A performance analysis of conventional and fundamental exchange traded funds: ETFs and their risk-return characteristics in relation to building institutional investor’s passive portfolio

An exchange traded fund (ETF) is a financial instrument that tracks some predetermined index. Since their initial establishment in 1993, ETFs have grown in importance in the field of passive investing. The main reason for the growth of the ETF industry is that ETFs combine benefits of stock investing and mutual fund investing. Although ETFs resemble mutual funds in many ways, also many differences occur. In addition, ETFs not only differ from mutual funds but also differ among each other. ETFs can be divided into two categories, i.e. market capitalisation ETFs and fundamental (or strategic) ETFs, and further into subcategories depending on their fundament basis. ETFs are a useful tool for diversification especially for a long-term investor. Although the economic importance of ETFs has risen drastically during the past 25 years, the differences and risk-return characteristics of fundamental ETFs have yet been rather unstudied area. In effect, no previous research on market capitalisation and fundamental ETFs was found during the research process. For its part, this thesis seeks to fill this research gap. The studied data consist of 50 market capitalisation ETFs and 50 fundamental ETFs. The fundaments, on which the indices that the fundamental ETFs track, were not limited nor segregated into subsections. The two types of ETFs were studied at an aggregate level as two different research groups. The dataset ranges from June 2006 to December 2014 with 103 monthly observations. The data was gathered using Bloomberg Terminal. The analysis was conducted as an econometric performance analysis. In addition to other econometric measures, the methods that were used in the performance analysis included modified Value-at-Risk, modified Sharpe ratio and Treynor ratio. The results supported the hypothesis that passive market capitalisation ETFs outperform active fundamental ETFs in terms of risk-adjusted returns, though the difference is rather small. Nevertheless, when taking into account the higher overall trading costs of the fundamental ETFs, the underperformance gap widens. According to the research results, market capitalisation ETFs are a recommendable diversification instrument for a long-term investor. In addition to better risk-adjusted returns, passive ETFs are more transparent and the bases of their underlying indices are simpler than those of fundamental ETFs. ETFs are still a young financial innovation and hence data is scarcely available. On future research, it would be valuable to research the differences in risk-adjusted returns also between the subsections of fundamental ETFs.

Exploring the impact of celebrity endorsement and product class involvement on advertising effectiveness: an eye tracking approach

Celebrity endorsement has increased in popularity over the past decades and companies are willing to spend increasingly excessive amounts of money into it. Even though multiple studies support celebrity endorsement, further research on its impact on advertising effectiveness is called for. Fur-ther, the role of consumers’ product class involvement in advertising needs to be further studied. The purpose of this study is to explore if consumers’ product class involvement and exposure to celebrity endorsers affect consumers brand recall. Supported by earlier studies, brand recall was used as a measure for advertising effectiveness in this study. In general, a psychological approach was chosen for building the theoretical framework. Concept of classical conditioning was presented in order to understand why people act how they do. Balanced theory and meaning transfer model were presented in order to study how celebrities can be used effectively in advertising context. Further, the importance of product class involvement in advertising effectiveness was evaluated. Hypotheses were formulated based on a literature review of the existing research. Because of the versatility of the research design, a mixed methods approach for this study was adopted. Empirical part of the study was conducted in three stages. First, a pre-test was conducted in order to choose suitable product endorsers for the advertisement stimuli used in the experiment. Second, an eye-tracking experiment with 30 test subjects was conducted in order to study how people view advertisements and whether the familiarity of the product endorser and consumers’ product class involvement affects brand recall. For the experiment, a fictional brand was created in order to avoid bias on brand recall. Third, qualitative interviews for 15 test subjects were conducted in the post-experiment stage in order to gain deeper understating of the phenomenon and to make sense of the findings from the experiment. Findings from this study support celebrity endorsement by suggesting that a famous spokesperson does not steal attention from brand information more than a non-celebrity product endorser. As a result, the use of a celebrity endorser did not decrease brand recall. Results support earlier research as consumer’ higher product class involvement resulted in a better brand recall. Findings from the interviews suggest that consumers have positive perceptions of celebrity endorsement in general. However, the celebrity–brand congruence is a crucial factor when creating attitudes towards the advertisement. Future research ideas were presented based on the limitations and results of this study

