scholarly journals Serial correlation and TEV bias in index funds

2003 ◽  
Vol 34 (2) ◽  
pp. 45-53 ◽  
Author(s):  
H. Raubenheimer
Keyword(s):  
High Frequency ◽  
Serial Correlation ◽  
Tracking Error ◽  
Error Variance ◽  
Value Proposition ◽  
Fund Manager ◽  
Index Funds ◽  
Fund Managers ◽  
The Difference

Index or passive fund managers and investors analyse the interim volatility of the difference between their fund’s returns and the index’s returns, i.e. the fund’s tracking error variance** (TEV) in order to monitor the success with which tracker funds mimic their benchmark. The objective of a passive or index fund manager should be to keep TEV as close to zero as possible. Pope and Yadav (1994) show that an index fund that is overweight relative to it’s index in either relatively less or relatively more liquid stocks, is expected to exhibit negative serial correlation in its TE’s. Consequently, estimates of TEV will be upwardly biased, particularly when using high frequency (such as daily or weekly) data.This article finds evidence of negative serial correlation in the weekly, monthly and quarterly TE’s of domestic index funds. Consequently it is shown that TEV will likely be overestimated. There are two important implications of this upward bias in TEV estimation. Firstly, index funds, which are expected to offer close to zero benchmark-relative or active risk, may appear far more ‘risky’ than they actually are thus damaging their value-proposition to investors. Secondly, when funds appear to have greater TEV than they actually do, the manager may ‘churn’ the fund’s assets more than necessary in order to bring the fund back into alignment with its index thus incurring greater and unnecessary transaction costs.The analyses in this article therefore suggest that TE measurements should be examined for negative serial correlation before estimates of TEV are made. If serial correlation is detected, estimates of TEV should either be made from lower frequency, uncorrelated TE measurements, if they are available, or an adjustment technique such as the Lo-MacKinlay adjustment should be applied to correct for the bias in TEV estimation.

Comparison of In-the-Ear and Over-the-Ear Hearing Aid Fittings

1986 ◽  
Vol 51 (4) ◽  
pp. 362-369 ◽  
Author(s):  
Donna M. Risberg ◽  
Robyn M. Cox
Keyword(s):  
Hearing Aids ◽  
High Frequency ◽  
Comparative Evaluation ◽  
Speech Intelligibility ◽  
Hearing Aid ◽  
Hearing Aid Fitting ◽  
The Difference ◽  
Functional Gain ◽  
The Relationship

A custom in-the-ear (ITE) hearing aid fitting was compared to two over-the-ear (OTE) hearing aid fittings for each of 9 subjects with mild to moderately severe hearing losses. Speech intelligibility via the three instruments was compared using the Speech Intelligibility Rating (SIR) test. The relationship between functional gain and coupler gain was compared for the ITE and the higher rated OTE instruments. The difference in input received at the microphone locations of the two types of hearing aids was measured for 10 different subjects and compared to the functional gain data. It was concluded that (a) for persons with mild to moderately severe hearing losses, appropriately adjusted custom ITE fittings typically yield speech intelligibility that is equal to the better OTE fitting identified in a comparative evaluation; and (b) gain prescriptions for ITE hearing aids should be adjusted to account for the high-frequency emphasis associated with in-the-concha microphone placement.

Prior Return Effect in Indian Stock Market: An Intra-day Analysis

2015 ◽  
Vol 5 (1) ◽  
Author(s):  
Vanita Tripathi ◽  
Shalini Aggarwal
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
High Frequency ◽  
Good News ◽  
High Frequency Data ◽  
Short Term ◽  
Fund Managers ◽  
News Events ◽  
Return Effect ◽  
Indian Stock Market

