comprehensive performance analysis and logging

... studies, we employ full and split samples to examine the correlations, and compute risk and performance measures for various CTA strategies. We rank the returns of the S&P 500 and MSCI Global Indices ... similarities between CTAs and hedge funds and hedge fund of funds, including the management and incentive fee structures, high ini- tial investment requirements, and the use of leverage and derivatives. ... the best months, and partition the sample into 10 deciles. For each decile, we compute the relationship between the CTA indices and the equity indices and compare their risk and return characteristics.

Ngày tải lên: 03/07/2014, 23:20

... annual returns of the CSFB MF. Figures 21.2 and 21.3 show the corresponding results for Nasdaq and Lehman Aggregate Bond Index respectively. These historical performance comparative results indicate ... test whether its first and second moments and its auto- correlations are invariant in time. For comparison purposes, we carry out all the tests that appeared in Gregoriou and Rouah (2003a) for ... track record and assets under management requirements, as we have included all the CTAs that report their performance in the database from the Center for International Securities and Derivatives

Ngày tải lên: 03/07/2014, 23:20

... Stapledon, and M Gold (2003) Corporate Governance and Investment Fiduciaries Rozelle, New South Wales: Lawbook Company Amenc, N., and L Martellini... (1999) “CTA Survivor and Nonsurvivor: An Analysis ... W., and J P Townsend (2002) Performance. .. the Performance of Alternative Investments: CTAs, Hedge Funds, and Funds-of-Funds.” Working Paper, Case Western Reserve University, Cleveland, ... correlation coefficients for performance, 349–351 and dissolution frequencies, 74–77 and performance of funds, 67–74 Decision-making units (DMUs), performance of, 95–97 Design of commodity

Ngày tải lên: 03/07/2014, 23:20

... from public funds, private funds, and CTAs and applies four distinct methods to evaluate performance persistence 1 2 PERFORMANCE A small amount of performance persistence was found ... allocation increases, the standard deviation drops... systematic and 52 discretionary traders, which split up in 16 9 diversified, 11 1 financial only, 9 financial and metals, and 11 nonfinancial ... a skewness of −0. 81 and a kurtosis of 3.42 The Stark 300 index has fundamentally different skewness and kurtosis properties than the MLM index 9 Managed Futures and Hedge Funds TABLE

Ngày tải lên: 03/07/2014, 23:20

... CDA6530: Performance Models of Computers and Networks Using Matlab for Performance Analysis and Simulation 2 Objective  Learn a useful tool for mathematical analysis and simulation ... eigenvalues (D) and eigenvectors (V) of matrix A, so that A*V = V*D 10 Random Number Generators  Rand(m,n): matrix with each entry ~ U(0,1)  You can use this for the programming project 1  Randn(m,n): ... (Matrix multiplication) >> E = A .* B (Element wise multiplication, A and B same size) Division: Left Division and Right Division >> F = A . / B (Element wise division) >> F

Ngày tải lên: 24/10/2014, 23:31

... Graupman and all our ssas-insiders friends. I would also like to give a special thanks to T.K. Anand, Marius Dumitru, Cristian Petculescu, Jeffrey Wang, Ashvini Sharma, and Akshai Mirchandani ... the logical query plan and it makes use of different operators. From the optimization point of view, it is the most important part of the trace to read and understand and, as you will see, it ... knowledge of the xVelocity engine internals and the ability to correctly read and interpret a DAX query plan. In this paper we focus on very basic optimizations and we will guide you through the following

Ngày tải lên: 07/08/2015, 11:33

... focuses on the performance analysis of block level storage protocol iSCSI over wireless network and the design of new iSCSI architecture to improve the wireless storage performance and network utilization ... G Li, H Su and A George, ? ?Performance analysis of HP AlphaServer ES80 vs SAN-based clusters,” IEEE Proceedings of the 2003 IEEE International conference on Performance, Computing and Communications, ... Agrawala, “Capacity and Variability Analysis of the IEEE 802.11 MAC Protocol,” CS-TR-4475 and UMIACS-TR-2003-45, University of Maryland in College Park, 2003 [70] A Acharya, A Misra and S Bansal, “Mobile

