Este trabalho analisa o desempenho de fundos de investimento multimercados no mercado brasileiro, para o período de 2005 a 2010. Ele abrange as subcategorias definidas pela ANBIMA: Long and Short - Neutro, Long and Short - Direcional, Macro, Trading, Multiestratégia, Multigestor, Juros e Moedas, Estratégia Específica, Balanceados e Capital Protegido. O objetivo principal é estabelecer uma classificação de desempenho para cada uma destas dez subcategorias, utilizando-se como medida os seguintes índices: Treynor, Sharpe, Jensen, Modigliani, medida de desempenho específica para investidores e a medida de desempenho de mercado ajustado ao risco. O trabalho permite, ainda, analisar o prêmio por seletividade líquida dos fundos e a capacidade de market timing que são mensurados pela medida proposta por Treynor e Mazuy (1966). Com base nos resultados, é construída uma classificação hierárquica, de forma a salientar os fundos mais relevantes da indústria. Além disso, a pesquisa serve como ferramenta ao público de interesse, para a identificação e escolha das alternativas de investimento e das instituições gestoras de fundos multimercados. A amostra compreendeu os fundos multimercados de investimento abertos, não exclusivos e existentes no período entre 1° de janeiro de 2005 e 31 de dezembro de 2010. Os resultados indicam que, no período estudado, a maior parte dos administradores destes fundos foi capaz de bater o índice Bovespa, os quais fizeram com que a representatividade na indústria fosse ampliada. No período analisado, estes fundos enfrentaram satisfatoriamente a crise econômica mundial no ano de 2008 e a crise da dívida pública da Zona Euro de 2010, como consequência, os multimercados mostraram a robustez dos fundos no Brasil. No entanto, eles não apresentaram habilidades de timing nem de seletividade. / The general goal of this work is to analyze the performance of hedge funds investment in the Brazilian market for the period from 2005 to 2010. The subcategories of the hedge funds defined by ANBIMA (Brazilian Association of Financial and Capital) are covered according to ANBIMA (2004) norm updated by Resolution No. 44 (November, 24, 2010). These subcategories are: Long and Short - Neutral, Long and Short - Directional, Macro, Trading, Multistrategy, Multigestor, Interest and Currency, Specific Strategy, Balanced and Capital Protected. In this context, the main objective is to establish a performance rating for each of these ten subcategories through the following indexes measured: Treynor (1965), Sharpe (1966), Jensen (1968), Modigliani (1997), specific performance measure for investors (2004) and the performance measure of market risk-adjusted (2005). The work also allows analyzing the selectivity premium for liquid funds and the ability to market timing what are measured by the measure proposed by Treynor and Mazuy (1966). A hierarchical classification will be constructed based on the results of different measurements, in order to estimate the contribution of the more relevant industry funds. In addition, this research can be used by specific public as a tool to identify and choose the best alternative investment managers and institutional hedge funds. The sample comprises hedge funds investment divided into ten subcategories determined by ANBIMA (2010), referring to hedge funds open, non-exclusive and available in the period from 1 January 2005 to 31 December, 2010 in Brazil. The results indicate that, during the study period, most of the managers of these funds was able to overcome Bovespa index, verifying its importance in the industry through its stability in the face of global economic crisis in 2008 and public debt crisis of Euro zone since 2010, achieving reasonable returns with acceptable risk and good growth in their net equity. However, they do not have timing or selectivity skills.

Thesis (Ph. D.)--Northeastern University, 2008. / Title from title page (viewed June 25, 2009). Graduate School of Engineering, Dept. of Mechanical and Industrial Engineering. Includes bibliographical references (p. 158-160).