In a first of this kind, this paper examines the issue of prior return effect in Indian stock market in intra-day analysis using high frequency data. We document that in Indian stock market, security returns exhibit a reversal in their direction within few minutes of extreme price rises as well as price falls. However the speed with which the correction takes place is slightly different for good news events and bad news events. Indian investors tend to be optimistic as they immediately bring stock prices up following unjustified price falls but take time to bring stock prices down following unjustified price rises. These findings lend a further support to short-term overreaction literature. More importantly, these findings serve as a proof of predictability of the direction of future stock prices and consequent returns on an intra-day basis. It forwards important investment implications for traders, fund managers, and investors at large.

scholarly journals Implicit incentives for fund managers with partial information

2021 ◽  
Author(s):  
Flavio Angelini ◽  
Katia Colaneri ◽  
Stefano Herzel ◽  
Marco Nicolosi
Keyword(s):  
Asset Allocation ◽  
Partial Information ◽  
Market Price ◽  
Investment Strategy ◽  
Expected Returns ◽  
Martingale Method ◽  
Fund Manager ◽  
Market Price Of Risk ◽  
Fund Managers ◽  
Price Of Risk

AbstractWe study the optimal asset allocation problem for a fund manager whose compensation depends on the performance of her portfolio with respect to a benchmark. The objective of the manager is to maximise the expected utility of her final wealth. The manager observes the prices but not the values of the market price of risk that drives the expected returns. Estimates of the market price of risk get more precise as more observations are available. We formulate the problem as an optimization under partial information. The particular structure of the incentives makes the objective function not concave. Therefore, we solve the problem by combining the martingale method and a concavification procedure and we obtain the optimal wealth and the investment strategy. A numerical example shows the effect of learning on the optimal strategy.

scholarly journals Hyperfine structure in the arc spectrum of cæsium and nuclear rotation

1928 ◽  
Vol 121 (787) ◽  
pp. 432-447 ◽  
Keyword(s):  
Hyperfine Structure ◽  
Nuclear Spin ◽  
High Frequency ◽  
Principal Series ◽  
Very High Frequency ◽  
Nuclear Rotation ◽  
Higher Temperature ◽  
The Difference ◽  
Mechanical Moment ◽  
Very High

The arc spectrum of cæsium was investigated with the object of finding whether any of its lines possessed hyperfine structure, resulting from a nuclear magnetic moment, due to a quantised nuclear spin. The lines belonging to the principal series should, owing to the greater degree of penetration of the electron in the (1 s or 6 1 ) orbit, and the correspondingly greater interaction, show the greatest effect. The lines of the principal series are very easily broadened if the vapour pressure of the metal becomes high, so that great care had to be used in obtaining the spectrum of cæsium at a sufficiently low temperature. The most satisfactory method of excitation was found to be the application by means of external electrodes of a very high frequency alternating current to a tube filled with helium at about 2 mm. pressure containing a small quantity of cæsium. The tube required slight heating to bring out the cæsium lines; without this the helium spectrum was very much stronger than the metallic spectrum. At a very low vapour pressures of cæsium the discharge was blue in colour. Under these conditions the lines of the principal series showed no broadening greater than that due to thermal agitation, but at a slightly higher temperature the colour of the discharge became purple and the lines broadened. The lines belonging to the principal series were found to be very close doublets with very nearly constant frequencies differences. A theory is worked out which explains the origin of these doublets, assuming a nuclear spin of one half quantum; by correlating the difference in the separation of the hyperfine structure doublets in the 1 s — m 2 p 3/2 lines and the 1 s — m 2 p 1/2 lines, it is shown that a ratio of the magnetic to the mechanical moment of the nucleus about twice as great as the corresponding ratio for the electron would account for the observed frequency differences. The spectral notation used throughout is that of Hund. The results are compared with those found for the hyperfine structure of some of the bismuth lines by Back and Goudsmid, and are found to be in satisfactory agreement. A selection principle is found which applies both to the bismuth and the cæsium spectrum.

