Dynamic Performance Evaluation of Canadian Fixed-Income Funds using Markov Regime Switching Models

This thesis examines the performance of Canadian fixed-income mutual funds in the context of an unobservable market factor that affects mutual fund returns. We use various selection and timing models augmented with univariate and multivariate regime-switching structures. These models assume a joint distribution of an unobservable latent variable and fund returns. The fund sample comprises six Canadian value-weighted portfolios with different investing objectives from 1980 to 2011. These are the Canadian fixed-income funds, the Canadian inflation protected fixed-income funds, the Canadian long-term fixed-income funds, the Canadian money market funds, the Canadian short-term fixed-income funds and the high yield fixed-income funds. We find strong evidence that more than one state variable is necessary to explain the dynamics of the returns on Canadian fixed-income funds. For instance, Canadian fixed-income funds clearly show that there are two regimes that can be identified with a turning point during the mid-eighties. This structural break corresponds to an increase in the Canadian bond index from its low values in the early 1980s to its current high values. Other fixed-income funds results show latent state variables that mimic the behaviour of the general economic activity. Generally, we report that Canadian bond fund alphas are negative. In other words, fund managers do not add value through their selection abilities. We find evidence that Canadian fixed-income fund portfolio managers are successful market timers who shift portfolio weights between risky and riskless financial assets according to expected market conditions. Conversely, Canadian inflation protected funds, Canadian long-term fixed-income funds and Canadian money market funds have no market timing ability. We conclude that these managers generally do not have positive performance by actively managing their portfolios. We also report that the Canadian fixed-income fund portfolios perform asymmetrically under different economic regimes. In particular, these portfolio managers demonstrate poorer selection skills during recessions. Finally, we demonstrate that the multivariate regime-switching model is superior to univariate models given the dynamic market conditions and the correlation between fund portfolios.

ASSESSING THE PERFORMANCE OF EMERGING MARKET MUTUAL FUNDS IN CANADA

Emerging markets have received wide attention from investors around the globe because of their return potential and risk diversification. This research examines the selection and timing performance of Canadian mutual funds which invest in fixed-income and equity securities in emerging markets. We use (un)conditional two- and five-factor benchmark models that accommodate the dynamics of returns in emerging markets. We also adopt the cross-sectional bootstrap methodology to distinguish between ‘skill’ and ‘luck’ for individual funds. All the tests are conducted using a comprehensive data set of bond and equity emerging funds over the period of 1989-2011. The risk-adjusted measures of performance are estimated using the least squares method with the Newey-West adjustment for standard errors that are robust to conditional heteroskedasticity and autocorrelation. The performance statistics of the emerging funds before (after) management-related costs are insignificantly positive (significantly negative). They are sensitive to the chosen benchmark model and conditional information improves selection performance. The timing statistics are largely insignificant throughout the sample period and are not sensitive to the benchmark model. Evidence of timing and selecting abilities is obtained in a small number of funds which is not sensitive to the fees structure. We also find evidence that a majority of individual funds provide zero (very few provide positive) abnormal return before fees and a significantly negative return after fees. At the negative end of the tail of performance distribution, our resampling tests fail to reject the role of bad luck in the poor performance of funds and we conclude that most of them are merely ‘unlucky’.

One of Us or One of Them: A Generic Qualitative Study on the Efficacy of the Funds of Knowledge Strategy to Reduce Teacher Ethnocentrism

The purpose of this study was to examine whether English a Second Language (ESL) instructors’ ethnocentrism could be reduced using multicultural education (MCE) principles. There were three focus group discussions and a Likert scale questionnaire. The findings demonstrated that while ESL instructors were conscious of systemic barriers, media stereotypes, and bullying, more diversity training is required in order to improve teachers’ attitudes, responses, and instructional strategies regarding integration issues due to the increasing diversity of learners present in classrooms today. The findings of the study also demonstrated that MCE principles could be used to effectively raise the awareness of ESL instructors when dealing with integration and assimilation issues. When immigration, human rights, and multicultural policies were examined critically, ESL instructors were able to improve their cross-cultural skills in the classroom to be more inclusive towards diverse ethnic groups by giving learners greater opportunities to express themselves. As a result, learners’ knowledge, experience, and skills were validated in the classroom leading to a more meaningful learning experience.

Library Open Access publishing funds

Presentation on scope, successes and challenges facing library Open Access publishing funds delivered at the Canadian Association of Learned Journals meeting at Congress 2014, Brock University, St. Catharines, ON, Canada. Focus on Canada but also some info on the U.S.

The effect of asymetric preferences on the federal funds rate.

Rapport de recherche

‘Driving Forces of Investment Decisions in Mutual Funds’

Unfortunately, in India it is a fact that most of the investors are not interested in mutual funds. Those who are investing, they are investing only very small amounts. But what is important to be noted here is that when compared to other financial instruments, investments in mutual funds are safer and also yields more returns on the investment portfolio. Moreover as an investment avenue mutual fund is available for those investors who are not willing to take any exposure directly in the security market. It also helps such investors to build their wealth over a period of time. At the retail level, investors are unique and are highly heterogeneous, and the mutual fund schemes' selection will also differ depends on their expectations. Hence, investors’ expectation is a very important factor in this regard that needs to be analysed by all the investment houses. Hence, the factors that drive the investment decisions of individual investors to meet their expectations by investing money in mutual funds need an in-depth analysis. These driving forces include the preference of investors on mutual fund compared to various available avenues of financial investments, risk attitude of investors, influence of characteristics of instruments of mutual funds on investors, the investment specific attitudes of investors, and influence of qualities of fund management on investors. The success of any mutual fund, a popular means of investment, depends on how effectively an Asset Management Company has been able to understand the level of influence of these factors on the decision of investors to invest in mutual funds. For a substantial growth in the mutual fund market, there must be a high level precision in the design and marketing of the products of mutual funds taking into account these driving forces by the Asset Management Companies. Therefore, there is a need to conduct a detailed study on investments in mutual funds in this direction. A review of available literature also revealed that no detailed study on mutual funds has so far been attempted in this direction; hence the present study on Driving Forces of Investment Decisions in Mutual Funds is undertaken.

Hedge-Fonds und Finanzmarktinstabilität

In der Arbeit wird ein Ansatz für die destabilisierende Wirkung von adaptiven Hedge-Fonds Aktivitäten diskutiert und mit einer konkreten Implementation für den USD-JPY Carry Trade illustriert. Die sich dabei entwickelnde Marktdynamik wird systemtheoretisch durch den Prozess einer kollektiven Selbstorganisation erklärt. Die Neuerung des vorgestellten Ansatzes liegt darin, dass durch die Kombination von Fallstudien-/Simulations- und systemtheoretischer Methodik ein besserer Zugang zur Erklärung der Entstehung exzessiver Preisentwicklungen in Währungsmärkten gefunden werden konnte, als bisher mit traditionellen Ansätzen möglich war. In der Dissertation wird gezeigt, dass Hedge-Fonds nicht die alleinige Schuld für das Entstehen von Finanzmarktinstabilitäten trifft.