Essays on mutual fund performance evaluation with clientele effects

Tableau d’honneur de la Faculté des études supérieures et postdoctorales, 2015-2016Cette thèse étudie la performance des fonds mutuels du point de vue de leurs clientèles les plus favorables. Elle comporte trois essais dans lesquels nous développons et adaptons une approche de mesure de performance qui considère le désaccord entre investisseurs et les effets de clientèle pour répondre à trois questions de recherche. Dans le premier essai, nous étudions le désaccord entre investisseurs et les effets de clientèle dans l’évaluation de performance en développant une mesure pour les plus favorables clientèles des fonds. La mesure est une borne supérieure de performance dans un marché incomplet sous conditions de la loi d’un seul prix et d’absence de bonnes affaires que sont les investissements aux ratios de Sharpe déraisonnablement élevés. Nous montrons que considérer le point de vue des clientèles les plus favorables résulte en une performance généralement positive. Le désaccord total mesuré par la différence entre les bornes supérieure et inférieure de performance est économiquement et statistiquement significatif. Dans le deuxième essai, nous diagnostiquons les mesures de performance standards en comparant leurs alphas avec celui des plus favorables clientèles. Les résultats montrent que les modèles linéaires inconditionnels, leurs versions conditionnelles et la mesure basée sur la loi d’un seul prix donnent des performances sévères mais admissibles. Les modèles de consommation ont un problème d’inadmissibilité. La mesure de performance à l’abri de manipulation génère des alphas sensibles au choix du paramètre d’aversion au risque. Dans le troisième essai, nous proposons une mesure de performance spécifique aux clientèles basée sur les préférences de style des investisseurs dans les fonds mutuels. Considérant le désaccord de performance et exploitant mieux les données de classifications, nous investiguons huit mesures représentant des clientèles ayant des préférences favorables aux styles d’actions basés sur la taille et la valeur. Nous trouvons que les fonds classés selon la taille et la valeur ont des performances moyennes neutres ou positives lorsqu’évalués avec leur mesure spécifique aux clientèles appropriée. La performance des autres fonds est sensible aux clientèles. Les résultats supportent un rôle significatif des clientèles de style en évaluation de performance.This thesis studies the performance evaluation of mutual funds from the point of view of their most favorable clienteles. It contains three essays in which we develop and adapt a performance measurement approach that accounts for investor disagreement and clientele effects to answer three research questions. In the first essay, we investigate investor disagreement and clientele effects in performance evaluation by developing a measure that considers the best potential clienteles of mutual funds. The measure is an upper performance bound in an incomplete market under the law-of-one-price condition and a no-good-deal condition that rules out investment opportunities with unreasonably high Sharpe ratios. We find that considering investor disagreement and focusing on the best potential clienteles lead to a generally positive performance for mutual funds. The total disagreement measured by the difference between upper and lower performance bounds is economically and statistically significant. In the second essay, we diagnose the validity of standard performance measures by comparing their alphas with the alpha from a performance measure that evaluates mutual funds from the point of view of their most favorable investors. The results show that unconditional linear factor models, their conditional versions and the law-of-one price measure give severe but admissible evaluations of fund performance. Consumption-based models suffer from an inadmissibility problem. The manipulation proof performance measure generates alphas that are sensitive to the choice of risk aversion parameter. In the third essay, we propose a clientele-specific performance evaluation based on the style preferences of mutual fund investors. Considering performance disagreement and better exploiting style classification data, we investigate eight measures to represent clienteles with favorable preferences for size and value equity styles. We find that funds assigned to size and value styles have neutral to positive average alphas when evaluated with their appropriate clientele-specific measure. The performance of the other funds is sensitive to the clienteles. Our findings support a significant role for style clienteles in performance evaluation

HW/SW Architecture Exploration for an Efficient Implementation of the Secure Hash Algorithm SHA-256

Hash functions are used in the majority of security protocol to guarantee the integrity and the authenticity. Among the most important hash functions is the SHA-2 family, which offers higher security and solved the insecurity problems of other popular algorithms as MD5, SHA-1 and SHA-0. However, theses security algorithms are characterized by a certain amount of complex computations and consume a lot of energy. In order to reduce the power consumption as required in the majority of embedded applications, a solution consists to exploit a critical part on accelerator (hardware). In this paper, we propose a hardware/software exploration for the implementation of SHA256 algorithm. For hardware design, two principal design methods are proceeded: Low level synthesis (LLS) and high level synthesis (HLS). The exploration allows the evaluation of performances in term of area, throughput and power consumption. The synthesis results under Zynq 7000 based-FPGA reflect a significant improvement of about 80% and 15% respectively in FPGA resources and throughput for the LLS hardware design compared to HLS solution. For better efficiency, hardware IPs are deduced and implemented within HW/SW system on chip. The experiments are performed using Xilinx ZC 702-based platform. The HW/SW LLS design records a gain of 10% to 25% in term of execution time and 73% in term of power consumption

