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.

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.

The satellite band patterns in the near ultraviolet absorption spectra of isotopic compounds of acetaldehyde

The 3700 A - 3000 A absorption spectra of CH3CHO and its isotopic compounds such as CH3CDO, CD3CHO and CD3CDO were studied in the gas phase at room temperature and low temperatures. The low resolution spectra of the compounds were recorded by a 1.5 m Baush and Lomb grating spectrograph. The high resolution spectra were recorded by a Ebert spectrograph with the Echelle grating and the holographic grating separately. The multiple reflection cells were used to achieve the long path length. The pressure-path length used for the absorption spectrum of CH 3CHO was up to 100 mm Hg )( 91 . 43mo The emission spectrum and the excitation spectrum of CH3CHO were also recorded in this research. The calculated satellite band patterns \vhich were ob-tailied by the method of Lewis were used to compare with the observed near UV absorption spectrum of acetaldehyde. These calculated satellite band patterns belonged to two cases: namely, the barriers-in-phase case and the barriers- out-of-phase case. Each of the calculated patterns corresponded to a stable conformation of acetaldehyde in the excited state . The comparisons showed that the patterns in the observed absorption spectra corresponded to the H-H eclipsed conformations of acetaldehyde in the excited state . The least squares fitting analysis showed that the barrier heights in the excited state were higher than in the ground state. Finally, the isotopic shifts for the isotopic compounds of acetaldehyde were compared to the compounds with the similar deuterium substitution.

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.

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.

Étude du système binaire CV Ser à l'aide du satellite MOST

Ce mémoire s’intéresse au système binaire massif CV Serpentis, composé d’une Wolf- Rayet riche en carbone et d’une étoile de la séquence principale, de type spectral O (WC8d + O8-9IV). D’abord, certains phénomènes affectant les étoiles massives sont mentionnés, de leur passage sur la séquence principale à leur mort (supernova). Au cours du premier cha- pitre, un rappel est fait concernant certaines bases de l’astrophysique stellaire observa- tionnelle (diagramme Hertzsprung-Russell, phases évolutives, etc...). Au chapitre suivant, un des aspects les plus importants de la vie des étoiles massives est abordé : la perte de masse sous forme de vents stellaires. Un historique de la découverte des vents ouvre le chapitre, suivi des fondements théoriques permettant d’expliquer ce phénomène. Ensuite, différents aspects propres aux vents stellaires sont présentés. Au troisième chapitre, un historique détaillé de CV Ser est présenté en guise d’introduc- tion à cet objet singulier. Ses principales caractéristiques connues y sont mentionnées. Finalement, le cœur de ce mémoire se retrouve au chapitre 4. Des courbes de lumière ultra précises du satellite MOST (2009 et 2010) montrent une variation apparente du taux de perte de masse de la WR de l’ordre de 62% sur une période orbitale de 29.701 jours. L’analyse des résidus permet de trouver une signature suggérant la présence de régions d’interaction en corotation (en anglais corotating interaction regions, ou CIR) dans le vent WR. Une nouvelle solution orbitale est présentée ainsi que les paramètres de la région de collision des vents et les types spectraux sont confirmés.

Stochastic simulation to improve land-cover estimates derived from coarse spatial resolution satellite imagery = La simulation stochastique pour améliorer les estimations de la couverture des sols à partir d'images satellitales à résolution spatiale grossière

Thèse diffusée initialement dans le cadre d'un projet pilote des Presses de l'Université de Montréal/Centre d'édition numérique UdeM (1997-2008) avec l'autorisation de l'auteur.

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.

Preparation, Characterisation And Microwave Dielectric Properties Of Anbn-1o3n (N=5,6,8) Type Perovskite Compounds

The present study on the preparation , characterization and microwave dielectric properties of AnBn-1O3n (N=5,6,8) type perovskite compounds. The explored ceramics show dielectric constant between 11 and 54,quality factor in the range 2400 to 88900 GHz and Tf in the range -73 to +231ppm/0C.Most of the investigated cation deficient hexagonal perovskites show intermediate dielectric constant with high quality factors. This study gives a general introduction about material, scientific and technological aspects of DRs.Three important ,€r ,Q and Tf, used for the DR characterization are described. The relationship of the above parameters with the fundamental material characteristics is discussed. Different modes are excited when a DR is excited with suitable microwave spectrum of frequencies .A description of analytical determination of frequencies and construction of mode charts used for sample design and mode identification are also discussed. In this study several ceramics are developed for DR purposes, very little attention has been paid to grow the single crystals. It might be due to the fact that the difficulties and time involved in the growth of single crystals, big enough to function as microwave resonators make them expensive .However single crystals of these materials may have very high Q values. It is also possible that a better understanding of the dielectric properties in relation to the structure can be arrived using single crystals. Hence one of the future directions of dielectric resonator research should be to grow good quality single crystals of the above materials.

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.

(1−x)MgAl2O4-xTiO2 dielectrics for microwave and millimeter wave applications

The MgAl2O4 ceramics were prepared by the conventional solid-state ceramic route and the dielectric properties studied in the microwave frequency region (3–13 GHz). The phase purity and crystal structure were identified using the X-ray diffraction technique. The MgAl2O4 spinel ceramics show interesting microwave dielectric properties (εr = 8.75, Qux f = 68 900 GHz (loss tangent = 0.00017 at 12.3 GHz), τf =−75 ppm/◦C). The MgAl2O4 has high negative τf, which precludes its immediate use in practical applications. Hence the microwave dielectric properties of MgAl2O4 spinels were tailored by adding different mole fractions of TiO2. The εr and Q factor of the mixed phases were increased with the molar addition of TiO2 into the spinel to form mixtures based on (1−x)MgAl2O4-xTiO2 (x = 0.0−1.0). For x = 0.25 in (1−x)MgAl2O4-xTiO2, the microwave quality factor reaches a maximum value of Qux f = 105 400 GHz (loss tangent = 0.00007 at 7.5 GHz) where εr and τf are 11.035 and −12 ppm/◦C, respectively. The microwave dielectric properties of the newly developed 0.75MgAl2O4-0.25TiO2 dielectric is superior to several commercially available low loss dielectric substrates.