This thesis explores the implementation of three quantitative investment strategies – the dividend yield strategy, the EV/EBITDA strategy, and the momentum strategy – within the Swedish stock market using Equal-Weighted Portfolios (EWP) and Value-Weighted Portfolios(VWP). The analysis is based on backtesting during the periods 2009 − 2022, 2001 − 2022, and 1992 − 2022, for each strategy respectively. The research aims to assess the risk-adjusted returns of these strategies and compare the performance of the EWP and the VWP. The results indicate that all the tested quantitative investment strategies beat the market. Moreover, the VWP achieve higher annual returns compared to the EWP. However, when considering risk-adjusted returns, the EWP generally demonstrate superior performance. Specifically, the EWP incorporating momentum monthly rebalancing exhibit the largest risk-adjusted returns.

Thesis (MCurr)--Stellenbosch University, 2014. / ENGLISH ABSTRACT: The support for portfolio-based learning as an authentic assessment method is increasing globally. However, there are no guidelines in South Africa for a clinical practice assessment portfolio (CPAP) for primary clinical practitioner training. The study set out to develop a CPAP for the Clinical Nursing Science, Health Assessment Treatment and Care programme. An exploratory, descriptive design was used that developed over three phases. In phase one, a CPAP was developed based on an extensive review of the literature. The CPAP was validated in phase two by experts and finally, student primary clinical practitioners assessed the possible contribution of the developed CPAP to their learning in phase three. The study sample for the three phases comprised of selected relevant studies published on portfolio development (n=15); experts in the field of primary health care and education in the Cape Metropole (n=11); and student primary clinical practitioners of one higher education institution in the Cape Metropole (n=45). Structured questionnaires were used for data collection from expert and student participants after they reviewed the CPAP. Ethical approval was obtained from the Health Research Ethics Committee of the Faculty of Health Sciences (N09/09/233), Stellenbosch University. Permission to conduct the research was obtained from the higher education institution. The content validity index for items (I-CVI) was used to determine the degree to which expert participants agreed with the content of the CPAP. Results identified an I-CVI of between 0.91 and 1.00, indicating that the contents and technical format of the CPAP constitute a suitable learning tool for student practitioners. Experts suggested minor revisions regarding the clarity of items, and those were included in the final CPAP. The data analysis of the student’s responses showed that adequate guidance was provided to complete the activities in the CPAP and that the CPAP would have a positive contribution to learning. Portfolio-based learning is an important teaching and learning strategy in the Clinical Nursing Science, Health Assessment Treatment and Care programme, whereby students can demonstrate their acquired clinical competencies. Recommendations include the use of a competency framework and consensus amongst stakeholders when developing the contents of a portfolio. / AFRIKAANSE OPSOMMING: Die ondersteuning vir portefeulje-gebaseerde leer as ’n outentieke assesseringsmetode is besig om globaal te verhoog. In Suid-Afrika is daar egter nie riglyne vir ’n kliniese praktyk-assesseringsportefeulje (KPAP) vir primêre kliniese praktisynsopleiding nie. Hierdie studie het ten doel om ’n kliniese praktyk-assesseringsportefeulje vir die Kliniese Verpleegkunde-, Gesondheidsassesseringbehandeling- en Sorgprogram te ontwikkel. ’n Verkennende, beskrywende ontwerp wat oor drie fases ontwikkel het, is gebruik. In fase een is ’n KPAP ontwikkel gebaseer op ’n ekstensiewe literatuurstudie. Die geldigheid van die KPAP is in fase twee deur kundiges verklaar en in fase drie is die moontlike bydrae van die KPAP tot die leerproses deur primêre kliniese praktisynstudente geassesseer. Die studiegroep vir die drie fases het bestaan uit geselekteerde relevante studies wat handel oor portefeulje ontwikkeling (n=15), kenners op die gebied van primêre gesondheidsorg en opvoeding in die Kaapse Metropool (n=11); en primêre gesondheidsorg studentpraktisyns van een van die tersiêre instansies in die Kaapse Metropool (n=45). Gestruktureerde vraelyste is gebruik vir data-insameling van kenners en studentedeelnemers nadat hulle die KPAP ondersoek het. Etiese toestemming is verkry van die Gesondheidsnavorsingsetiekkomitee van die Fakulteit Gesondheidswetenskappe (N09/09/233), Stellenbosch Universiteit. Toestemming om die navorsing uit te voer, is van die tersiêre instansie verkry. Die inhoud van die item-geldigheidsindeks is gebruik om die mate waarmee kenner-deelnemers met die inhoud van die KPAP saamstem, te bepaal. Resultate van die inhoud van die item-geldigheidsindeks van tussen 0.91 en 1.00 is geïdentifiseer, wat ’n aanduiding is dat die inhoud en tegniese formaat van die KPAP ’n toepaslike leerinstrument vir studentpraktisyns is. Kenners het klein veranderings vir die duidelikheid van items voorgestel en dit is ingesluit in die finale KPAP. Die data-analise van die studente se antwoorde het aangedui dat genoegsame leiding voorsien was om die aktiwiteite in die KPAP te voltooi en dat die bydrae van die KPAP positief is tot die bevordering van die leerproses. Portefeulje-gebaseerde leer is ’n belangrike onderrig- en leerinstrument vir die Kliniese Verpleegkunde-, Gesondheidsassesseringbehandeling- en Sorgprogram, waardeur studente kan demonstreer dat hulle die kliniese bevoegdhede bekom het. Aanbevelings sluit in die gebruik van ’n bevoegdheidsraamwerk en konsensus onder belanghebbendes wanneer die inhoud van ’n portefeulje ontwikkel word.