Failure modes of passive decay heat removing safety systems of modern nuclear power plants

The purpose of this master’s thesis is to gain an understanding of passive safety systems’ role in modern nuclear reactors projects and to research the failure modes of passive decay heat removal safety systems which use phenomenon of natural circulation. Another purpose is to identify the main physical principles and phenomena which are used to establish passive safety tools in nuclear power plants. The work describes passive decay heat removal systems used in AES-2006 project and focuses on the behavior of SPOT PG system. The descriptions of the main large-scale research facilities of the passive safety systems of the AES-2006 power plant are also included. The work contains the calculations of the SPOT PG system, which was modeled with thermal-hydraulic system code TRACE. The dimensions of the calculation model are set according to the dimensions of the real SPOT PG system. In these calculations three parameters are investigated as a function of decay heat power: the pressure of the system, the natural circulation mass flow rate around the closed loop, and the level of liquid in the downcomer. The purpose of the calculations is to test the ability of the SPOT PG system to remove the decay heat from the primary side of the nuclear reactor in case of failure of one, two, or three loops out of four. The calculations show that three loops of the SPOT PG system have adequate capacity to provide the necessary level of safety. In conclusion, the work supports the view that passive systems could be widely spread in modern nuclear projects.

Tracking tendencias en cámaras de comercio del mundo 2012: Análisis de tendencias en servicios por parte de entidades que desarrollan servicios similares a la CCB en el mundo

Banco del conocimiento

The influence of drug-induced dyskinesias on manual tracking in Parkinson's disease

The influence of peak-dose drug-induced dyskinesia (DID) on manual tracking (MT) was examined in 10 dyskinetic patients (OPO), and compared to 10 age/gendermatched non-dyskinetic patients (NDPD) and 10 healthy controls. Whole body movement (WBM) and MT were recorded with a 6-degrees of freedom magnetic motion tracker and forearm rotation sensors, respectively. Subjects were asked to match the length of a computer-generated line with a line controlled via wrist rotation. Results show that OPO patients had greater WBM displacement and velocity than other groups. All groups displayed increased WBM from rest to MT, but only DPD and NDPO patients demonstrated a significant increase in WBM displacement and velocity. In addition, OPO patients exhibited excessive increase in WBM suggesting overflow DID. When two distinct target pace segments were examined (FAST/SLOW), all groups had slight increases in WBM displacement and velocity from SLOW to FAST, but only OPO patients showed significantly increased WBM displacement and velocity from SLOW to FAST. Therefore, it can be suggested that overflow DID was further increased with increased task speed. OPO patients also showed significantly greater ERROR matching target velocity, but no significant difference in ERROR in displacement, indicating that significantly greater WBM displacement in the OPO group did not have a direct influence on tracking performance. Individual target and performance traces demonstrated this relatively good tracking performance with the exception of distinct deviations from the target trace that occurred suddenly, followed by quick returns to the target coherent in time with increased performance velocity. In addition, performance hand velocity was not correlated with WBM velocity in DPO patients, suggesting that increased ERROR in velocity was not a direct result of WBM velocity. In conclusion, we propose that over-excitation of motor cortical areas, reported to be present in DPO patients, resulted in overflow DID during voluntary movement. Furthermore, we propose that the increased ERROR in velocity was the result of hypermetric voluntary movements also originating from the over-excitation of motor cortical areas.

