scholarly journals Window dressing in the Active Share scores in publicly reported portfolios

2021 ◽  
pp. 234094442110246
Author(s):  
Laura Andreu ◽  
Carlos Forner ◽  
José Luis Sarto
Keyword(s):  
Positive Relationship ◽  
Tracking Error ◽  
Jel Classification ◽  
Tracking Errors ◽  
Window Dressing ◽  
Future Performance ◽  
Money Flows

Using a unique database that includes publicly disclosed fund holdings at the end of the quarter as well as the holdings in all non-publicly disclosed months, we found that some funds could alter their portfolios in publicly disclosed months to artificially increase their Active Share scores and consequently appear more active and take advantage of the positive relationship between Active Share and money flows. We show how, consistent with non-informed trades, these funds erode their future performance. However, these funds reach their objective of increasing future money flows. Moreover, we find that window-dresser funds can be identified by controlling the level of tracking error. The funds with high Active Share scores and low tracking errors have the highest levels of Active Share window dressing and the worst future returns. However, compared with less active funds, they are able to capture higher money flows. JEL CLASSIFICATION G23; G11

On the ability of New Zealand actively managed funds to generate outperformance in their domestic equity allocations

2018 ◽  
Vol 30 (4) ◽  
pp. 463-481 ◽  
Author(s):  
Bart Frijns ◽  
Ivan Indriawan
Keyword(s):  
New Zealand ◽  
Stock Returns ◽  
Tracking Error ◽  
Tracking Errors ◽  
Content Type ◽  
Portfolio Holdings ◽  
Market Index ◽  
Stock Picking ◽  
Fund Size ◽  
Managed Funds

Purpose This paper aims to assess the ability of New Zealand (NZ) actively managed funds to generate risk-adjusted outperformance using portfolio holdings data. Focusing on domestic equity allocations addresses the benchmark selection issue, particularly for funds with national and international exposures. Design/methodology/approach The authors assess performance using several asset pricing models including the CAPM, three-factor and four-factor models. The authors also assess performance across funds with different characteristics such as fund size, size of local holdings, type of fund provider, past returns and fees. The authors further examine whether funds engage in any stock-picking or market timing by considering the active share and tracking error. Findings The returns on NZ equity holdings of NZ actively managed funds from 2010 to 2017 provide little evidence of risk-adjusted outperformance and stock-picking skill. These exposures yield pre-cost returns that have a nearly perfect correlation with the market index and an insignificant alpha. Funds show little tendency to bet on any of the main characteristics known to predict stock returns, such as size, book-to-market and momentum. In addition, the authors show that the average active shares and tracking errors are low, suggesting that the majority of funds hold NZ equity portfolios that closely mimic the market index. Originality/value Existing studies rely on returns data which aggregate performance across all asset classes with varying exposures. This may lead to benchmark selection issues (particularly for funds with international exposures) which may obscure the fund manager’s true stock-picking skills. Assessment using holdings data would enable suitable performance measurement by researchers and industry analysts.

scholarly journals The factors affecting customers’ decisions to adopt Islamic banking

2016 ◽  
Vol 11 (4) ◽  
pp. 144-151 ◽  
Author(s):  
Seipati Bodibe ◽  
Norman Chiliya ◽  
Christopher Tarisayi Chikandiwa
Keyword(s):  
Social Norms ◽  
Positive Relationship ◽  
Jel Classification ◽  
Opinion Leaders ◽  
Community Leaders ◽  
Islamic Banking ◽  
Factors Affecting ◽  
Community Influence ◽  
Target Community ◽  
Shed Light

Attracting and retaining profitable customers to new and unfamiliar products and services is one of the challenges that the banking fraternity is faced with today. The purpose of this article is to highlight some of the important factors that influence attitude in the Islamic banking. Probability sampling was used and 250 questionnaires were distributed among participants based at a local university in Johannesburg. The results revealed that there is a positive relationship between product awareness, social norms, community influence and attitude towards Islamic banking. Also, the results indicated that most of the respondents were not aware of the Islamic banking. The bank practitioners and marketers were, therefore, recommended to take a focused approach on creating awareness of the Islamic banking. Marketers can target community leaders or opinion leaders in order to shed light on Islamic banking to the rest of their community. Keywords: product awareness, social norms and community influence. JEL Classification: G21, Z13