published_or_final_version / Education / Master / Master of Education

An economic tracking portfolio (ETP) is a portfolio of assets whose returns track an economic variable. This paper applies the ETP approach to predicting the future values of macroeconomic variables in Taiwan financial market at different time horizons. We construct the tracking portfolios whose returns have the maximum correlations with the target variables of any base assets. From the analysis, the ETP approach is able to track the changes in the market expectations about future economic variables. Particularly, the returns of the “new economy” stocks and the financial stocks have good explanatory power for the future values of target variables. Furthermore, our results also support for the use of industry portfolios in out-of-sample forecasting.

This study follows the progress of 11 elementary students who exhibited similar language-arts deficiencies and were treated with traditional and non-traditional language-arts remediation methods. Non-traditional methods were exclusively Discipline-Based Art Education (DBAE) lessons that required students to observe, talk about, and write about art images using a DBAE framework. Portfolios maintained by the students during one complete school year included writings and art production. Writings were marked using a color-coding system developed for the research project and designed to track growth in art cognition. Interviews for affective measure and the Test of Non-Verbal Intelligence, Edition II were administered as pre- and post-tests. Evidence indicated art understanding improved as cognition in language arts improved. Change in attitudes toward art and artists demonstrated a slight positive change. No significant difference was detected in non-verbal intelligence.

The purpose of this study was to investigate the use electronic portfolios (e-portfolios) in private tertiary institutions in South Africa to enhance the learning experience of scholars. The study adopted an interpretive ontological stance and subjective epistemological stance as the researcher sought to understand how-portfolios can be used to enhance learning. The focus was on understanding people in a social setting though employing field research to collect and interpret data. Action research, in this case employing a pre-test, intervention and post-test limited to a single cycle, was selected as strategy. The empirical part of the study was conducted during the first semester of 2014 (January to May) at a private tertiary university in Gauteng, South Africa. A pre-survey has been conducted before implementation and a post-survey after the implementation of e-portfolios to test the attitude of the participants, where after the results were compared. The pre-test was administered before creating e-portfolios and the post-test towards the end of the semester after developing and maintaining e-portfolios. Questionnaires were used to obtain information such as the attitude of the respondents on learning, assessment, reflection, collaboration and interpersonal communication through the use of e-portfolios. Questionnaires served as the main data collection tool throughout the survey. The sample was selected from first and second year students in the Information Technology faculty, with the sample size n=48. The researcher further collected data through observing subjects and conducting group interviews that were recorded to augment the questionnaire approach and verify the results through triangulation. The questionnaires were distributed to the participants who were given thirty minutes to complete. Responses were made using a five-point Likert scale and open-ended questions. The response rate was outstanding as all 48 subjects participated in the study. The researcher used a mixed-methods approach for this study; SPSS 22.0 was used for quantitative data analysis and thematic analysis was employed for the qualitative data. Reliability for quantitative data was determined using Cronbach’s alpha. Regression analysis was done as well as correlations to determine relationships and associations. To further cement relationships, t-tests and Spearman’s correlation coefficient were employed. Trustworthiness for qualitative data and justification for credibility, dependability, transferability and confirmability were discussed. vi The results revealed that e-portfolios could be used effectively at private tertiary institutions to enhance the learning experience of scholars as evidenced by the significant statistics obtained in this study.

