Estilo e agrupamento de fundos : um estudo aplicado aos fundos multimercados brasileiros

Uma classificação adequada de fundos é importante para que o investidor possa organizar a informação disponível de tal modo que possa tomar decisões de aplicação de seus recursos de forma eficiente. No Brasil, existem dois sistemas de classificação amplamente utilizados, o CVM e o ANBIMA, porem ambos possuem categorias com fronteiras subjetivas, isto é, possuem um elevado grau de arbitrariedade na definição de suas categorias, este fato prejudica uma alocação eficiente por parte do investidor. Fundos multimercado são fundos que possuem política de investimento que envolvem vários fatores de risco sem concentração em nenhum fator especial, diferentemente das outras classes de fundos do mercado brasileiro. Sob este aspecto, uma categorização adequada dos fundos multimercados traria inúmeros benefícios tais como a redução do custo de análise, a maior facilidade no processo de tomada de decisão de investimento, uma diversificação mais eficiente, clareza na comparação de desempenho e o melhor entendimento dos riscos incorridos dentre outros benefícios. O presente trabalho tem como objetivo, utilizando-se da já consagrada técnica de análise de estilo de Sharpe (1992), decompor a exposição de cada fundo em seus principais fatores de risco, após isto, utilizar-se da análise de cluster para agrupar os fundos de forma coerente a suas exposições, tentando assim fazer um classificação mais eficiente; isto seria um contraponto a classificação mais utilizada pelo mercado brasileiro, a classificação Anbima, que se baseia no regulamento do fundo, isto é, no que o fundo “pode” investir, e não no que o fundo efetivamente investe.

Multi-objective evolutionary particle swarm optimization in the assessment of the impact of distributed generation

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Extensive Comparisons of Optical Fast-OFDM and Conventional Optical OFDM for Local and Access Networks

A performance comparison between a recently proposed novel technique known as fast orthogonal frequency-division multiplexing (FOFDM) and conventional orthogonal frequency-division multiplexing (OFDM) is undertaken over unamplified, intensity-modulated, and direct-detected directly modulated laser-based optical signals. Key transceiver parameters, such as the maximum achievable transmission capacity and the digital-to-analog/analog-to-digital converter (DAC/ADC) effects are explored thoroughly. It is shown that, similarly to conventional OFDM, the least complex and bandwidth efficient FOFDM can support up to similar to 20 Gb/s over 500 m worst-case multimode fiber (MMF) links having 3 dB effective bandwidths of similar to 200 MHz X km. For compensation of the DAC/ADC roll-off, a power-loading (PL) algorithm is adopted, leading to an FOFDM system improvement of similar to 4 dB. FOFDM and conventional OFDM give similar optimum DAC/ADC parameters over 500 m worst-case MMF, while over 50 km single-mode fiber a maximum deviation of only similar to 1 dB in clipping ratio is observed due to the imperfect chromatic dispersion compensation caused by one-tap equalizers.

Desempenho de escolares do segundo ano do ensino fundamental em provas de compreensão de leitura: elaboração de procedimento avaliativo

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Estratégias de controle de ordem fracionária aplicadas ao amortecimento de oscilações eletromecânicas em sistemas elétricos de potência

