title: Attributing returns and optimising United States swaps portfolios using an intertemporally-consistent and arbitrage-free model of the yield curve

authors: Krippner, Leo

subjects: yield curve

abstract: This paper uses the volatility-adjusted orthonormalised Laguerre polynomial model of the yield curve (the VAO model) from Krippner (2005), an intertemporally-consistent and arbitrage-free version of the popular Nelson and Siegel (1987) model, to develop a multi-dimensional yield-curve-based risk framework for fixed interest portfolios. The VAO model is also used to identify relative value (i.e. potential excess returns) from the universe of securities that define the yield curve. In combination, these risk and return elements provide an intuitive framework for attributing portfolio returns ex-post, and for optimising portfolios ex-ante. The empirical applications are to six years of daily United States interest rate swap data. The first application shows that the main sources of fixed interest portfolio risk (i.e. unanticipated variability in ex-post returns) are first-order (‘duration’) effects from stochastic shifts in the level and shape of the yield curve; second-order (‘convexity’) effects and other contributions are immaterial. The second application shows that fixed interest portfolios optimised ex-ante using the VAO model risk/relative framework significantly outperform a naive evenly-weighted benchmark over time.

text: Attributing returns and optimising United States swaps portfolios using an intertemporally-consistent and arbitrage-free model of the yield curve This paper uses the volatility-adjusted orthonormalised Laguerre polynomial model of the yield curve (the VAO model) from Krippner (2005), an intertemporally-consistent and arbitrage-free version of the popular Nelson and Siegel (1987) model, to develop a multi-dimensional yield-curve-based risk framework for fixed interest portfolios. The VAO model is also used to identify relative value (i.e. potential excess returns) from the universe of securities that define the yield curve. In combination, these risk and return elements provide an intuitive framework for attributing portfolio returns ex-post, and for optimising portfolios ex-ante. The empirical applications are to six years of daily United States interest rate swap data. The first application shows that the main sources of fixed interest portfolio risk (i.e. unanticipated variability in ex-post returns) are first-order (‘duration’) effects from stochastic shifts in the level and shape of the yield curve; second-order (‘convexity’) effects and other contributions are immaterial. The second application shows that fixed interest portfolios optimised ex-ante using the VAO model risk/relative framework significantly outperform a naive evenly-weighted benchmark over time.

year: 2005-03

title: Beyond shrek: fairy tale magic in the multicultural classroom

authors: Sturgess, Janet

subjects: English literature

abstract: This article draws on a recent research project in New Zealand on teaching literature in the multicultural classroom. Its focus is on how one teacher-researcher used the cultural and linguistic diversity of a junior, secondary English class as a resource in the development of her programme. It details a sequence of activities designed for a unit of work on the critical reading and composition of fairy tales, viewed as a popular genre across all cultures, and the impact of these activities on student participants. A range of pedagogical strategies are identified as successful: viewing cultural and linguistic diversity as a resource, empowering students to contest textual meaning, modeling, task-based inquiry and whole-class activity.

text: Beyond shrek: fairy tale magic in the multicultural classroom This article draws on a recent research project in New Zealand on teaching literature in the multicultural classroom. Its focus is on how one teacher-researcher used the cultural and linguistic diversity of a junior, secondary English class as a resource in the development of her programme. It details a sequence of activities designed for a unit of work on the critical reading and composition of fairy tales, viewed as a popular genre across all cultures, and the impact of these activities on student participants. A range of pedagogical strategies are identified as successful: viewing cultural and linguistic diversity as a resource, empowering students to contest textual meaning, modeling, task-based inquiry and whole-class activity.

year: 2009

title: Building bridges - seeking collaboration with a Maori community

authors: Hohneck, Deborah

subjects: Maori community collaboration

abstract: The context for this thesis is the pressing need to help mainstream schools become more proactive and culturally responsive in how they engage with the whānau of their Māori pupils. 
The thesis examines how the author, a facilitator within the Te Kotahitanga Professional Development project, established a responsive and dialogic relationship with a local Māori community, so that the school could more fully support the educational achievements of its Māori students in mainstream classes. She explored ways to build “educationally powerful connections” with whānau. Initially, there was little interaction with Māori families through the traditional formats that this school was employing. She describes her personal journey of learning to engage with whānau members outside of the school context, and to work collaboratively with them to find more effective solutions.
In the first part of the thesis the author examines literature which helps to understand important differences between Pākehā and Māori ‘World Views’, and the reluctance that many Māori feel to engage with Pākehā institutions. She documents how she and whānau members, working together, identified contexts and cultural processes (tikanga) that enabled this collaborative research project to proceed in a culturally responsive way. 
In the second part of the thesis the author examines the particular culturally-grounded learning events and experiences that she encountered along the way. Concurrently with this identification and reporting of events and experiences, she reflects on how these events and experiences impacted on her professional practice, and on her professional and personal identities. The author also considers what implications her collaborative research journey with Māori colleagues and friends and learning might have for school leaders and whānau members in other schools. 
Throughout the thesis, the author sustains a metaphor of bridge building. This metaphor helps to appreciate how, although starting from quite different cultural locations and positions at either end of the bridge, members of both cultures were able to meet in the middle and find respectful and trusting ways of working together.

text: Building bridges - seeking collaboration with a Maori community The context for this thesis is the pressing need to help mainstream schools become more proactive and culturally responsive in how they engage with the whānau of their Māori pupils. 
The thesis examines how the author, a facilitator within the Te Kotahitanga Professional Development project, established a responsive and dialogic relationship with a local Māori community, so that the school could more fully support the educational achievements of its Māori students in mainstream classes. She explored ways to build “educationally powerful connections” with whānau. Initially, there was little interaction with Māori families through the traditional formats that this school was employing. She describes her personal journey of learning to engage with whānau members outside of the school context, and to work collaboratively with them to find more effective solutions.
In the first part of the thesis the author examines literature which helps to understand important differences between Pākehā and Māori ‘World Views’, and the reluctance that many Māori feel to engage with Pākehā institutions. She documents how she and whānau members, working together, identified contexts and cultural processes (tikanga) that enabled this collaborative research project to proceed in a culturally responsive way. 
In the second part of the thesis the author examines the particular culturally-grounded learning events and experiences that she encountered along the way. Concurrently with this identification and reporting of events and experiences, she reflects on how these events and experiences impacted on her professional practice, and on her professional and personal identities. The author also considers what implications her collaborative research journey with Māori colleagues and friends and learning might have for school leaders and whānau members in other schools. 
Throughout the thesis, the author sustains a metaphor of bridge building. This metaphor helps to appreciate how, although starting from quite different cultural locations and positions at either end of the bridge, members of both cultures were able to meet in the middle and find respectful and trusting ways of working together.

year: 2013