Ngày tải lên: 28/11/2015, 13:33

... PERFORMANCE ANALYSIS AND TROUBLESHOOTING OF PROCESS CONTROL LOOPS ROHIT RAMACHANDRAN NATIONAL UNIVERSITY OF SINGAPORE 2005 PERFORMANCE ANALYSIS AND TROUBLESHOOTING OF PROCESS ... 1967 168 Balchen, J.G and Strand, S.L State-Space Predictive Control, Chemical Engineering Science, 47, pp 787-807 1992 Bendat, J.S and Piersol, A.G Random Data: Analysis and Measurement Procedures ... T.S and Gabr, M.M A Test for Linearity and Stationarity of Time Series, Journal of Time Series Analysis 1, 1, pp 145-158 1980 58 Rao, T.S and Gabr, M.M An Introduction to Bispectral Analysis and

Ngày tải lên: 28/11/2015, 13:34

... enhancement of quality and capacity of mobile communication networks, enhancing coverage with high quality and high bandwidth access - To complete and expand the system of providing broadband access services, ... smart promotions; iv understanding and improving customer experiences; v improving customer service; vi combating fraud; vii forecasting network capacity and demand; and so on According to McKinsey ... Title：Factors driving the 4G-related service sales performance Analysis and Implication to the MobiFonePages：58 University：Lunghwa University of Science and Technology Graduate School：Department of

Ngày tải lên: 17/03/2021, 17:25

... G13 variants, G19 and G19 h all contained an R & R consensus sequence, and they exhibited significant sequence simi- larity (G19 and G13, 58% identity; G19 h and G13, 48%; G19 and G19 h, 64%). A ... identified and shown to encode a 135-residue protein with a 16-residue acid sig- nal peptide. Two cDNA variants were isolated and designated basic QH4A (Pro36 and His83) and QH4B (Leu36 and Tyr8) ... of HMM and LMM chitin-binding proteins Basic G13 and G19, acidic DE25 and DE29 and S37 were shown by RT-PCR to be expressed predominantly in epidermis (Fig. 7). In contrast, basic Y6, Y7 and QH4

Ngày tải lên: 07/03/2014, 21:20

... parks and recreation facilities and services. It is intended to demonstrate that great cities have great parks and recreation systems and that these cities understand and value what parks and ... community and its future to make the system appealing for residents and businesses 2 to want to invest in it, locate and stay in the Grand Rapids community. The Public Works Director and Parks and ... protecting and supporting the public’s health and safety o The service protects and maintains valuable Department assets and infrastructure o The City’s residents, businesses customers and partners

Ngày tải lên: 23/03/2014, 02:20

... meet their obligations to creditors and counterparties, and to continue operations, even under adverse economic conditions The Comprehensive Capital Analysis and Review (CCAR) is a supervisory ... more to develop and submit capital plans to the Federal [fotnote] See Board of Governors of the Federal Reserve System, "Comprehensive Capital Analysis and Review: Objectives and Overview" (March ... stress and baseline scenarios that each firm developed independently (the "BHC Stress" and "BHC Baseline" scenarios, respectively) See Federal Reserve System, "Comprehensive Capital Analysis and...

Ngày tải lên: 06/03/2014, 09:20

... P(s) and C(s) represent the plant and controller, respectively, and the nonlinear functions f (·) and g(·) describe, respectively, the actuator and sensor The signals r, d, e, u, v, y, and ym ... linearization, and actual system performance For this LPNI system, we construct its Jacobian and stochastic linearizations and 2 calculate the variances, σy and σy , of the outputs y(t) and y(t) as ... coloring filter with the 3dB bandwidth r , the plant, and the controller, respectively, f (u) is the actuator nonlinearity, and wr and r are standard white noise and the reference signal Since,...

Ngày tải lên: 23/03/2014, 15:20

... successfully received and the channel is idle terarrival time, and the throughput efficiency OPNET simulation results validate the accuracy of our performance analysis Moreover, a performance comparison ... PERFORMANCE ANALYSIS Our performance analysis, as already shown in the previous section, includes the effect of packet retry limits and The full proof as well as additional details for the derived analysis ... for the other two considered performance metrics: packet drop time and drop probability TUNING OF PROTOCOL PARAMETERS AND PERFORMANCE RESULTS There are a variety of performance requirements according...