Neste trabalho é proposta uma nova metodologia de projeto de estabilizadores de sistemas de potência baseada em teoria de sistemas de ordem fracionária (ESP-OF). A estratégia é baseada em uma generalização do projeto de compensadores do tipo rede avançoatraso (lead-lag) para o domínio de funções de transferência de ordem fracionária. Uma nova variável de projeto, a qual define a ordem da dinâmica fracionária do controlador, é sintonizada para se obter um compromisso entre um bom desempenho no amortecimento do modo eletromecânico dominante e uma robustez ampliada do ESP-OF. O desempenho do ESP-OF foi avaliado experimentalmente, em um sistema de potência em escala reduzida, localizado no Laboratório de Sistemas de Potência da Universidade Federal do Pará. A referida planta de teste apresenta uma estrutura típica do tipo gerador síncrono conectado a um barramento infinito e exibe um modo dominante de oscilação eletromecânica, de amortecimento extremamente reduzido, cujo valor da frequência natural é em torno de 1,2 Hz. O ESP-OF foi então projetado para ampliar o amortecimento relativo desse modo alvo, para toda a faixa de operação admissível. Para fins de implementação prática, primeiramente foram realizados testes experimentais para a identificação de um modelo nominal da planta, sob a forma de uma função de transferência pulsada, para uso na fase de projeto. O modelo obtido experimentalmente foi então validado e posteriormente utilizado tanto para o projeto do ESP-OF quanto para o projeto de um ESP convencional (utilizado para fins de comparação de desempenho). As leis de controle amortecedor do ESP-OF foram calculadas, convertidas para a forma de equações a diferenças e, subsequentemente, embarcadas em sistema digital baseado em microcontrolador DSPIC. Diversos testes de resposta ao impulso foram realizadas sob diferentes condições operacionais. As respectivas respostas dinâmicas dos sinais de saída da planta (desvio de potencia ativa) e do esforço de controle foram registradas para fins de análise. Os resultados experimentais mostraram que o ESP fracionário apresentou um desemprenho dinâmico e robustez similar em comparação com o desempenho obtido por um ESP convencional, para toda a faixa de operação investigada.

Analysis of a new cross flow heat exchanger flow arrangement - Extension to several rows

The present paper presents a theoretical analysis of a cross flow heat exchanger with a new flow arrangement comprehending several tube rows. The thermal performance of the proposed flow arrangement is compared with the thermal performance of a typical counter cross flow arrangement that is used in chemical, refrigeration, automotive and air conditioning industries. The thermal performance comparison has been performed in terms of the following parameters: heat exchanger effectiveness and efficiency, dimensionless entropy generation, entransy dissipation number, and dimensionless local temperature differences. It is also shown that the uniformity of the temperature difference field leads to a higher thermal performance of the heat exchanger. In the present case this is accomplished thorough a different organization of the in-tube fluid circuits in the heat exchanger. The relation between the recently introduced "entransy dissipation number" and the conventional thermal effectiveness has been obtained in terms of the "number of transfer units". A case study has been solved to quantitatively to obtain the temperature difference distribution over two rows units involving the proposed arrangement and the counter cross flow one. It has been shown that the proposed arrangement presents better thermal performance regardless the comparison parameter. (C) 2012 Elsevier Masson SAS. All rights reserved.

Virtual sensing technology applied to a swarm of autonomous robots.

This thesis proposes a novel technology in the field of swarm robotics that allows a swarm of robots to sense a virtual environment through virtual sensors. Virtual sensing is a desirable and helpful technology in swarm robotics research activity, because it allows the researchers to efficiently and quickly perform experiments otherwise more expensive and time consuming, or even impossible. In particular, we envision two useful applications for virtual sensing technology. On the one hand, it is possible to prototype and foresee the effects of a new sensor on a robot swarm, before producing it. On the other hand, thanks to this technology it is possible to study the behaviour of robots operating in environments that are not easily reproducible inside a lab for safety reasons or just because physically infeasible. The use of virtual sensing technology for sensor prototyping aims to foresee the behaviour of the swarm enhanced with new or more powerful sensors, without producing the hardware. Sensor prototyping can be used to tune a new sensor or perform performance comparison tests between alternative types of sensors. This kind of prototyping experiments can be performed through the presented tool, that allows to rapidly develop and test software virtual sensors of different typologies and quality, emulating the behaviour of several hardware real sensors. By investigating on which sensors is better to invest, a researcher can minimize the sensors’ production cost while achieving a given swarm performance. Through augmented reality, it is possible to test the performance of the swarm in a desired virtual environment that cannot be set into the lab for physical, logistic or economical reasons. The virtual environment is sensed by the robots through properly designed virtual sensors. Virtual sensing technology allows a researcher to quickly carry out real robots experiment in challenging scenarios without all the required hardware and environment.