Wavelet Filter Approach for GPS Attitude Tracking System on Ship

2010 ◽  
Vol 450 ◽  
pp. 552-555
Author(s):  
Ping Wang ◽  
Kai Xue ◽  
Qiu Hong Li
Keyword(s):  
High Frequency ◽  
Tracking System ◽  
Tracking Error ◽  
Low Frequency ◽  
Attitude Measurement ◽  
Visual Effects ◽  
Error Sources ◽  
Attitude Tracking ◽  
Servo Mechanism ◽  
Filter Approach

GPS attitude tracking system on the ship is a servo mechanism which could be used for counteracting the effects of the ship’s pitch and roll. But the attitude measurement precision of ship is more important to the tracking precision of the servo mechanism. As one of the major error sources, the noises of GPS attitude measurement bring out the steady tracking error of the tracking servo mechanism. To reduce the steady error due to the noise, the threshold noise removing method of wavelet is used to eliminate the noise. And the better result with the meaning of standard deviation and the better visual effects could be gotten by using the method. The signals of the processed high frequency and the retained low frequency could be reconstructed with the original signals. Therefore, the signals after noise removing could be obtained. The threshold noise removing method of wavelet used to remove the noise of GPS attitude information in the paper is of great value in practice.

High-frequency seismic noise as a function of depth

1991 ◽  
Vol 81 (4) ◽  
pp. 1101-1114
Author(s):  
Jerry A. Carter ◽  
Noel Barstow ◽  
Paul W. Pomeroy ◽  
Eric P. Chael ◽  
Patrick J. Leahy
Keyword(s):  
New York ◽  
High Frequency ◽  
Seismic Noise ◽  
Low Frequency ◽  
Time Variability ◽  
Orthogonal Components ◽  
The Difference ◽  
Frequency Coherence ◽  
Cultural Noise ◽  
Natural Wind

Abstract Evidence is presented supporting the view that high-frequency seismic noise decreases with increased depth. Noise amplitudes are higher near the free surface where surface-wave noise, cultural noise, and natural (wind-induced) noise predominate. Data were gathered at a hard-rock site in the northwestern Adirondack lowlands of northern New York. Between 15- and 40-Hz noise levels at this site are more than 10 dB less at 945-m depth than they are at the surface, and from 40 to 100 Hz the difference is more than 20 dB. In addition, time variability of the spectra is shown to be greater at the surface than at either 335- or 945-m depths. Part of the difference between the surface and subsurface noise variability may be related to wind-induced noise. Coherency measurements between orthogonal components of motion show high-frequency seismic noise is more highly organized at the surface than it is at depth. Coherency measurements between the same component of motion at different vertical offsets show a strong low-frequency coherence at least up to 945-m vertical offsets. As the vertical offset decreases, the frequency band of high coherence increases.

Performance of Pulsating High-Frequency Current Injection Based Sensorless Control of PMSM

2013 ◽  
Vol 347-350 ◽  
pp. 610-616
Author(s):  
Jian Min Wang
Keyword(s):  
High Frequency ◽  
Sensorless Control ◽  
Tracking Error ◽  
Position Estimation ◽  
Current Control ◽  
Current Injection ◽  
High Frequency Current ◽  
Position Errors ◽  
Pulsating Current ◽  
Frequency Current

In the paper the principle and performances of the pulsating current injection based sensorless control of permanent magnet synchronous motor (PMSM) are analyzed theoretically and investigated by simulations. In the analyses, the effects of the speed EMF terms and the deviation between the actual d-axis high-frequency current and the command, which results from the limited gain and bandwidth of the current control loop, are all taken into account. It is shown that the pulsating current injection method can achieve stable position estimation in a wide speed range. But appreciable position errors will result at high speeds due to the cross-coupling effects of the speed EMFs and the tracking error between the actual and command carrier current. In order to improve the performance, a modified scheme is proposed. Its validity is confirmed by simulations.