Position Domain PD Control for Contour Tracking

2010 ◽  
Author(s):  
P. R. Ouyang ◽  
Truong Dam
Keyword(s):  
Motion Tracking ◽  
Control Method ◽  
Tracking Error ◽  
Original System ◽  
Contour Tracking ◽  
Pd Control ◽  
Tracking Errors ◽  
Motion System ◽  
Common Control ◽  
The Time Domain

For multi-axis motion control applications, contour tracking is one of the most common control problems encountered by industrial manipulators and robots. In this paper, a position domain PD control method is proposed for the purpose of improving the contour tracking performance. To develop the new control method, the multi-axis motion system is viewed as a master-slave motion system where the master motion is sampled equidistantly and used as an independent variable, while the slave motions are described as functions of the master motion according to the contour tracking requirements. The dynamic model of the multi-axis motion system is developed in the position domain based on the master motion by transforming the original system dynamic equations from the time domain to the position domain. In this control methodology, the master motion will yield zero tracking error for the position as it is used as reference, and only the slave motion tracking errors will affect the final contour tracking errors. The proposed position domain PD controller is successfully examined in a Cartesian robotic system for linear motion tracking and circular contour tracking.

RESILIENT FLOCKING CONTROL FOR CONNECTED AND AUTOMATED VEHICLES WITH CYBER-ATTACK THREATS

2021 ◽  
pp. 1-7
Author(s):  
Fengchen Wang ◽  
Yan Chen
Keyword(s):  
Detection Method ◽  
Tracking Error ◽  
Attack Detection ◽  
Cyber Attacks ◽  
Vehicle Tracking ◽  
Cyber Attack ◽  
Dynamics Model ◽  
Automated Vehicles ◽  
Tracking Errors ◽  
Error Dynamics

Abstract To improve the cybersecurity of flocking control for connected and automated vehicles (CAVs), this paper proposes a novel resilient flocking control by specifically considering cyber-attack threats on vehicle tracking errors. Using the vehicle tracking error dynamics model, a dual extended Kalman filter (DEKF) is applied to detect cyber-attacks as an unknown constant on vehicle tracking information with noise rejections. To handle the coupling effects between tracking errors and cyber-attacks, the proposed DEKF consists of a tracking error filter and a cyber-attack filter, which are utilized to conduct the prediction and correction of tracking errors alternatively. Whenever an abnormal tracking error is detected, an observer-based resilient flocking control is enabled. Demonstrated by simulation results, the proposed cyber-attack detection method and resilient flocking control design can successfully achieve and maintain the flocking control of multi-CAV systems by rejecting certain cyber-attack threats.

Tracking Control of a Nonholonomic Mobile Robot Using Neural Network

2015 ◽  
pp. 631-661 ◽  
Author(s):  
Şahin Yildirim ◽  
Sertaç Savaş
Keyword(s):  
Neural Networks ◽  
Mobile Robot ◽  
Tracking Error ◽  
Back Propagation ◽  
Open Loop ◽  
Tracking Performance ◽  
Back Propagation Algorithm ◽  
Tracking Errors ◽  
Nonholonomic Mobile Robot ◽  
Feed Forward Neural Networks

The goal of this chapter is to enable a nonholonomic mobile robot to track a specified trajectory with minimum tracking error. Towards that end, an adaptive P controller is designed whose gain parameters are tuned by using two feed-forward neural networks. Back-propagation algorithm is chosen for online learning process and posture-tracking errors are considered as error values for adjusting weights of neural networks. The tracking performance of the controller is illustrated for different trajectories with computer simulation using Matlab/Simulink. In addition, open-loop response of an experimental mobile robot is investigated for these different trajectories. Finally, the performance of the proposed controller is compared to a standard PID controller. The simulation results show that “adaptive P controller using neural networks” has superior tracking performance at adapting large disturbances for the mobile robot.