Passive Solar Building Design Using Genetic Programming

Passive solar building design is the process of designing a building while considering sunlight exposure for receiving heat in winter and rejecting heat in summer. The main goal of a passive solar building design is to remove or reduce the need of mechanical and electrical systems for cooling and heating, and therefore saving energy costs and reducing environmental impact. This research will use evolutionary computation to design passive solar buildings. Evolutionary design is used in many research projects to build 3D models for structures automatically. In this research, we use a mixture of split grammar and string-rewriting for generating new 3D structures. To evaluate energy costs, the EnergyPlus system is used. This is a comprehensive building energy simulation system, which will be used alongside the genetic programming system. In addition, genetic programming will also consider other design and geometry characteristics of the building as search objectives, for example, window placement, building shape, size, and complexity. In passive solar designs, reducing energy that is needed for cooling and heating are two objectives of interest. Experiments show that smaller buildings with no windows and skylights are the most energy efficient models. Window heat gain is another objective used to encourage models to have windows. In addition, window and volume based objectives are tried. To examine the impact of environment on designs, experiments are run on five different geographic locations. Also, both single floor models and multi-floor models are examined in this research. According to the experiments, solutions from the experiments were consistent with respect to materials, sizes, and appearance, and satisfied problem constraints in all instances.

Real-Time Automatic Object Classification and Tracking using Genetic Programming and NVIDIA R CUDA TM

Genetic Programming (GP) is a widely used methodology for solving various computational problems. GP's problem solving ability is usually hindered by its long execution times. In this thesis, GP is applied toward real-time computer vision. In particular, object classification and tracking using a parallel GP system is discussed. First, a study of suitable GP languages for object classification is presented. Two main GP approaches for visual pattern classification, namely the block-classifiers and the pixel-classifiers, were studied. Results showed that the pixel-classifiers generally performed better. Using these results, a suitable language was selected for the real-time implementation. Synthetic video data was used in the experiments. The goal of the experiments was to evolve a unique classifier for each texture pattern that existed in the video. The experiments revealed that the system was capable of correctly tracking the textures in the video. The performance of the system was on-par with real-time requirements.

Characterizing Dynamic Optimization Benchmarks for the Comparison of Multi-Modal Tracking Algorithms

Population-based metaheuristics, such as particle swarm optimization (PSO), have been employed to solve many real-world optimization problems. Although it is of- ten sufficient to find a single solution to these problems, there does exist those cases where identifying multiple, diverse solutions can be beneficial or even required. Some of these problems are further complicated by a change in their objective function over time. This type of optimization is referred to as dynamic, multi-modal optimization. Algorithms which exploit multiple optima in a search space are identified as niching algorithms. Although numerous dynamic, niching algorithms have been developed, their performance is often measured solely on their ability to find a single, global optimum. Furthermore, the comparisons often use synthetic benchmarks whose landscape characteristics are generally limited and unknown. This thesis provides a landscape analysis of the dynamic benchmark functions commonly developed for multi-modal optimization. The benchmark analysis results reveal that the mechanisms responsible for dynamism in the current dynamic bench- marks do not significantly affect landscape features, thus suggesting a lack of representation for problems whose landscape features vary over time. This analysis is used in a comparison of current niching algorithms to identify the effects that specific landscape features have on niching performance. Two performance metrics are proposed to measure both the scalability and accuracy of the niching algorithms. The algorithm comparison results demonstrate the algorithms best suited for a variety of dynamic environments. This comparison also examines each of the algorithms in terms of their niching behaviours and analyzing the range and trade-off between scalability and accuracy when tuning the algorithms respective parameters. These results contribute to the understanding of current niching techniques as well as the problem features that ultimately dictate their success.

