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Journal articles on the topic 'Tracking Error/Aktiv risk'

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Published: 4 June 2021

Last updated: 1 February 2022

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Woodgate, Artemiza, and Andrew F. Siegel. "How Much Error Is in the Tracking Error?The Impact of Estimation Risk on Fund Tracking Error." Journal of Portfolio Management 41, no. 2 (2015): 84–99. http://dx.doi.org/10.3905/jpm.2015.41.2.084.

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Barro, Diana, and Elio Canestrelli. "Downside risk in multiperiod tracking error models." Central European Journal of Operations Research 22, no. 2 (2013): 263–83. http://dx.doi.org/10.1007/s10100-013-0290-y.

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Mack, Barbara J. "Practical Applications of How Much Error Is in the Tracking Error:The Impact of Estimation Risk on Fund Tracking Error." Practical Applications 3, no. 1 (2015): 1.12–4. http://dx.doi.org/10.3905/pa.2015.3.1.116.

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Doran, James. "The influence of tracking error on volatility risk premium estimation." Journal of Risk 9, no. 3 (2007): 1–36. http://dx.doi.org/10.21314/jor.2007.149.

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Hausner, Jan Frederick, and Gary van Vuuren. "Portfolio performance under tracking error and benchmark volatility constraints." Journal of Economics, Finance and Administrative Science 26, no. 51 (2021): 94–111. http://dx.doi.org/10.1108/jefas-06-2019-0099.

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Purpose Using a portfolio comprising liquid global stocks and bonds, this study aims to limit absolute risk to that of a standardised benchmark and determine whether this has a significant impact on expected return in both high volatility period (HV) and low volatility period (LV). Design/methodology/approach Using a traditional benchmark comprising 40% equity and 60% bonds, a constant tracking error (TE) frontier was constructed and implemented. Portfolio performance for different TE constraints and different economic periods (expansion and contraction) was explored. Findings Results indicate that during HV, replicating benchmark portfolio risk produces portfolios that outperform both the maximum return (MR) portfolio and the benchmark. MR portfolios outperform those with the same risk as that of the benchmark in LV. The MR portfolio weights assets to obtain the highest return on the TE frontier. During HV, the benchmark replicated risk portfolio obtained a higher absolute risk value than that of the MR portfolio because of an inefficient benchmark. In HV, the benchmark replicated risk portfolio favoured intermediate maturity treasury bills. Originality/value There is a dearth of literature exploring the performance of active portfolios subject to TE constraints. This work addresses this gap and demonstrates, for the first time, the relative portfolio performance of several standard portfolio choices on the frontier.

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Evans, Carig, and Gary van Vuuren. "Investment strategy performance under tracking error constraints." Investment Management and Financial Innovations 16, no. 1 (2019): 239–57. http://dx.doi.org/10.21511/imfi.16(1).2019.19.

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Recent (2018) evidence identifies the increased need for active managers to facilitate the exploitation of investment opportunities found in inefficient markets. Typically, active portfolios are subject to tracking error (TE) constraints. The risk-return relationship of such constrained portfolios is described by an ellipse in mean-variance space, known as the constant TE frontier. Although previous work assessed the performance of active portfolio strategies on the efficient frontier, this article uses several performance indicators to evaluate the outperformance of six active portfolio strategies over the benchmark – subject to various TE constraints – on the constant TE frontier.

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Ling, Aifan, Jie Sun, and Xiaoguang Yang. "Robust tracking error portfolio selection with worst-case downside risk measures." Journal of Economic Dynamics and Control 39 (February 2014): 178–207. http://dx.doi.org/10.1016/j.jedc.2013.11.011.

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Reid, Bryan. "Risk Reduction and Tracking Error in Small Commercial Real Estate Portfolios." Journal of Portfolio Management 45, no. 7 (2019): 130–40. http://dx.doi.org/10.3905/jpm.2019.1.101.

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Bertrand, Philippe. "Risk-adjusted performance attribution and portfolio optimisations under tracking-error constraints." Journal of Asset Management 10, no. 2 (2009): 75–88. http://dx.doi.org/10.1057/jam.2008.37.