scholarly journals Analysis of Selectivity and Timing Skills of Fund Managers

2020 ◽  
Vol 6 ◽  
pp. 1
Author(s):  
Ashima Agarwal ◽  
Sanjeev Bansal ◽  
Lakhwinder K. Dhillon ◽  
◽  
◽  
...  
Keyword(s):  
Market Timing ◽  
Fund Manager ◽  
Fund Managers ◽  
Insight Into

There have been massive research works done on the concept of market timing and selectivity skills that are applied by the fund managers to optimize the returns to the fundholders/investors/clientele. The fact that still remains unidentified/studied is the factor(s) that are influential enough for the maximization of returns. There is a general perception that investors will only look upon the returns but the very factor that may influence that return is yet to be analyzed. This study focuses on gaining an insight into whether there is any correlation that exists between the fund manager’s selection or/and market timing abilities that, in turn, can be useful to the investors also in finding out which fund and fund manager to be trusted for investment.

scholarly journals Optimal minimax rates against non-smooth alternatives

2021 ◽  
Author(s):  
Kohtaro Hitomi ◽  
Masamune Iwasawa ◽  
Yoshihiko Nishiyama
Keyword(s):  
Alternative Hypothesis ◽  
Error Variance ◽  
Smooth Functions ◽  
Engel Curves ◽  
Minimax Rates ◽  
Instrumental Variable Regression ◽  
Bounded Functions ◽  
The Difference ◽  
Set Up ◽  
Minimax Rate

Abstract This study investigates optimal minimax rates for specification testing when the alternative hypothesis is built on a set of non-smooth functions. The set consists of bounded functions that are not necessarily differentiable with no smoothness constraints imposed on their derivatives. In the instrumental variable regression set up with an unknown error variance structure, we find that the optimal minimax rate is n−1/4, where n is the sample size. The rate is achieved by a simple test based on the difference between non-parametric and parametric variance estimators. Simulation studies illustrate that the test has reasonable power against various non-smooth alternatives. The empirical application to Engel curves specification emphasizes the good applicability of the test.

Nonword repetition and levels of abstraction in phonological knowledge

2006 ◽  
Vol 27 (4) ◽  
pp. 577-581 ◽  
Author(s):  
Benjamin Munson
Keyword(s):  
High Frequency ◽  
Low Frequency ◽  
Nonword Repetition ◽  
Chronological Age ◽  
Frequency Effect ◽  
Vocabulary Size ◽  
Levels Of Abstraction ◽  
Opposite Pattern ◽  
The Difference ◽  
Restriction Of Range

Susan Gathercole's Keynote Article (2006) is an impressive summary of the literature on nonword repetition and its relationship to word learning and vocabulary size. When considering research by Mary Beckman, Jan Edwards, and myself, Gathercole speculates that our finding of a stronger relationship between vocabulary measures and repetition accuracy for low-frequency sequences than for high-frequency sequences is due to differences in the range of the two measures. In our work on diphone repetition (e.g., Edwards, Beckman, & Munson, 2004; Munson, Edwards, & Beckman, 2005) we tried to increase the range in our dependent measures by coding errors on a finer grained scale than simple correct/incorrect scoring would allow. Moreover, restriction of range does not appear to be the driving factor in the relationship between vocabulary size and the difference between high- and low-frequency sequence repetition accuracy (what we call the frequency effect) in at least one of our studies (Munson et al., 2005). When the children with the 50 lowest mean accuracy scores for high-frequency sequences were examined, vocabulary size accounted for 10.5% of the variance in the frequency effect beyond what was accounted for by chronological age. When the 50 children with the highest mean accuracy scores for high-frequency sequences were examined (a group in which the range of high-frequency accuracy scores was more compressed, arguably reflecting ceiling effects), an estimate of vocabulary size accounted for only 6.9% of the frequency effect beyond chronological age. The associated β coefficient was significant only at the α<0.08 level. This is the opposite pattern than Gathercole's argument would predict.

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