LTE uplink scheduling - flow level analysis

Long Term Evolution (LTE) is a cellular technology foreseen to extend the capacity and improve the performance of current 3G cellular networks. A key mechanism in the LTE traffic handling is the packet scheduler, which is in charge of allocating resources to active flows in both the frequency and time dimension. In this paper we present a performance comparison of three distinct scheduling schemes for LTE uplink with main focus on the impact of flow-level dynamics resulting from the random user behaviour. We apply a combined analytical/simulation approach which enables fast evaluation of flow-level performance measures. The results show that by considering flow-level dynamics we are able to observe performance trends that would otherwise stay hidden if only packet-level analysis is performed.

COOPER-framework:a unified process for non-parametric projects

Practitioners assess performance of entities in increasingly large and complicated datasets. If non-parametric models, such as Data Envelopment Analysis, were ever considered as simple push-button technologies, this is impossible when many variables are available or when data have to be compiled from several sources. This paper introduces by the 'COOPER-framework' a comprehensive model for carrying out non-parametric projects. The framework consists of six interrelated phases: Concepts and objectives, On structuring data, Operational models, Performance comparison model, Evaluation, and Result and deployment. Each of the phases describes some necessary steps a researcher should examine for a well defined and repeatable analysis. The COOPER-framework provides for the novice analyst guidance, structure and advice for a sound non-parametric analysis. The more experienced analyst benefits from a check list such that important issues are not forgotten. In addition, by the use of a standardized framework non-parametric assessments will be more reliable, more repeatable, more manageable, faster and less costly. © 2010 Elsevier B.V. All rights reserved.

Comparing dissimilarity measures for content-based image retrieval

Dissimilarity measurement plays a crucial role in content-based image retrieval, where data objects and queries are represented as vectors in high-dimensional content feature spaces. Given the large number of dissimilarity measures that exist in many fields, a crucial research question arises: Is there a dependency, if yes, what is the dependency, of a dissimilarity measure’s retrieval performance, on different feature spaces? In this paper, we summarize fourteen core dissimilarity measures and classify them into three categories. A systematic performance comparison is carried out to test the effectiveness of these dissimilarity measures with six different feature spaces and some of their combinations on the Corel image collection. From our experimental results, we have drawn a number of observations and insights on dissimilarity measurement in content-based image retrieval, which will lay a foundation for developing more effective image search technologies.

Throughput-based rate adaptation algorithm for IEEE 802.11 vehicle networks

A key problem with IEEE 802.11 technology is adaptation of the transmission rates to the changing channel conditions, which is more challenging in vehicular networks. Although rate adaptation problem has been extensively studied for static residential and enterprise network scenarios, there is little work dedicated to the IEEE 802.11 rate adaptation in vehicular networks. Here, the authors are motivated to study the IEEE 802.11 rate adaptation problem in infrastructure-based vehicular networks. First of all, the performances of several existing rate adaptation algorithms under vehicle network scenarios, which have been widely used for static network scenarios, are evaluated. Then, a new rate adaptation algorithm is proposed to improve the network performance. In the new rate adaptation algorithm, the technique of sampling candidate transmission modes is used, and the effective throughput associated with a transmission mode is the metric used to choose among the possible transmission modes. The proposed algorithm is compared to several existing rate adaptation algorithms by simulations, which shows significant performance improvement under various system and channel configurations. An ideal signal-to-noise ratio (SNR)-based rate adaptation algorithm in which accurate channel SNR is assumed to be always available is also implemented for benchmark performance comparison.

The drivers of perception: Identifying the driving factors of resident perceptions of municipal service quality in cities of South Florida

