Tracking error of exchange-traded funds: Evidence from the UK

This paper is mainly concerned with the tracking accuracy of Exchange Traded Funds (ETFs) listed on the London Stock Exchange (LSE) but also evaluates their performance and pricing efficiency. The findings show that ETFs offer virtually the same return but exhibit higher volatility than their benchmark. It seems that the pricing efficiency, which should come from the creation and redemption process, does not fully hold as equity ETFs show consistent price premiums. The tracking error of the funds is generally small and is decreasing over time. The risk of the ETF, daily price volatility and the total expense ratio explain a large part of the tracking error. Trading volume, fund size, bid-ask spread and average price premium or discount did not have an impact on the tracking error. Finally, it is concluded that market volatility and the tracking error are positively correlated.

8-Phase Ring oscillator for modern receivers

The evolution of receiver architectures, built in modern CMOS technologies, allows the design of high efficient receivers. A key block in modern receivers is the oscillator. The main objective of this thesis is to design a very low power and low area 8-Phase Ring Oscillator for biomedical applications (ISM and WMTS bands). Oscillators with multiphase outputs and variable duty cycles are required. In this thesis we are focused in 12.5% and 50% duty-cycles approaches. The proposed circuit uses eight inverters in a ring structure, in order to generate the output duty cycle of 50%. The duty cycle of 1/8 is achieved through the combination of the longer duty cycle signals in pairs, using, for this purpose, NAND gates. Since the general application are not only the wireless communications context, as well as industrial, scientific and medical plans, the 8-Phase Oscillator is simulated to be wideband between 100 MHz and 1 GHz, and be able to operate in the ISM bands (447 MHz-930 MHz) and WMTS (600 MHz). The circuit prototype is designed in UMC 130 nm CMOS technology. The maximum value of current drawn from a DC power source of 1.2 V, at a maximum frequency of 930 MHz achieved, is 17.54 mA. After completion of the oscillator layout studied (occupied area is 165 μm x 83 μm). Measurement results confirm the expected operating range from the simulations, and therefore, that the oscillator fulfil effectively the goals initially proposed in order to be used as Local Oscillator in RF Modern Receivers.

Analysis and design of sinusoidal quadrature RC-oscillators

Modern telecommunication equipment requires components that operate in many different frequency bands and support multiple communication standards, to cope with the growing demand for higher data rate. Also, a growing number of standards are adopting the use of spectrum efficient digital modulations, such as quadrature amplitude modulation (QAM) and orthogonal frequency division multiplexing (OFDM). These modulation schemes require accurate quadrature oscillators, which makes the quadrature oscillator a key block in modern radio frequency (RF) transceivers. The wide tuning range characteristics of inductorless quadrature oscillators make them natural candidates, despite their higher phase noise, in comparison with LC-oscillators. This thesis presents a detailed study of inductorless sinusoidal quadrature oscillators. Three quadrature oscillators are investigated: the active coupling RC-oscillator, the novel capacitive coupling RCoscillator, and the two-integrator oscillator. The thesis includes a detailed analysis of the Van der Pol oscillator (VDPO). This is used as a base model oscillator for the analysis of the coupled oscillators. Hence, the three oscillators are approximated by the VDPO. From the nonlinear Van der Pol equations, the oscillators’ key parameters are obtained. It is analysed first the case without component mismatches and then the case with mismatches. The research is focused on determining the impact of the components’ mismatches on the oscillator key parameters: frequency, amplitude-, and quadrature-errors. Furthermore, the minimization of the errors by adjusting the circuit parameters is addressed. A novel quadrature RC-oscillator using capacitive coupling is proposed. The advantages of using the capacitive coupling are that it is noiseless, requires a small area, and has low power dissipation. The equations of the oscillation amplitude, frequency, quadrature-error, and amplitude mismatch are derived. The theoretical results are confirmed by simulation and by measurement of two prototypes fabricated in 130 nm standard complementary metal-oxide-semiconductor (CMOS) technology. The measurements reveal that the power increase due to the coupling is marginal, leading to a figure-of-merit of -154.8 dBc/Hz. These results are consistent with the noiseless feature of this coupling and are comparable to those of the best state-of-the-art RC-oscillators, in the GHz range, but with the lowest power consumption (about 9 mW). The results for the three oscillators show that the amplitude- and the quadrature-errors are proportional to the component mismatches and inversely proportional to the coupling strength. Thus, increasing the coupling strength decreases both the amplitude- and quadrature-errors. With proper coupling strength, a quadrature error below 1° and amplitude imbalance below 1% are obtained. Furthermore, the simulations show that increasing the coupling strength reduces the phase noise. Hence, there is no trade-off between phase noise and quadrature error. In the twointegrator oscillator study, it was found that the quadrature error can be eliminated by adjusting the transconductances to compensate the capacitance mismatch. However, to obtain outputs in perfect quadrature one must allow some amplitude error.