Este trabalho analisa o desempenho de fundos de investimento multimercados no mercado brasileiro, para o período de 2005 a 2010. Ele abrange as subcategorias definidas pela ANBIMA: Long and Short - Neutro, Long and Short - Direcional, Macro, Trading, Multiestratégia, Multigestor, Juros e Moedas, Estratégia Específica, Balanceados e Capital Protegido. O objetivo principal é estabelecer uma classificação de desempenho para cada uma destas dez subcategorias, utilizando-se como medida os seguintes índices: Treynor, Sharpe, Jensen, Modigliani, medida de desempenho específica para investidores e a medida de desempenho de mercado ajustado ao risco. O trabalho permite, ainda, analisar o prêmio por seletividade líquida dos fundos e a capacidade de market timing que são mensurados pela medida proposta por Treynor e Mazuy (1966). Com base nos resultados, é construída uma classificação hierárquica, de forma a salientar os fundos mais relevantes da indústria. Além disso, a pesquisa serve como ferramenta ao público de interesse, para a identificação e escolha das alternativas de investimento e das instituições gestoras de fundos multimercados. A amostra compreendeu os fundos multimercados de investimento abertos, não exclusivos e existentes no período entre 1° de janeiro de 2005 e 31 de dezembro de 2010. Os resultados indicam que, no período estudado, a maior parte dos administradores destes fundos foi capaz de bater o índice Bovespa, os quais fizeram com que a representatividade na indústria fosse ampliada. No período analisado, estes fundos enfrentaram satisfatoriamente a crise econômica mundial no ano de 2008 e a crise da dívida pública da Zona Euro de 2010, como consequência, os multimercados mostraram a robustez dos fundos no Brasil. No entanto, eles não apresentaram habilidades de timing nem de seletividade. / The general goal of this work is to analyze the performance of hedge funds investment in the Brazilian market for the period from 2005 to 2010. The subcategories of the hedge funds defined by ANBIMA (Brazilian Association of Financial and Capital) are covered according to ANBIMA (2004) norm updated by Resolution No. 44 (November, 24, 2010). These subcategories are: Long and Short - Neutral, Long and Short - Directional, Macro, Trading, Multistrategy, Multigestor, Interest and Currency, Specific Strategy, Balanced and Capital Protected. In this context, the main objective is to establish a performance rating for each of these ten subcategories through the following indexes measured: Treynor (1965), Sharpe (1966), Jensen (1968), Modigliani (1997), specific performance measure for investors (2004) and the performance measure of market risk-adjusted (2005). The work also allows analyzing the selectivity premium for liquid funds and the ability to market timing what are measured by the measure proposed by Treynor and Mazuy (1966). A hierarchical classification will be constructed based on the results of different measurements, in order to estimate the contribution of the more relevant industry funds. In addition, this research can be used by specific public as a tool to identify and choose the best alternative investment managers and institutional hedge funds. The sample comprises hedge funds investment divided into ten subcategories determined by ANBIMA (2010), referring to hedge funds open, non-exclusive and available in the period from 1 January 2005 to 31 December, 2010 in Brazil. The results indicate that, during the study period, most of the managers of these funds was able to overcome Bovespa index, verifying its importance in the industry through its stability in the face of global economic crisis in 2008 and public debt crisis of Euro zone since 2010, achieving reasonable returns with acceptable risk and good growth in their net equity. However, they do not have timing or selectivity skills.