The global move towards sustainability and sustainability reporting, the rise and influence of the Global Reporting Initiative (GRI) and triple bottom line reporting, together with the launch of the King III Report, and revision of the Johannesburg Stock Exchange (JSE) listing requirements in South Africa, both requiring the preparation of an integrated report, have resulted in a uniquely altered information environment, in which investors are required to make investment decisions. The value-relevance of this new sustainability information is however to date untested in a South African context. The introduction of the Social Responsible Investment (SRI) Index in South Africa provides a unique opportunity to evaluate the value-relevance of such new reporting. This research report tests the GRI, using the SRI Index as a proxy, to determine whether this accepted reporting standard is recognized as being valuerelevant, from both a short term and long term perspective, on the JSE over the period 2004 to 2012. The short term value-relevance is tested using cumulative average abnormal returns in an event study methodology, while the long term effect was investigated using a 4-tiered portfolio construction technique, which uses the SRI Index category rankings to define the portfolios. The results indicate that true to the long term nature of sustainability information, in the short term the quality of sustainability and sustainability reporting has no effect on the market value of a company. However, in the long term, a positive effect was found where the SRI listed portfolio, and the SRI best performer portfolio, significantly outperformed the non-listed portfolio on a consistent basis as measured using relative performance. The SRI persistent best performer portfolio however underperformed all other portfolios. This is however due to an overwhelming lack of diversification due to a low number of shares in the portfolio, as well as the portfolio being severely overweight in resource shares, which tend to be the best reporters, due to their large environmental impact. The research report therefore concludes that investing in a higher quality SRI/GRI sustainability portfolio, as opposed to a lower quality portfolio, resulted in excess returns to the investors over the period 2004-2012.

Uma previsão de receitas precisa é muito importante para o administrador público na elaboração do orçamento anual, e para isso há a necessidade de se encontrar um modelo, econométrico ou não, que possibilite essa previsão com qualidade. Este trabalho apresenta uma forma inovadora para realizar a combinação de modelos de previsão. Seu objetivo foi criar uma metodologia para a obtenção de pesos para a combinação de modelos baseada no método de otimização de uma carteira de investimentos proposto por Markowitz. Para o estudo, foram utilizadas as estimações de três a cinco previsões individuais de um a cinco passos à frente, com os modelos Box-Jenkins SARIMA (Autorregressivo Integrado de Médias Móveis Sazonal), PLSR (Regressão com Mínimos Quadrados Parciais) e o Método não econométrico de Indicadores, como é denominado internamente na Receita Federal. A utilização da fronteira eficiente de Markowitz, que apresenta os pontos de mínima variância para cada retorno, é semelhante à minimização da variância da combinação, proposta no artigo seminal de Bates e Granger. O risco (desvio padrão), na teoria de portfólio de Markowitz, pode ser definido como a dispersão dos resultados e pode ser decomposto em risco sistemático e risco não sistemático. À medida que a quantidade de pesos das previsões a combinar cresce, a parte não sistemática do risco tende a zero, ficando o risco total representado somente pela parte sistemática. Por outro lado, observou-se que a curva de erros correspondente à fronteira eficiente apresenta quebras estruturais à medida que a quantidade de pesos não-zero varia. Selecionando-se trechos em que a quantidade de pesos é maior, minimiza-se a parte não sistemática, minimizando o erro. Dentro desses trechos selecionados, buscaram-se os pontos de menor erro, sendo a combinação encontrada chamada de Mínimo Erro Prim. O Mínimo Erro Seg foi o resultado da combinação com o menor erro, incluindo-se os trechos com a segunda maior quantidade de componentes diferentes de zero na combinação. Embora, na média, os pontos de Mínimo Erro Seg apresentem menor valor de erro que o Mínimo Erro Prim, como o segundo apresenta menor desvio padrão médio, optou-se pelo Mínimo Erro Prim para o ponto escolhido como a proposta de combinação deste estudo. Esse ponto apresenta resultados sistematicamente melhores que o da simples média, utilizada geralmente como benchmark. / A precise revenue forecast is very important for public administrators to draft an annual report. That is why there is a need to find a model, whether econometric or not, that makes it possible to have a quality forecast. This study proposes an innovative approach to executing a combination of forecasting models. The goal was to create a methodology to obtain weights in order to combine models based on the investment portfolio optimization method proposed by Markowitz. The estimates of three to five individual forecasts from one to five steps ahead were used for the study, with the Box-Jenkins SARIMA (Seasonal Autoregressive Integrated Moving Average) model, the PLSR (Partial Least Squares Regression) model and the non-econometric Method of Indicators, as it is called internally at the Brazilian Federal Revenue Service. The use of Markowitz\'s efficient frontier, which shows the points of minimum variance for each return, is similar to the minimization of the combination variance proposed in the seminal paper by Bates and Granger. The risk (standard deviation) in the Markowitz portfolio theory could be defined as a dispersion of results and could be broken down into systemic risk and non-systemic risk. Insofar as the amount of weights for the forecasts to be combined grows, the non-systemic part of the risks tends to move towards zero, with total risk only being represented by the systemic part. On the other hand, the error curve was found to correspond to the efficient frontier, showing structural breaks insofar as the amount of non-zero weights varies. By selecting parts where there is a greater amount of weights, the non-systemic part is minimized, thus minimizing error. Within these selected parts, the points of least error were sought, with the combination found being called the Prim Minimum Error. The Sec Minimum Error was the result of the combination with the lowest error, including the parts with the second highest amount of components different from zero in the combination. Although on average the Sec Minimum Error points show a lower error value than the Prim Minimum Error, since the second shows a lower standard deviation, the Prim Minimum Error was chosen as the point selected as the combination proposal of this study. This point shows systematically better results than the simple average generally used as a benchmark.