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Daly, Michael, Michael Maxwell та Gary van Vuuren. "Feasible portfolios under tracking error, β, α and utility constraints". Investment Management and Financial Innovations 15, № 1 (2018): 141–53. http://dx.doi.org/10.21511/imfi.15(1).2018.13.

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The investment nous of active managers is judged on their ability to outperform specified benchmarks while complying with strict constraints on, for example, tracking errors, β and Value at Risk. Tracking error constraints give rise to a tracking error frontier – an ellipse in risk/return space which encloses theoretically possible (but not necessarily efficient) portfolios. The β frontier is a parabola in risk/return space and defines the threshold of portfolios subject to a specified β requirement. An α - TE frontier is similarly shaped: portfolios on this frontier have a specified TE for a maximum TE. Utility and associated risk aversion have also been explored for constrained portfolios. This paper contributes by establishing the impossibility of satisfying more than two constraints simultaneously and explores the behavior of these constraints on the maximum risk-adjusted return portfolio (defined arbitrarily here as the optimal portfolio).

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Gao, Yue Lin, and Li Na Yan. "Multi-Stages Index Tracking Optimization Model with Real-World Constraints Using PSO-DE Hybrid Algorithm." Applied Mechanics and Materials 380-384 (August 2013): 4786–91. http://dx.doi.org/10.4028/www.scientific.net/amm.380-384.4786.

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This paper proposes the portfolio risk of tracking error based on CVaR, and gives the multi-stages index tracking model considering some real-world constraints. We use the observed historical data and econometric methods to estimate the parameters in our model, rather than assume the returns of risk asset follow some distributions, and use filtered historical simulation method to calculate the CVaR risk of the downside tracking error. We use PSO-DE hybrid algorithm for solving our model by using Shanghai security 50 index and stocks included by the index.

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Palomba, Giulio, and Luca Riccetti. "Portfolio frontiers with restrictions to tracking error volatility and value at risk." Journal of Banking & Finance 36, no. 9 (2012): 2604–15. http://dx.doi.org/10.1016/j.jbankfin.2012.05.014.

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Lefebvre, William, Grégoire Loeper, and Huyên Pham. "Mean-Variance Portfolio Selection with Tracking Error Penalization." Mathematics 8, no. 11 (2020): 1915. http://dx.doi.org/10.3390/math8111915.

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This paper studies a variation of the continuous-time mean-variance portfolio selection where a tracking-error penalization is added to the mean-variance criterion. The tracking error term penalizes the distance between the allocation controls and a reference portfolio with same wealth and fixed weights. Such consideration is motivated as follows: (i) On the one hand, it is a way to robustify the mean-variance allocation in the case of misspecified parameters, by “fitting" it to a reference portfolio that can be agnostic to market parameters; (ii) On the other hand, it is a procedure to track a benchmark and improve the Sharpe ratio of the resulting portfolio by considering a mean-variance criterion in the objective function. This problem is formulated as a McKean–Vlasov control problem. We provide explicit solutions for the optimal portfolio strategy and asymptotic expansions of the portfolio strategy and efficient frontier for small values of the tracking error parameter. Finally, we compare the Sharpe ratios obtained by the standard mean-variance allocation and the penalized one for four different reference portfolios: equal-weights, minimum-variance, equal risk contributions and shrinking portfolio. This comparison is done on a simulated misspecified model, and on a backtest performed with historical data. Our results show that in most cases, the penalized portfolio outperforms in terms of Sharpe ratio both the standard mean-variance and the reference portfolio.

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Qiu, Min, Ruigai Li, and MingSheng Chen. "Optimization of Tracking Error for Robust Portfolio of Risk Assets with Transaction Cost." iBusiness 05, no. 01 (2013): 23–26. http://dx.doi.org/10.4236/ib.2013.51b005.

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Naibert, Paulo Ferreira, João F. Caldeira, and André A. P. Santos. "A note on the estimation of minimum tracking error portfolios." Brazilian Review of Econometrics 40, no. 1 (2020): 209. http://dx.doi.org/10.12660/bre.v40n12020.79437.