There has been renewed significance for innovative energy conversion technologies, particularly the heat recovery-to-power technologies for sustainable power generation from renewable energies and waste heat. This is due to the increasing concern over high demand for electricity, energy shortage, global warming and thermal pollution. Among the innovative heat recovery-to- power technologies, the proposed trilateral flash cycle (TFC) is a promising option, which presents a great potential for development. Unlike the Rankine cycles, the TFC starts the working fluid expansion from the saturated liquid condition rather than the saturated, superheated or supercritical vapour phase, bypassing the isothermal boiling phase. The challenges associated with the need to establish system design basis and facilitate system configuration design-supporting analysis from proof-of-concept towards a market-ready TFC technology are significant. Thus, there is a great need for research to improve the understanding of its operation, behaviour and performance. The objective of this study is to develop and establish simulation tools of the TFCs for improving the understanding of their operation, physics of performance metrics and to evaluate novel system configurations for low-grade heat recovery-to-power generation. This study examined modelling and process simulation of the TFC engines in order to evaluate their performance metrics, predictions for guiding system design and parameters estimations. A detailed thermodynamic analysis, performance optimization and parametric analysis of the cycles were conducted, and their optimized performance metrics compared. These were aimed at evaluating the effects of the key parameters on system performances and to improve the understanding of the performance behaviour. Four distinct system configurations of the TFC, comprising the simple TFC, TFC with IHE, reheat TFC and TFC with feed fluid-heating (or regenerative TFC) were examined. Steady-state steady-flow models of the TFC power plants, corresponding to their thermodynamic processes were thermodynamically modelled and implemented using engineering equation solver (ESS). These models were used to determine the optimum synthesis/ design parameters of the cycles and to evaluate their performance metrics, at the subcritical operating conditions and design criteria. Thus, they can be valuable tools in the preliminary prototype system design of the power plants. The results depict that the thermal efficiencies of the simple TFC, TFC with IHE, reheat TFC and regenerative TFC employing n-pentane are 11.85 - 21.97%, 12.32 - 23.91%, 11.86 - 22.07% and 12.01 - 22.9% respectively over the cycle high temperature limit of 393 - 473 K. These suggest that the integration of an IHE, fluid-feed heating and reheating in optimized design of the TFC engine enhanced the heat exchange efficiencies and system performances. The effects of varying the expander inlet pressure at the cycle high temperature and expander isentropic efficiency on performance metrics of the cycles were significant. They have assisted in selecting the optimum-operating limits for the maximum performance metrics. The thermal efficiencies of all the cycles increased as the inlet pressures increased from 2 - 3 MPa and increased as the expander isentropic efficiencies increased from 50 - 100%, while their exergy efficiencies increased. This is due to increased net work outputs that suggest optimal value of pressure ratios between the expander inlets and their outlets. A comprehensive evaluation depicted that the TFC with IHE attained the best performance metrics among the cycles. This is followed by the regenerative TFC whereas the simple TFC and reheat TFC have the lowest at the same subcritical operating conditions. The results presented show that the performance metrics of the cycles depend on the system configuration, and the operating conditions of the cycles, heat source and heat sink. The results also illustrate how system configuration design and sizing might be altered for improved performance and experimental measurements for preliminary prototype development.

The convergence of multiservice heterogeneous networks and ever increasing Internet applications, like peer to peer networking and the increased number of users and services, demand a more efficient bandwidth allocation in optical networks. In this context, new architectures and protocols are needed in conjuction with cost effective quantitative methodologies in order to provide an insight into the performance aspects of the next and future generation Internets. This thesis reports an investigation, based on efficient simulation methodologies, in order to assess existing high performance algorithms and to propose new ones. The analysis of the traffic characteristics of an OC-192 link (9953.28 Mbps) is initially conducted, a requirement due to the discovery of self-similar long-range dependent properties in network traffic, and the suitability of the GE distribution for modelling interarrival times of bursty traffic in short time scales is presented. Consequently, using a heuristic approach, the self-similar properties of the GE/G/∞ are being presented, providing a method to generate self-similar traffic that takes into consideration burstiness in small time scales. A description of the state of the art in optical networking providing a deeper insight into the current technologies, protocols and architectures in the field, which creates the motivation for more research into the promising switching technique of 'Optical Burst Switching' (OBS). An investigation into the performance impact of various burst assembly strategies on an OBS edge node's mean buffer length is conducted. Realistic traffic characteristics are considered based on the analysis of the OC-192 backbone traffic traces. In addition the effect of burstiness in the small time scales on mean assembly time and burst size distribution is investigated. A new Dynamic OBS Offset Allocation Protocol is devised and favourable comparisons are carried out between the proposed OBS protocol and the Just Enough Time (JET) protocol, in terms of mean queue length, blocking and throughput. Finally the research focuses on simulation methodologies employed throughout the thesis using the Graphics Processing Unit (GPU) on a commercial NVidia GeForce 8800 GTX, which was initially designed for gaming computers. Parallel generators of Optical Bursts are implemented and simulated in 'Compute Unified Device Architecture' (CUDA) and compared with simulations run on general-purpose CPU proving the GPU to be a cost-effective platform which can significantly speed-up calculations in order to make simulations of more complex and demanding networks easier to develop.