Effects of Cerebral Blood Flow and PETCO2 on Cognitive Function During Passive Heat Stress

This thesis tested whether cognitive performance during passive heat stress may be affected by changes in cerebrovascular variables as opposed to strictly thermally-induced changes. A pharmacological reduction in cerebral blood flow (CBF) using indomethacin along with a hypocapnia-induced CBF reduction during passive heat stress (Tre ~1.5°C above baseline) were used to investigate any cerebrovascular-mediated changes in cognitive performance. Repeated measures analysis of variance indicated that One-Touch Stockings of Cambridge (OTS) performance was not affected by a significant reduction in CBF during passive heat stress. More specifically, OTS accuracy measures did not change as a result of either a reduction in CBF or increasing passive heat stress. However, it was found that OTS response time indices improved with increasing passive heat stress independent of CBF changes. In conclusion, a significant reduction in CBF does not cause additional changes in performance of an executive functioning task during severe passive heat stress.

A Psychophysical Assessment of Multisensory Processing and Multiple Object Tracking in Autism Spectrum Disorders

Les troubles du spectre autistique (TSA) sont actuellement caractérisés par une triade d'altérations, incluant un dysfonctionnement social, des déficits de communication et des comportements répétitifs. L'intégration simultanée de multiples sens est cruciale dans la vie quotidienne puisqu'elle permet la création d'un percept unifié. De façon similaire, l'allocation d'attention à de multiples stimuli simultanés est critique pour le traitement de l'information environnementale dynamique. Dans l'interaction quotidienne avec l'environnement, le traitement sensoriel et les fonctions attentionnelles sont des composantes de base dans le développement typique (DT). Bien qu'ils ne fassent pas partie des critères diagnostiques actuels, les difficultés dans les fonctions attentionnelles et le traitement sensoriel sont très courants parmi les personnes autistes. Pour cela, la présente thèse évalue ces fonctions dans deux études séparées. La première étude est fondée sur la prémisse que des altérations dans le traitement sensoriel de base pourraient être à l'origine des comportements sensoriels atypiques chez les TSA, tel que proposé par des théories actuelles des TSA. Nous avons conçu une tâche de discrimination de taille intermodale, afin d'investiguer l'intégrité et la trajectoire développementale de l'information visuo-tactile chez les enfants avec un TSA (N = 21, âgés de 6 à18 ans), en comparaison à des enfants à DT, appariés sur l’âge et le QI de performance. Dans une tâche à choix forcé à deux alternatives simultanées, les participants devaient émettre un jugement sur la taille de deux stimuli, basé sur des inputs unisensoriels (visuels ou tactiles) ou multisensoriels (visuo-tactiles). Des seuils différentiels ont évalué la plus petite différence à laquelle les participants ont été capables de faire la discrimination de taille. Les enfants avec un TSA ont montré une performance diminuée et pas d'effet de maturation aussi bien dans les conditions unisensorielles que multisensorielles, comparativement aux participants à DT. Notre première étude étend donc des résultats précédents d'altérations dans le traitement multisensoriel chez les TSA au domaine visuo-tactile. Dans notre deuxième étude, nous avions évalué les capacités de poursuite multiple d’objets dans l’espace (3D-Multiple Object Tracking (3D-MOT)) chez des adultes autistes (N = 15, âgés de 18 à 33 ans), comparés à des participants contrôles appariés sur l'âge et le QI, qui devaient suivre une ou trois cibles en mouvement parmi des distracteurs dans un environnement de réalité virtuelle. Les performances ont été mesurées par des seuils de vitesse, qui évaluent la plus grande vitesse à laquelle des observateurs sont capables de suivre des objets en mouvement. Les individus autistes ont montré des seuils de vitesse réduits dans l'ensemble, peu importe le nombre d'objets à suivre. Ces résultats étendent des résultats antérieurs d'altérations au niveau des mécanismes d'attention en autisme quant à l'allocation simultanée de l'attention envers des endroits multiples. Pris ensemble, les résultats de nos deux études révèlent donc des altérations chez les TSA quant au traitement simultané d'événements multiples, que ce soit dans une modalité ou à travers des modalités, ce qui peut avoir des implications importantes au niveau de la présentation clinique de cette condition.