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Minimum tracking error portfolios are often implemented by portfolio managers in order to track the performance of a benchmark asset in terms of risk and return. This note provides an analytical derivation of the minimum tracking error portfolios of excess returns on a benchmark by relying on the regression-based approach to portfolio weights proposed in Kempf and Memmel (2006). This approach allows estimating the weights of the minimum tracking error portfolios by means of a simple OLS regression.

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Gunning, Wade, and Gary van Vuuren. "Optimal omega-ratio portfolio performance constrained by tracking error." Investment Management and Financial Innovations 17, no. 3 (2020): 263–80. http://dx.doi.org/10.21511/imfi.17(3).2020.20.

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The mean-variance framework coupled with the Sharpe ratio identifies optimal portfolios under the passive investment style. Optimal portfolio identification under active investment approaches, where performance is measured relative to a benchmark, is less well-known. Active portfolios subject to tracking error (TE) constraints lie on distorted elliptical frontiers in return/risk space. Identifying optimal active portfolios, however defined, have only recently begun to be explored. The Ω – ratio considers both down and upside portfolio potential. Recent work has established a technique to determine optimal Ω – ratio portfolios under the passive investment approach. The authors apply the identification of optimal Ω – ratio portfolios to the active arena (i.e., to portfolios constrained by a TE) and find that while passive managers should always invest in maximum Ω – ratio portfolios, active managers should first establish market conditions (which determine the sign of the main axis slope of the constant TE frontier). Maximum Sharpe ratio portfolios should be engaged when this slope is &amp;gt; 0 and maximum Ω – ratios when &amp;lt; 0.

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윤주영 and 반주일. "Active Risk and Tracking Error of ETFs : Evidence from KOSPI200 ETFs and Portfolio Deposit Files." Journal of International Trade & Commerce 10, no. 6 (2014): 1239–63. http://dx.doi.org/10.16980/jitc.10.6.201412.1239.

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LOZZA, SERGIO ORTOBELLI, HAIM SHALIT, and FRANK J. FABOZZI. "PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS." International Journal of Theoretical and Applied Finance 16, no. 05 (2013): 1350029. http://dx.doi.org/10.1142/s0219024913500295.

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This paper theoretically and empirically investigates the connection between portfolio theory and ordering theory. In particular, we examine three different portfolio problems and the respective orderings used to rank investors' choices: (1) risk orderings, (2) variability orderings, and (3) tracking-error orderings. For each problem, we discuss the properties of the risk measures, variability measures, and tracking-error measures, as well as their consistency with investor choices. Finally, for each problem, we propose an empirical application of several admissible portfolio optimization problems using the US stock market. The proposed empirical analysis permits us to evaluate the ex-post impact of the optimal choices, thereby deriving completely different investors' preference orderings during the recent financial crisis.

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Stucchi, Patrizia. "A unified approach to portfolio selection in a tracking error framework with additional constraints on risk." Quarterly Review of Economics and Finance 56 (May 2015): 165–74. http://dx.doi.org/10.1016/j.qref.2014.09.008.

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Venkataraman, R., and Thilak Venkatesan. "Evaluation of Growth of Mutual Funds and Exchange Traded Funds in India." SDMIMD Journal of Management 7, no. 1 (2016): 41. http://dx.doi.org/10.18311/sdmimd/2016/8413.

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Investors are always baffled about the risk-return characteristics of their investments. There is often the challenge of the alternative between active&amp;passive investments. In case of active mutual funds there are numerous categories of active funds each tracking a different benchmark. It often leads to confusion about how the performance can be compared between one fund to another. The growth of ETFs' has been phenomenal in the recent years due to various advantages of an exchange traded fund compared to the mutual fund as lower cost of management, lesser dependence on fund manager, ease of transaction to name a few. In this context the research analysedthe passive ETF's&amp;prominent Mutual funds both active and passive to justify superior returns at lower risk. The research was based on secondary data, for a period of 5 years i.e. from 2010 to 2015.The various tools used were Sharpe Ratio, Jenson's Alpha, Treynor's Ratio and Tracking error. The study recommends fund houses to implement proactive strategies to reduce tracking error and make ETF's a better alternative for investment.