Ngày tải lên: 23/06/2014, 00:20

... 2003; Kat and Miffre 2002; Kazemi and Schneeweis 2003) and/ or models including nonlinear risk factors (see Agarwal and Naïk 2004; Fung and Hsieh 1997a, 2002b, 2003; Schneeweis, Spurgin, and Georgiev ... −13.49 4cf Favre and Galeano (2002b) for more details on the Modified VaR and its application to hedge funds 23 Benchmarking the Performance of CTAs percent for the S&P 500 and −3.31 percent ... riskadjusted performance on a stand-alone basis MANAGED FUTURES IN THE ASSET ALLOCATION PROCESS: RETURN ENHANCERS, RISK REDUCERS, OR BOTH? On a stand-alone basis, CTAs offer better risk-adjusted performance...

Ngày tải lên: 03/07/2014, 23:20

... There is no strong difference in performance persistence among CTAs, public funds, and private funds PERFORMANCE PERSISTENCE AND CTA CHARACTERISTICS Because some performance persistence was found, ... listed as both short and medium term, the observation was classed as short term If both medium and long term or all 41 Performance of Managed Futures TABLE 3.7 Mean and Standard Deviation of CTA ... fund in period one and period two, and then ranked The funds were divided into groups consist- 36 PERFORMANCE ing of the top-third mean returns, middle-third mean returns, and bottomthird mean...

Ngày tải lên: 03/07/2014, 23:20

... including a bull and a bear market period Further, we report the methodology used to analyze CTA performance and performance persistence before reporting the results of the performance analysis in ... persistence analysis and analyzes the exposure of the deciles constructed on previous year’s performance to the individual strategies Then we report the complete analysis of monthly and yearly ... in performance Sirri and Tufano (1998) and Zheng (1999) stressed the importance of persistence analysis in mutual funds They document large inflows of money into last year’s best performers and...

Ngày tải lên: 03/07/2014, 23:20

... returns Both Prakash and Bear (1986) and Stephens and Proffitt (1991) also develop higher-moment performance measurements Fishburn (1977), Sortino and van der Meer (1991), Marmer and Ng (1993), Merriken ... the DEA model Results are presented and the final section concludes RISK MEASURES AND PERFORMANCE EVALUATION A multitude of investment fund performance models and metrics exist in part because ... we discuss expanded performance models that account for time-varying risk, discuss concerns over assuming mean-variance sufficiency, and consider multifactor models of style and performance attribution...

Ngày tải lên: 03/07/2014, 23:20

... 106 PERFORMANCE characteristics with those of CTAs Subsequently, Schneeweis and Spurgin (1997), Brown, Goetzmann, and Park (2001), and Edwards and Caglayan (2001) performed ... variables SMB, HML, and HDMZD as in equation 6.1 and variables RUS, RUS2, and RUS3 corresponding to the Russell 3000 index to the power of 1, 2, and respectively The second candidates are financial ... utility-based performance measures than the Sharpe ratio and to a more proper use of stochastic discount factor–based performance measures, such as Jensen’s alpha, the Treynor ratio, or the Treynor and...

Ngày tải lên: 03/07/2014, 23:20

... Sexton, Silkman, and Hogan (1986) and later in Oral, Ketani, and Lang (1991), Doyle and Green (1994), and Thanassoulis, Boussofiane, and Dyson (1995) It establishes the ranking procedure and computes ... sectors, and the use of such analysis often has resulted in technical and efficiency improvements DEA also has been used recently to evaluate the performance of mutual 136 PERFORMANCE funds and determine ... most efficient funds (see, e.g., McMullen and Strong 1997; Bowlin 1998; Morey and Morey 1999; Sedzro and Sardano 2000; Basso and Funari 2001) Barr, Seiford, and Siems (1994), however, suggest that...

Ngày tải lên: 03/07/2014, 23:20