Este trabalho tem como objetivo descrever a implantação de um modelo para obtenção de sucesso na execução de obras oriundas do Planejamento de Distribuição, de forma a obter os benefícios integrais que as mesmas devem trazer tanto ao sistema elétrico como também à vida técnica e financeira da Distribuidora. Além de dotar as Distribuidoras de um mecanismo que possa atuar na otimização de seus custos, necessidade fundamental antes da publicação da Medida Provisória nº 579 de 11 de setembro de 2012 que dispõem sobre - Concessões de Geração, Transmissão e Distribuição de energia elétrica, sobre a redução de encargos setoriais, sobre a modicidade tarifária - que pressionam ainda mais as Distribuidoras na busca de soluções inovadoras e de impacto para buscar o equilíbrio de caixa. Considerando que o modelo atual de contratação de obras leva as Distribuidoras a não conseguirem executar toda a programação recomendada pelo Planejamento em função da falta de materiais ou por problemas vinculados à contratação das obras, não são obtidos os benefícios que a Distribuidora teria com a sua execução, pelo contrário, os atrasos causam prejuízos, atendimento deficiente, degradação da rede, etc. Desta forma o processo de gestão proposto é utilizado em um conjunto de obras determinadas pelo Planejamento, incluindo a definição dos materiais para a execução das mesmas. Os pontos importantes deste processo seriam a estrutura de contratação utilizando financiamento, além do repasse da responsabilidade de boa parte da cadeia de valor da gestão dos materiais para as empresas executoras dos serviços de obras, possibilitando a Distribuidora obter vantagem na alavancagem financeira, reduções de custos em sua estrutura, além de redução das perdas de não execução do Plano de Obras definido pelo Planejamento. Este processo de gestão busca mecanismos que possam alavancar a execução dos projetos que utilizam recursos de curto prazo já que a maioria dos projetos dura em média de 6 a 12 meses, salientando-se que ao se buscar novos mecanismos, as empresas distribuidoras conseguem reduzir seu desembolso de curto prazo, reduzir custos de estoques, contratação de pessoal, impactando tanto nos custos fixos como nos variáveis dentro da organização, e com isso obtendo equilíbrio no resultado do seu EBITDA (earnings before interest, taxes, depreciation and amortization). Principalmente após a publicação da MP Nº 579, ficou evidente, a necessidade de se buscar opções adequadas para atender o mercado de distribuição que tem dentro das novas premissas regulatórias, a imperiosa restrição de custos sejam eles de natureza operacionais ou econômicos. No modelo proposto foram utilizados dados e informações da modelagem executada em uma empresa de Distribuição do setor elétrico Brasileiro. Foi possível através desta modelagem, mostrar os benefícios tanto para os Stakeholders, as partes interessadas, empregados, investidores, como para os Shareholders, acionistas. É importante saber que a estruturação deste modelo proposto requer a utilização de ampla gama de instrumentos financeiros, comerciais, legais e técnicas para mitigação de riscos e um rigoroso controle dos fluxos financeiros para os empreendimentos necessários pela Empresa. / This research aims to describe the implementation of a model to succeed in the execution of works derived from Distribution Planning, in order to achieve the full benefits they could bring both to the electrical system as well as to the technical and financial life of the power distribution company (PDC); these benefits are defined, a priori, by the planning area. Besides providing the PDCs with a mechanism that can act to optimize their costs, a fundamental need before the publication of Provisional Measure No. 579 of September 11th, 2012, which provides about Generation Concessions, power Transmission and Distribution, the reduction of sector charges, the tariff affordability, Pushing PDCs further towards finding innovative solutions and impact to seek cash balance. Considering that the current model of contracting works leads the PDCs to fail to perform the whole schedule recommended by Planning due to the lack of materials or problems related to contracting works, the PDCs would not obtain the benefits expected with their execution; delays thus cause losses, inadequate service, network degradation, etc. Thus, the proposed management process is used in a number of works determined by Planning, including the definition of materials for their execution. The important points of this process would be the hiring structure using financing, along with the transfer of the responsibility for a large share of the materials management value chain for companies executing the works, allowing PDCs to take advantage from financial leverage, cost reductions in their structure, and reducing losses for not executing the work plan defined by Planning. This management process seeks mechanisms that can leverage the execution of projects that use short-term funds since most projects last about 6 to 12 months, noting that when seeking new mechanisms, distribution companies can reduce their short-term disbursement, reduce inventory costs, staffing, impacting both the fixed and the variable costs within the organization, thereby achieving balance in its EBITDA yield (earnings before interest, taxes, depreciation and amortization). The publication of MP Nº 579 made even more evident the need to find suitable options to meet the distribution market that has the overriding cost constraint, be they operational or economic, within the new regulatory premises. In the proposed model, we used data and information of the modeling performed in a Brazilian power distribution company. This modeling allowed us to show the benefits for stakeholders, employees, investors, and for the shareholders. It is important to know that the structure of this proposed model requires the use of a wide range of financial, commercial, legal and technical instruments to mitigate risks and a strict control of financial flows for the developments needed by the company.