scholarly journals Adaptive Predefined Performance Neural Control for Robotic Manipulators with Unknown Dead Zone

2020 ◽  
Vol 2020 ◽  
pp. 1-8 ◽  
Author(s):  
Shifen Shao ◽  
Kaisheng Zhang ◽  
Jun Li ◽  
Jirong Wang
Keyword(s):  
Neural Control ◽  
Dead Zone ◽  
Tracking Error ◽  
Transient Behavior ◽  
Robotic Manipulators ◽  
System Stability ◽  
Control Effect ◽  
Tracking Errors ◽  
Control Scheme ◽  
Funnel Control

This paper proposes an adaptive predefined performance neural control scheme for robotic manipulators in the presence of nonlinear dead zone. A neural network (NN) is utilized to estimate the model uncertainties and unknown dynamics. An improved funnel function is designed to guarantee the transient behavior of the tracking error. The proposed funnel function can release the assumption on the conventional funnel control. Then, an adaptive predefined performance neural controller is proposed for robotic manipulators, while the tracking errors fall within a prescribed funnel boundary. The closed-loop system stability is proved via Lyapunov function. Finally, the numerical simulation results based on a 2-DOF robotic manipulator illustrate the control effect of the presented approach.

scholarly journals Effect of the Orientation Schemes of the Energy Collection Element on the Optical Performance of a Parabolic Trough Concentrating Collector

Energies ◽  
2018 ◽  
Vol 12 (1) ◽  
pp. 128 ◽  
Author(s):  
Majedul Islam ◽  
Prasad Yarlagadda ◽  
Azharul Karim
Keyword(s):  
Monte Carlo ◽  
State Of The Art ◽  
Tracking Error ◽  
Surface Group ◽  
Energy Performance ◽  
Optical Performance ◽  
Extended Version ◽  
Parabolic Trough ◽  
Tracking Errors ◽  
Optical Efficiency

While the circular shape is currently the proven optimum design of the energy collection element (ECE) of a parabolic trough collector, that is yet to be confirmed for parabolic trough concentrating collectors (PTCCs) like trough concentrating photovoltaic collectors and hybrid photovoltaic/thermal collectors. Orientation scheme of the ECE is expected to have significant effect on the optical performance including the irradiance distribution around the ECE and the optical efficiency, and therefore, on the overall energy performance of the PTCC. However, little progress addressing this issue has been reported in the literature. In this study, a thorough investigation has been conducted to determine the effect of the orientation schemes of ECE on the optical performance of a PTCC applying a state-of-the-art Monte Carlo ray tracing (MCRT) technique. The orientation schemes considered are a flat rectangular target and a hollow circular, semi-circular, triangular, inverted triangular, rectangular and rectangle on semi-circle (RSc). The effect of ECE defocus, Sun tracking error and trough rim angle on the optical performance is also investigated. The MCRT study reveals that the ECE orientation schemes with a curved surface at the trough end showed much higher optical efficiency than those with a linear surface under ideal conditions. ECEs among the linear surface group, the inverted triangular orientation exhibited the highest optical efficiency, whereas the flat and triangular ones exhibited the lowest optical efficiency, and the rectangular one was in between them. In the event of defocus and tracking errors, a significant portion of the concentrated light was observed to be intercepted by the surfaces of the rectangular and RSc ECEs that are perpendicular to the trough aperture. This is an extended version of a published work by the current authors, which will help to design an optically efficient ECE for a parabolic trough concentrating collector.