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Maurer, Frantz, and S. Owen Williams. "Physically Versus Synthetically Replicated Trackers: Is There A Difference In Terms Of Risk?" Journal of Applied Business Research (JABR) 31, no. 1 (2014): 131. http://dx.doi.org/10.19030/jabr.v31i1.8996.

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This article presents the two methods of constructing exchange traded funds and questions whether investors should privilege one structure over the other. To do so, the authors detail the sources of tracking error and risks inherent in each method. As synthetically-created funds include an additional dimension of risk, the authors seek to determine to what measure investors are compensated for this added risk.

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Williams, Owen. "Foreign currency exposure within country exchange traded funds." Studies in Economics and Finance 33, no. 2 (2016): 222–43. http://dx.doi.org/10.1108/sef-10-2014-0196.

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Purpose The purpose of this paper is to consider the implicit effect of the underlying foreign currency exposure on the performance characteristics of country exchange traded funds. Design/methodology/approach To arrive at an overall estimation of the exchange-traded fund (ETF)’s tracking error, the mean of the three measures of tracking error was calculated for both the hedged (r_LC) and unhedged (r_NAV) return series. Since tracking error does not capture all the risk inherent in a country index fund, the study extends the analysis using the Sortino and Modified Sharpe ratios. Findings The decision to hedge currency risk should not be taken on the sole basis of historical volatilities. The investor must also factor in transactions costs, the possible roll of futures contracts and prevailing interest rate differentials. If the rate on the foreign currency is greater than the dollar (euro) rate, the investor will pay for the hedge. If the rate on the foreign currency is less than the dollar (euro) rate, the investor will gain on the trade. Given that hedging entails additional costs, in cases where the neutralization of currency volatility only reduces risk modestly, it would be advisable to leave the exchange rate risk unhedged. We propose two metrics for ETF investors deciding whether to hedge a country ETF’s underlying currency risk. Originality/value The results highlight a key finding: while the majority of country funds accurately track the performance of the underlying foreign index when measured in the local currency, returns in the fund currency can be much more volatile. In breaking down the sources of country fund volatility, the paper demonstrates the impact of the underlying currency movements on overall fund risk. In cases where the currency impact has a significant impact on fund tracking errors, an index-oriented investor benefits from neutralizing the exchange rate effect. Additionally, as the Sortino and Modified Sharpe measures suggest that the underlying currency exposure offers in most cases a better risk-adjusted return for country exchange-traded funds (ETFs) in the listing currency, we also calculate the risk minimizing foreign currency exposure for each fund and propose a decision rule based on the net currency variance to decide whether to hedge the ETF’s currency risk. The optimal hedge ratio indicates that US-based investors should only partially hedge the underlying currency risk while European-based investors are better off fully hedging currency risk.

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García, Fernando, Francisco Guijarro, and Ismael Moya. "A MULTIOBJECTIVE MODEL FOR PASSIVE PORTFOLIO MANAGEMENT: AN APPLICATION ON THE S&P 100 INDEX." Journal of Business Economics and Management 14, no. 4 (2013): 758–75. http://dx.doi.org/10.3846/16111699.2012.668859.

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Index tracking seeks to minimize the unsystematic risk component by imitating the movements of a reference index. Partial index tracking only considers a subset of the stocks in the index, enabling a substantial cost reduction in comparison with full tracking. Nevertheless, when heterogeneous investment profiles are to be satisfied, traditional index tracking techniques may need different stocks to build the different portfolios. The aim of this paper is to propose a methodology that enables a fund's manager to satisfy different clients’ investment profiles but using in all cases the same subset of stocks, and considering not only one particular criterion but a compromise between several criteria. For this purpose we use a mathematical programming model that considers the tracking error variance, the excess return and the variance of the portfolio plus the curvature of the tracking frontier. The curvature is not defined for a particular portfolio, but for all the portfolios in the tracking frontier. This way funds’ managers can offer their clients a wide range of risk-return combinations just picking the appropriate portfolio in the frontier, all of these portfolios sharing the same shares but with different weights. An example of our proposal is applied on the S&P 100.