This thesis analyzes fundamental estimation filters &ndash / Alpha-Beta Filter, Alpha-Beta-Gamma Filter, Constant Velocity (CV) Kalman Filter, Constant Acceleration (CA) Kalman Filter, Extended Kalman Filter, 2-model Interacting Multiple Model (IMM) Filter and 3-model IMM with respect to their resource requirements and performance. In resource requirement part, fundamental estimation filters are compared according to their CPU usage, memory needs and complexity. The best fundamental estimation filter which needs very low resources is the Alpha-Beta-Filter. In performance evaluation part of this thesis, performance metrics used are: Root-Mean-Square Error (RMSE), Average Euclidean Error (AEE), Geometric Average Error (GAE) and normalized form of these. The normalized form of performance metrics makes measure of error independent of range and the length of trajectory. Fundamental estimation filters and performance metrics are implemented in MATLAB. MONTE CARLO simulation method and 6 different air trajectories are used for testing. Test results show that performance of fundamental estimation filters varies according to trajectory and target dynamics used in constructing the filter. Consequently, filter performance is application-dependent. Therefore, before choosing an estimation filter, most probable target dynamics, hardware resources and acceptable error level should be investigated. An estimation filter which matches these requirements will be &lsquo / the best estimation filter&rsquo / .

The thesis deals with the design of multidimensional performance measurement system. The aim of the thesis is to propose a multidimensional performance measurement system for the company providing services in recruiting new employees. The performance measurement system is based on the Balanced Scorecard. The thesis is divided into two parts. The first one is about theoretical basis for design the multidimensional performance measurement system, the second one deals with the proposal of this system for the company PŘEDVÝBĚR.CZ s.r.o. Firstly, the enterprise is introduced from the point of view of basic information, provided services, organizational structure, target market segments, and competitors. Following this information, a SWOT analysis of the company is made. This is the basis for the company´s strategy. Then, a strategy map is created. It captures the key causal relationships in the company. After the strategy map, a performance measurement system is designed into four perspectives of the Balanced Scorecard.

Moderní pokrok v oblasti technologií pro vývoj dnešních softwarových aplikací umožnil vývojářům více se soustředit na vývoj funkčnosti aplikace na úkor sledování jejího výkonu a správy zdrojů. V důsledku toho se zvýšily požadavky na nástroje pro výkonnostní testování, které by měly poskytovat vývojářům jasný a srozumitelný přehled o stavu systému z hlediska jeho výkonu a umožnit rychlou interpretaci naměřených výsledků. Tato práce zkoumá typické výkonnostní problémy dnešních aplikací a navrhuje přístupy, pomocí kterých je možné tyto anomálie automaticky rozpoznat. Pomocí statistických metod, jako je regresní a korelační analýza, je provedena analýza dat naměřených během výkonnostního testování s cílem rozpoznat ve výsledcích odchylky od normálního chování a z nich identifikovat výkonnostní problémy. Výsledkem je report o celkovém stavu systému z hlediska jeho výkonu. Implementací regresní analýzy je možné detekovat výkonnostní problémy jako je například zhoršující se reakční čas odpovědi, nízká propustnost systému či odhalit únik paměti. Navrhovaný přístup byl implementován v podobě nové komponenty v open-source nástroji pro výkonnostní testování PerfCake. Vyvinutá komponenta je schopna detekovat a reportovat potenciální výkonnostní problémy a jejich pravděpodobnost.

The master´s thesis analyzes the performance of company Řetězárna Ltd. by using the Model START, which is based on the EFQM Excellence Model principle. The first part is devoted to the theoretical description of performance measurement. The second part of the master´s thesis deals with the application of these theoretical findings in practice, in the form of an analysis according to the Model START. In the last part of the master´s thesis, according to the results of the analytical part, are proposed new possible improvements to increase the performance of Řetězárna Ltd.

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