Robust Automatic Feature Tracking on Beating Human Hearts for Minimally Invasive CABG Surgery

2016 ◽  
Vol 10 (4) ◽  
Author(s):  
H. Mohamadipanah ◽  
M. Andalibi ◽  
L. Hoberock
Keyword(s):  
Feature Tracking ◽  
Human Heart ◽  
Tracking Error ◽  
State Space Model ◽  
Arbitrary Point ◽  
Feature Points ◽  
Short Term ◽  
Tracking Errors ◽  
Motion Reconstruction ◽  
Detection Stage

This paper presents a robust algorithm for automatic tracking of feature points on the human heart. The emphases and key contributions of the proposed algorithm are uniform distribution of the feature points and sustained tolerable tracking error. While in many methods in the literature, detection takes place independently from the tracking procedure, adopting a different approach, we selected a data-driven detection stage, which works based on the feedback from tracking results from the Lucas–Kanade (LK) tracking algorithm to avoid unacceptable tracking errors. To ensure a uniform spatial distribution of the total detected feature points for tracking, a cost function is employed using the simulated annealing optimizer, which prevents the newly detected points from accumulating near the previously located points or stagnant regions. Implementing the proposed algorithm on a real human heart dataset showed that the presented algorithm yields more robust tracking and improved motion reconstruction, compared with the other available methods. Furthermore, to predict the motion of feature points for handling short-term occlusions, a state space model is utilized, and thin-plate spline (TPS) interpolation was also employed to estimate motion of any arbitrary point on the heart surface.

scholarly journals THE EXACT THEORETICAL RATIONAL EXPECTATIONS MONETARY AGGREGATE

2000 ◽  
Vol 4 (2) ◽  
pp. 197-221 ◽  
Author(s):  
William A. Barnett ◽  
Melvin J. Hinich ◽  
Piyu Yue
Keyword(s):  
Method Of Moments ◽  
Rational Expectations ◽  
Tracking Error ◽  
Generalized Method Of Moments ◽  
Simulated Data ◽  
Monetary Aggregate ◽  
Statistical Index ◽  
Tracking Errors ◽  
Index Numbers ◽  
Nonlinear Structure

In aggregation theory, index numbers are judged relative to their ability to track the exact aggregator functions nested within the economy's structure. We compare two statistical index numbers—the Divisia monetary aggregate and the simple-sum monetary aggregate—with the exact rational expectations monetary aggregate, using actual data. Because we are not using simulated data, we estimate the parameters of the Euler equations, and thereby of the nested monetary aggregator function, using the generalized method of moments. We explore the tracking errors of the two index numbers relative to the estimated exact aggregate. We investigate the circumstances under which risk aversion increases tracking error. We also use polyspectral methods to test for the existence of remaining nonlinear structure in the residual tracking errors.

Two-Dimensional Mapping of Localized Characteristics of Concentrator Photovoltaic Module

2012 ◽  
Vol 725 ◽  
pp. 187-190
Author(s):  
Hiroto Yano ◽  
Hirokazu Nagai ◽  
Kazuyuki Tamura ◽  
Kenji Araki ◽  
Kensuke Nishioka
Keyword(s):  
High Efficiency ◽  
Tracking Error ◽  
Fresnel Lens ◽  
Optical Systems ◽  
Photovoltaic Module ◽  
Two Dimensional ◽  
Solar Simulator ◽  
Tracking Errors ◽  
Irradiation Angle ◽  
Dimensional Mapping

For the development of concentrator photovoltaic (CPV) module realizing high efficiency, it is necessary to achieve the high efficiency optical system including Fresnel lens and homogenizer. For the improvement of optical systems, it is very important to understand the contribution of the light irradiated to a localized position on the Fresnel lens. The light beam induced current (LBIC) system was constructed to evaluate the focusing characteristic of the CPV module. We locally irradiated a light from solar simulator to the CPV mini-module and measured the generation current, and the localized characteristics were represented by two-dimensional mappings. Moreover, we evaluated the influence of tracking error by changing the irradiation angle. In the case of tracking errors, the peak of generated current was shifted and the current was decreased. In the case of tracking error of 1.0 o, the total generated current was reduced 12%, in comparison with the normal irradiance.

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