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P.R, Roshni, and E. Sulaiman. "PERFORMANCE OF NIFTY 50 EXCHANGE TRADED FUNDS." International Journal of Advanced Research 9, no. 02 (2021): 77–83. http://dx.doi.org/10.21474/ijar01/12420.

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The study evaluated the performance of selected Nifty 50 ETFs tracking Nifty 50 Index listed in National Stock Exchange in India during a period of six years starting from 1st April, 2014 to 31st March, 2020. The performance of ETFs is measured using Average Daily Returns, CAGR, HPR, Standard Deviation, Tracking Error, R squared and Beta. It is found that there is difference in the risk-return pattern of Nifty 50 ETFs and its index Nifty 50. Aditya Birla Nifty ETF is the performing fund among the selected ETFs.

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Ling, Aifan, and Le Tang. "A Numerical Study for Robust Active Portfolio Management with Worst-Case Downside Risk Measure." Mathematical Problems in Engineering 2014 (2014): 1–13. http://dx.doi.org/10.1155/2014/912389.

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Recently, active portfolio management problems are paid close attention by many researchers due to the explosion of fund industries. We consider a numerical study of a robust active portfolio selection model with downside risk and multiple weights constraints in this paper. We compare the numerical performance of solutions with the classical mean-variance tracking error model and the naive1/Nportfolio strategy by real market data from China market and other markets. We find from the numerical results that the tested active models are more attractive and robust than the compared models.

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Dardari, Davide, Nicoló Decarli, Anna Guerra, et al. "High-Accuracy Tracking Using Ultrawideband Signals for Enhanced Safety of Cyclists." Mobile Information Systems 2017 (2017): 1–13. http://dx.doi.org/10.1155/2017/8149348.

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In this paper, an ultrawideband localization system to improve the cyclists’ safety is presented. The architectural solutions proposed consist of tags placed on bikes, whose positions have to be estimated, and anchors, acting as reference nodes, located at intersections and/or on vehicles. The peculiarities of the localization system in terms of accuracy and cost enable its adoption with enhanced risk assessment units situated on the infrastructure/vehicle, depending on the architecture chosen, as well as real-time warning to the road users. Experimental results reveal that the localization error, in both static and dynamic conditions, is below 50 cm in most of the cases.

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Chen, Hsiu-lang, and George G. Pennacchi. "Does Prior Performance Affect a Mutual Fund’s Choice of Risk? Theory and Further Empirical Evidence." Journal of Financial and Quantitative Analysis 44, no. 4 (2009): 745–75. http://dx.doi.org/10.1017/s002210900999010x.

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AbstractRecent empirical studies of mutual fund competition examine the relation between a fund’s performance, the fund manager’s compensation, and the fund manager’s choice of portfolio risk. This paper models a manager’s portfolio choice for compensation rules that can be either a concave, linear, or convex function of the fund’s performance relative to that of a benchmark. For particular compensation structures, a manager increases the fund’s “tracking error” volatility as its relative performance declines. However, declining performance does not necessarily lead the manager to raise the volatility of the fund’s return. The paper presents nonparametric and parametric tests of the relation between mutual fund performance and risk taking for more than 6,000 equity mutual funds over the 1962 to 2006 period. There is a tendency for mutual funds to increase the standard deviation of tracking errors, but not the standard deviation of returns, as their performance declines. This risk-shifting behavior appears more common for funds whose managers have longer tenures.

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Filip, Dariusz. "Managerial Factors in Investment Risk: Evidence from Polish Mutual Funds." e-Finanse 16, no. 1 (2020): 1–10. http://dx.doi.org/10.2478/fiqf-2020-0001.

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AbstractThe aim of this study is to examine whether investment risk is related to the managerial factors characterising portfolio managers. The study employs four risk measures and a set of individual manager characteristics, including socio-demographic variables determining a manager profile. The analysis is conducted based on data for 144 portfolio managers from 43 domestic equity funds operating in Poland in the period 2000-2015. The examinations are made possible by using static panel models. The obtained results indicate the existence of a relationship between managerial characteristics and risk measures, such as: standard deviation, beta coefficient, tracking error and bear-market percentile ranking. To our knowledge, it is the first paper to evaluate the investment risk of Polish mutual funds in relation to managerial characteristics.

