desenvolvidas em três escolas de um concelho da Área Metropolitana de Lisboa. Partindo do pressuposto que a violência na escola é um fenómeno multideterminado e multifacetado, a pesquisa centrou-se numa abordagem que enquadra as esferas de intervenção/ação das instituições formais e dos agentes sociais enquanto mecanismos que estruturam e regulam as concepções e práticas de violência na escola. A recolha e sistematização de informação centrou-se, por um lado, nas estratégias de intervenção que têm vindo a ser desenvolvidas localmente pelas escolas, e, por outro, nas perspetivas dos diferentes intervenientes, considerando-se os alunos, osprofessores, as direções escolares e representantes das entidades e instituições locais. Metodologicamente, privilegiou-se o cruzamento de métodos de carácter extensivo e intensivo, combinando técnicas como a Observação Direta, a realização de Entrevistas, de Grupos Focais, de Questionários, e ainda, a Análise de Redes e a Análise Documental. Numa fase posterior, os diversos intervenientes participaram na discussão e análise dos resultados previamente recolhidos, e na validação conjunta de uma metodologia de intervenção que define um conjunto de estratégias gerais de combate às situações de violência na escola e nos territórios educativos. Esta metodologia é o principal produto do projeto e resulta de um processo de avaliação dinâmico e participado. A contribuição que se apresenta no VI Encontro do CIED ocupa-se dos procedimentos de avaliação desenvolvidos no âmbito deste projeto.

Detecção de sectores cruzados e optimização de cobertura em redes LTE

Trabalho Final de Mestrado para obtenção do grau de Mestre em Engenharia de Electrónica e Telecomunicações

Replication management in reliable real-time systems

Building reliable real-time applications on top of commercial off-the-shelf (COTS) components is not a straightforward task. Thus, it is essential to provide a simple and transparent programming model, in order to abstract programmers from the low-level implementation details of distribution and replication. However, the recent trend for incorporating pre-emptive multitasking applications in reliable real-time systems inherently increases its complexity. It is therefore important to provide a transparent programming model, enabling pre-emptive multitasking applications to be implemented without resorting to simultaneously dealing with both system requirements and distribution and replication issues. The distributed embedded architecture using COTS components (DEAR-COTS) architecture has been previously proposed as an architecture to support real-time and reliable distributed computer-controlled systems (DCCS) using COTS components. Within the DEAR-COTS architecture, the hard real-time subsystem provides a framework for the development of reliable real-time applications, which are the core of DCCS applications. This paper presents the proposed framework, and demonstrates how it can be used to support the transparent replication of software components.

Replica management in real-time Ada 95 applications

In this paper, we present some of the fault tolerance management mechanisms being implemented in the Multi-μ architecture, namely its support for replica non-determinism. In this architecture, fault tolerance is achieved by node active replication, with software based replica management and fault tolerance transparent algorithms. A software layer implemented between the application and the real-time kernel, the Fault Tolerance Manager (FTManager), is the responsible for the transparent incorporation of the fault tolerance mechanisms The active replication model can be implemented either imposing replica determinism or keeping replica consistency at critical points, by means of interactive agreement mechanisms. One of the Multi-μ architecture goals is to identify such critical points, relieving the underlying system from performing the interactive agreement in every Ada dispatching point.

The roman conquered by delay: reducing the number of preemptions using sleep states

Sleep-states are emerging as a first-class design choice in energy minimization. A side effect of this is that the release behavior of the system is affected and subsequently the preemption relations between tasks. In a first step we have investigated how the behavior in terms of number of preemptions of tasks in the system is changed at runtime, using an existing procrastination approach, which utilizes sleepstates for energy savings purposes. Our solution resulted in substantial savings of preemptions and we expect from even higher yields for alternative energy saving algorithms. This work is intended to form the base of future research, which aims to bound the number of preemptions at analysis time and subsequently how this may be employed in the analysis to reduced the amount of system utilization, which is reserved to account for the preemption delay.

Iterative refinement approach for QOS-Aware service configuration

In heterogeneous environments, diversity of resources among the devices may affect their ability to perform services with specific QoS constraints, and drive peers to group themselves in a coalition for cooperative service execution. The dynamic selection of peers should be influenced by user’s QoS requirements as well as local computation availability, tailoring provided service to user’s specific needs. However, complex dynamic real-time scenarios may prevent the possibility of computing optimal service configurations before execution. An iterative refinement approach with the ability to trade off deliberation time for the quality of the solution is proposed. We state the importance of quickly finding a good initial solution and propose heuristic evaluation functions that optimise the rate at which the quality of the current solution improves as the algorithms have more time to run.