Exchange-Trade Funds Evaluation using Performance Measures Distribution

In this study we propose the use of the performance measure distribution rather than its punctual value to rank hedge funds. Generalized Sharpe Ratio and other similar measures that take into account the higher-order moments of portfolio return distributions are commonly used to evaluate hedge funds performance. The literature in this field has reported non-significant difference in ranking between performance measures that take, and those that do not take, into account higher moments of distribution. Our approach provides a much more powerful manner to differentiate between hedge funds performance. We use a non-semiparametric density based on Gram-Charlier expansions to forecast the conditional distribution of hedge fund returns and its corresponding performance measure distribution. Through a forecasting exercise we show the advantages of our technique in relation to using the more traditional punctual performance measures.

Performance Evaluation of a Statistical and a Neural Network Model for Nonrigid Shape-Based Registration

Shape-based registration methods frequently encounters in the domains of computer vision, image processing and medical imaging. The registration problem is to find an optimal transformation/mapping between sets of rigid or nonrigid objects and to automatically solve for correspondences. In this paper we present a comparison of two different probabilistic methods, the entropy and the growing neural gas network (GNG), as general feature-based registration algorithms. Using entropy shape modelling is performed by connecting the point sets with the highest probability of curvature information, while with GNG the points sets are connected using nearest-neighbour relationships derived from competitive hebbian learning. In order to compare performances we use different levels of shape deformation starting with a simple shape 2D MRI brain ventricles and moving to more complicated shapes like hands. Results both quantitatively and qualitatively are given for both sets.