Thesis advisor: Christopher Baum / Thesis advisor: Fabio Ghironi / Do events in the natural gas market cause repercussions in the crude oil market? In light of the enormous impact that price movements in the two largest U.S. energy markets have on the economy, it is important to understand not just the individual markets but also how they relate to one another. On this front, the literature presents a puzzle: while economic theory suggests that the oil and gas markets are interlinked through a bi-directional causal relationship, empirical research has concluded that the oil market affects the gas market but not vice versa. The first chapter of this dissertation improves on the previous studies in two ways: by using high-frequency, intraday oil and gas futures prices and by analyzing the effect of specific news announcements from the weekly oil and gas inventory reports. The results dispel the notion of one-way causality and provide support for the theory. The reaction of the futures volatility and returns is asymmetric, although this asymmetry does not follow the "good news" vs. "bad news" pattern from stock and bond markets; the response depends on whether the shock is driven by oil or gas inventory gluts or shortages. The two-way causality holds not only for the nearby futures contract but also for contracts of longer maturities. These findings underscore the importance of analyzing financial markets in a multi-market context. The second chapter of this dissertation asks whether volatility and trading volume evolve in a unidirectional or bidirectional, contemporaneous or lagged relationship in the crude oil and natural gas futures markets. This question is important because it affects trading and government regulation but previous studies have come to conflicting conclusions. Their main shortcoming is the low frequency of data used in the analysis. This chapter improves on the previous studies in three ways: by using high-frequency, intraday oil and gas futures prices and volume, by including trading not only during the day but also during the night, and by analyzing not only the nearby futures contract but also contracts with longer maturities. For the nearby contract, Granger-causality tests show that past values of volume help explain volatility which agrees with the Sequential Information Arrival Hypothesis. Past values of volatility have explanatory power for volume only when absolute return is used as the volatility measure; when the conditional variance from GARCH models is used as the volatility measure, the causality in this direction disappears. These results change when low-frequency daily data is applied. It is also shown that the volatility-volume relationship differs for contracts with longer maturities. These findings are relevant for regulations, such as trader position limits recently adopted by the U.S. Commodity Futures Trade Commission. The third chapter of this dissertation investigates whether the production structure of firms affects international optimal portfolios, risk-sharing, and response of terms of trade (TOT) to shocks. The answer to this question would enhance our understanding of the home equity bias, yet it has not been addressed in the theoretical literature. This chapter studies the question in a two-country dynamic stochastic general equilibrium model with endogenous portfolio allocation. It shows that the optimal portfolio includes more home equity as the production structure changes from exporter-only, i.e., firms operating in their home countries and serving foreign markets by exports, to multi-national-company-extreme (MNC), i.e., firms hiring labor in both countries and producing locally in both countries. This shift occurs because changing the firms' production structure eliminates exposure to technology differences and allows the home household to accomplish the same diversification with less foreign equity. The production structure also has implications for the effect of technology shocks on the TOT. Under the exporter-only setup, a shock to technology causes a standard TOT deterioration, whereas under the MNC-extreme setup, a shock to technology leads to a TOT improvement. By producing testable predictions, this chapter underscores the need to take firms' production structure into account when analyzing international optimal portfolios, risk sharing, and response of the TOT to technology shocks. This is especially important since empirical research has generated conflicting results. / Thesis (PhD) — Boston College, 2012. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: Economics.