The idea of comparative performance assessment is crucial. Recent study findings show that in South Florida the use by most municipalities of external benchmarks for performance comparison is virtually non-existent. On one level this study sought to identify the factors impacting resident perceptions of municipal service quality. On a different and more practical level, this study sought to identify a core set of measures that could serve for multi jurisdictional comparisons of performance. ^ This study empirically tested three groups of hypotheses. Data were collected via custom designed survey instruments from multiple jurisdictions, representing diverse socioeconomic backgrounds, and across two counties. A second layer of analysis was conducted on municipal budget documents for the presence of performance measures. A third layer of analysis was conducted via face-to-face interviews with residents at the point of service delivery. Research questions were analyzed using descriptive and inferential statistic methodologies. ^ Results of survey data yielded inconsistent findings. In absolute aggregated terms, the use of sociological determinants to guide inquiry failed to yield conclusive answers regarding the factors impacting resident perceptions of municipal service quality. At disaggregated community levels, however, definite differences emerged but these had weak predictive ability. More useful were the findings of performance measures reporting via municipal budget documents and analyses of interviews with residents at the point of service delivery. Regardless of socio-economic profile, neighborhood characteristics, level of civic engagement or type of community, the same aspects were important to citizens when making assessments of service quality. For parks and recreation, respondents most frequently cited maintenance, facility amenities, and program offerings as important while for garbage collection services timely and consistent service delivery mattered most. Surprisingly municipalities participating in the study track performance data on items indicated as important by citizen assessments but regular feed back from residents or reporting to the same is rarely done. ^ The implications of these findings suggest that endeavors, such as the one undertaken in this study, can assist in determining a core set of measures for cross jurisdictional comparisons of municipal service quality, improving municipal delivery of services, and to communicate with the public. ^

Towards the prediction of mutations in genomic sequences

Bio-systems are inherently complex information processing systems. Furthermore, physiological complexities of biological systems limit the formation of a hypothesis in terms of behavior and the ability to test hypothesis. More importantly the identification and classification of mutation in patients are centric topics in today's cancer research. Next generation sequencing (NGS) technologies can provide genome-wide coverage at a single nucleotide resolution and at reasonable speed and cost. The unprecedented molecular characterization provided by NGS offers the potential for an individualized approach to treatment. These advances in cancer genomics have enabled scientists to interrogate cancer-specific genomic variants and compare them with the normal variants in the same patient. Analysis of this data provides a catalog of somatic variants, present in tumor genome but not in the normal tissue DNA. In this dissertation, we present a new computational framework to the problem of predicting the number of mutations on a chromosome for a certain patient, which is a fundamental problem in clinical and research fields. We begin this dissertation with the development of a framework system that is capable of utilizing published data from a longitudinal study of patients with acute myeloid leukemia (AML), who's DNA from both normal as well as malignant tissues was subjected to NGS analysis at various points in time. By processing the sequencing data at the time of cancer diagnosis using the components of our framework, we tested it by predicting the genomic regions to be mutated at the time of relapse and, later, by comparing our results with the actual regions that showed mutations (discovered at relapse time). We demonstrate that this coupling of the algorithm pipeline can drastically improve the predictive abilities of searching a reliable molecular signature. Arguably, the most important result of our research is its superior performance to other methods like Radial Basis Function Network, Sequential Minimal Optimization, and Gaussian Process. In the final part of this dissertation, we present a detailed significance, stability and statistical analysis of our model. A performance comparison of the results are presented. This work clearly lays a good foundation for future research for other types of cancer.^

Broadband Dual-Polarized Antenna with High Port Isolation and Polarization Purity

This paper presents a novel high symmetry balun which significantly improves the performance of dipole-based dual-polarized antennas. The new balun structure provides enhanced differential capability leading to high performance in terms of port-to-port isolation and far-field cross polarization. An example antenna using this balun is proposed. The simulated results show 53.5% of fractional bandwidth within the band 1.71−2.96 GHz (VSWR<1.5) and port-to-port isolation >59 dB. The radiation characteristic shows around 9 dBi of gain and far-field cross polarization <−48 dBi over the entire bandwidth. The detailed balun functioning and full antenna measurements will be presented during the conference. Performance comparison with similar structures will be also provided.

Robust CDM and pole placement PID based thrust controllers for multirotor motor-rotor simplified model

Positioning and orientation precision of a multirotor aerial robot can be increased by using additional control loops for each of the driving units. As a result, one can eliminate lack of balance between true thrust forces. A control performance comparison of two proposed thrust controllers, namely robust controller designed with coefficient diagram method (CDM) and proportional, integral and derivative (PID) controller tuned with pole-placement law, is presented in the paper. The research has been conducted with respect to model/plant matching uncertainty and with the use of antiwindup compensators for a simple motor-rotor model approximated by first-order inertia plus delay. From the obtained simulation results one concludes that appropriate choice of AWC compensator improves tracking performance and increases robustness against parametric uncertainty.