Drug-loaded nanocarriers : passive targeting and crossing of biological barriers

Poor bioavailability and poor pharmacokinetic characteristics are some of the leading causes of drug development failure. Therefore, poorly-soluble drugs, fragile proteins or nucleic acid products may benefit from their encapsulation in nanosized vehicles, providing enhanced solubilisation, protection against degradation, and increased access to pathological compartments. A key element for the success of drug-loaded nanocarriers (NC) is their ability to either cross biological barriers themselves or allow loaded drugs to traverse them to achieve optimal pharmacological action at pathological sites. Depending on the mode of administration, NC may have to cross different physiological barriers in their journey towards their target. In this review, the crossing of biological barriers by passive targeting strategies will be presented for intravenous delivery (vascular endothelial lining, particularly for tumour vasculature and blood-brain barrier targeting), oral administration (gastrointestinal lining) and upper airway administration (pulmonary epithelium). For each specific barrier, background information will be provided on the structure and biology of the tissues involved as well as available pathways for nano-objects or loaded drugs (diffusion and convection through fenestration, transcytosis, tight junction crossing, etc.). The determinants of passive targeting − size, shape, surface chemistry, surface patterning of nanovectors − will be discussed in light of current results. Perspectives on each mode of administration will be presented. The focus will be on polymeric nanoparticles and dendrimers although advances in liposome technology will be also reported as they represent the largest body in the drug delivery literature.

Studies on Rubber Composition as Passive Acoustic Materials in Underwater Electro Acoustic Tranducer Technology and Their aging Characteristic

The research work has been in the area of compounding and characterization of rubbers for use in under water electro acoustic transducers. The study also covers specific material system such as encapsulation materials, baffle material, seal material, etc. Life prediction techniques of under water rubbers in general have been established with reference to more than one functional property. Ranges of passive materials, besides the active sensing material go into the construction of underwater electro acoustic transducers. Reliability of the transducer is critically dependent on these passive materials. Rubbers are a major class of passive materials. The present work concentrates on these materials. Conventional rubbers are inadequate to meet many of the stringent function specific requirements. There exists a large gap of information in the rubber technology of underwater rubbers, particularly relating to underwater electro acoustic transducers. This study is towards filling up the gaps of information in this crucial area. Water intake into rubber is considered as the single most important issue for the long-term performance of rubbers, especially Neoprene. In this study, the cause and effects of a range of parameters affecting the water absorption by diffusion and permeation have been investigated.

Design, Fabrication and Characterization of Passive and Active Polymer Photonic Devices

The rapid developments in fields such as fibre optic communication engineering and integrated optical electronics have expanded the interest and have increased the expectations about guided wave optics, in which optical waveguides and optical fibres play a central role. The technology of guided wave photonics now plays a role in generating information (guided-wave sensors) and processing information (spectral analysis, analog-to-digital conversion and other optical communication schemes) in addition to its original application of transmitting information (fibre optic communication). Passive and active polymer devices have generated much research interest recently because of the versatility of the fabrication techniques and the potential applications in two important areas – short distant communication network and special functionality optical devices such as amplifiers, switches and sensors. Polymer optical waveguides and fibres are often designed to have large cores with 10-1000 micrometer diameter to facilitate easy connection and splicing. Large diameter polymer optical fibres being less fragile and vastly easier to work with than glass fibres, are attractive in sensing applications. Sensors using commercial plastic optical fibres are based on ideas already used in silica glass sensors, but exploiting the flexible and cost effective nature of the plastic optical fibre for harsh environments and throw-away sensors. In the field of Photonics, considerable attention is centering on the use of polymer waveguides and fibres, as they have a great potential to create all-optical devices. By attaching organic dyes to the polymer system we can incorporate a variety of optical functions. Organic dye doped polymer waveguides and fibres are potential candidates for solid state gain media. High power and high gain optical amplification in organic dye-doped polymer waveguide amplifier is possible due to extremely large emission cross sections of dyes. Also, an extensive choice of organic dye dopants is possible resulting in amplification covering a wide range in the visible region.