Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias

An investigation into exchange-traded fund (ETF) outperforrnance during the period 2008-2012 is undertaken utilizing a data set of 288 U.S. traded securities. ETFs are tested for net asset value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor, and Sortino ratios employed as risk-adjusted performance measures. A key contribution is the application of an innovative generalized stepdown procedure in controlling for data snooping bias. We find that a large proportion of optimized replication and debt asset class ETFs display risk-adjusted premiums with energy and precious metals focused funds outperforming the S&P 500 market benchmark. 

A First Step Towards Cost Functions for Quantum-dot Cellular Automata Designs

Quantum-dot cellular automata (QCA) is potentially a very attractive alternative to CMOS for future digital designs. Circuit designs in QCA have been extensively studied. However, how to properly evaluate the QCA circuits has not been carefully considered. To date, metrics and area-delay cost functions directly mapped from CMOS technology have been used to compare QCA designs, which is inappropriate due to the differences between these two technologies. In this paper, several cost metrics specifically aimed at QCA circuits are studied. It is found that delay, the number of QCA logic gates, and the number and type of crossovers, are important metrics that should be considered when comparing QCA designs. A family of new cost functions for QCA circuits is proposed. As fundamental components in QCA computing arithmetic, QCA adders are reviewed and evaluated with the proposed cost functions. By taking the new cost metrics into account, previous best adders become unattractive and it has been shown that different optimization goals lead to different “best” adders.