Bilateral atrophic squirrhus of breast in neglected breast cancer: case report

The atrophic squirrhus carcinoma is an advanced form of breast cancer, which is most often neglected by patients. These days it has become very rare. The bilaterality of this form is even more exceptional. We present a case of atrophic squirrhus breast cancer of a 58 years old woman, rural origin, which is particular for its bilaterality and rapid evolution causing the death after 22 months from the first abnormal functional sign

Modeling and Thermodynamic Study of Water Vapor Desorption Isotherms of Orange Peel and Leaves using Statistical Physics Treatment

The shelf life and safety of food products is related to the water content, in particular to the water activity (aw). This is important to predict the physical, chemical and biological processes that take place during food storage. Analytical expression for modeling water desorption isotherms of food is developed using the grand canonical ensemble in statistical physics. The model is further applied to fit and interpret the desorption isotherms of water vapor on the orange peel and leaves at three different temperatures. In the developed model we introduce essentially six parameters such as the number of adsorbed water molecules per site, the number of adsorbed layers, the energy of desorption and receptor sites density. We interpret the results of fitting then we apply the model to calculate thermodynamic functions which govern the desorption mechanism such as internal energy and entropy

201: Are QT intervals correlated to apnea-hypopnea index in obstructive sleep apnea?

IntroductionSeveral studies proved that obstructive sleep apnea (OSA) is associated with cardio-vascular diseases such as cardiac arrhythmia. QT duration and dispersion reflect the heterogeinity of ventricular repolarization and are considered as precursors of ventricular arrhythmiaAimThe aim of this study is to assess the relation between the severity of OSA parameters as apnea hypopnea index and QT intervals.MethodsForty patients (18 men and 22 women) who were diagnosed with OSA by overnight polysomnography were included in this prospective study. The mean age was 56±10 years old. They were all in sinus rhythm. Before initiating continuous positive airway pressure therapy, we calculated on a 12 lead ECG : QT duration (QTend) corrected to Bazett formula and QT dispersion (QT end max -QT end min).ResultsTwenty four patients had severe OSA (AHI >30), 4 had moderate OSA (AHI between 15 and 30) and 12 had a mild OSA (AHI between 5 and 15). There was a significant positive correlation between QT dispersion and AHI (r=0.48, p=0.001)ConclusionThe severity of OSA seems to be correlated with ventricular repolarization heterogeinity These results suggest that the higher is the AHI the higher is the risk of ventricular arrhythmia occurence. Further studies are needed to validate these results

A year of genomic surveillance reveals how the SARS-CoV-2 pandemic unfolded in Africa.

The progression of the severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) pandemic in Africa has so far been heterogeneous, and the full impact is not yet well understood. In this study, we describe the genomic epidemiology using a dataset of 8746 genomes from 33 African countries and two overseas territories. We show that the epidemics in most countries were initiated by importations predominantly from Europe, which diminished after the early introduction of international travel restrictions. As the pandemic progressed, ongoing transmission in many countries and increasing mobility led to the emergence and spread within the continent of many variants of concern and interest, such as B.1.351, B.1.525, A.23.1, and C.1.1. Although distorted by low sampling numbers and blind spots, the findings highlight that Africa must not be left behind in the global pandemic response, otherwise it could become a source for new variants

Comportement quotidien de la volatilité des marchés des contrats à terme américains

L'objectif de ce mémoire est d'étudier le comportement quotidien de la volatilité de deux marchés des contrats à terme américains. Tout d'abord, nous modélisons la volatilité en fonction du volume, de la variation du prix futures et de la profondeur du marché. Nous évaluons, ensuite, l'impact de la déréglementation des marchés américains suite à l'adoption de la réforme "Commodity Futures Modernization Act" ou CFMA en 2000. Nos résultats montrent respectivement des relations positives et négatives entre les variations favorables et défavorables des prix futures et la volatilité. Un effet asymétrique est constaté dans trois des sept contrats étudiés. La profondeur du marché affecte négativement la volatilité dans quatre des sept contrats étudiés. Enfin, nous concluons que l'adoption de la réforme CFMA dilue, généralement, les effets de ces différentes variables sur la volatilité

Mutual fund performance evaluation and best clienteles

This paper investigates investor disagreement and clientele effects in performance evaluation by developing a measure that considers the best potential clienteles of mutual funds. In an incomplete market under law-of-one-price and no-good-deal conditions, we obtain an upper bound on admissible performance measures that identifies the most favorable alpha. Empirically, we find that a reasonable investor disagreement leads to generally positive performance for the best clienteles. Performance disagreement by investors can be significant enough to change the average evaluation of mutual funds from negative to positive, depending on the clienteles