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Li, Xuanpeng, Lifeng Zhu, Qifan Xue, Dong Wang, and Yongjie Jessica Zhang. "Fluid-inspired field representation for risk assessment in road scenes." Computational Visual Media 6, no. 4 (2020): 401–15. http://dx.doi.org/10.1007/s41095-020-0190-8.

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AbstractPrediction of the likely evolution of traffic scenes is a challenging task because of high uncertainties from sensing technology and the dynamic environment. It leads to failure of motion planning for intelligent agents like autonomous vehicles. In this paper, we propose a fluid-inspired model to estimate collision risk in road scenes. Multi-object states are detected and tracked, and then a stable fluid model is adopted to construct the risk field. Objects’ state spaces are used as the boundary conditions in the simulation of advection and diffusion processes. We have evaluated our approach on the public KITTI dataset; our model can provide predictions in the cases of misdetection and tracking error caused by occlusion. It proves a promising approach for collision risk assessment in road scenes.

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Barnett, William A., Melvin J. Hinich, and Piyu Yue. "THE EXACT THEORETICAL RATIONAL EXPECTATIONS MONETARY AGGREGATE." Macroeconomic Dynamics 4, no. 2 (2000): 197–221. http://dx.doi.org/10.1017/s1365100500015030.

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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.

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Zheng, Dong, and Xi Kun Liang. "Constraint Tracking Error for Investment Portfolio Optimization Model and Algorithm of VaR in Additional Transaction Costs." Applied Mechanics and Materials 543-547 (March 2014): 1811–16. http://dx.doi.org/10.4028/www.scientific.net/amm.543-547.1811.

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Based on the uncertainty of covariant matrix and value of expected return in risk assets, constraint tracking error for investment portfolio optimization model of VaR in additional transaction costs is constructed in this paper. The validity is proved by using the method of linear matrix inequality. According to empirical analysis, the results of different investment models are analyzed and compared with the one gotten by the method in this paper. It is concluded that the distribution of weights of the model in this paper is more reasonable and its final return is better than other models. Moreover, it may be closer to the modern financial markets for its transaction cost.

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Rossiter, Anna, Matthew J. Allsop, Rachael K. Raw, et al. "Manual tracking impairs postural stability in older adults." British Journal of Occupational Therapy 80, no. 9 (2017): 539–48. http://dx.doi.org/10.1177/0308022617712206.

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Introduction Older adults show increased postural sway and a greater risk of falls when completing activities with high cognitive demands. While dual-task approaches have clarified an association between cognitive processes and postural control, it is unclear how manual ability, which is also required for the successful completion of cognitively demanding tasks (such as putting a key into a lock), affects this relationship. Method Kinematic technology was used to explore the relationship between postural sway and manual control in healthy younger and older adults. Participants ( n = 82) remained standing to complete a visual-motor tracking task on a tablet computer. Root mean square tracking error measured manual performance, and a balance board measured deviations in centre of pressure as a marker of postural sway. Results Older adults displayed poorer manual accuracy and increased postural sway across all testing conditions. Conclusions Cognitive capacity can interact with multiple task demands, and in turn affect postural sway in older adults. Improving our understanding of factors that influence postural control will assist falls-prevention efforts and inform clinical practice.

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Lee, Stephen, and Giacomo Morri. "Real estate fund active management." Journal of Property Investment & Finance 33, no. 6 (2015): 494–516. http://dx.doi.org/10.1108/jpif-06-2014-0043.

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Purpose – The purpose of this paper is to analyse the performance of UK property funds using the dual sources of active management, Active Share and tracking error, to distinguish between the types of active management styles used by funds. Design/methodology/approach – The authors use data on 38 UK real estate funds and classify them into five active management categories using the dual sources of active management, Active Share and tracking error. Then, the authors compare their return performance against Active Share, tracking error, fund size and leverage. Therefore the paper is able to answer two of the fundamental questions of investment: does active management add value and what form of active management, stock selection or factor risk, is better at adding value to the fund? Findings – There are three main conclusions. First, the approach of Cremers and Petajisto (2009) and Petajisto (2010) is able to classify real estate funds in the UK on their management activity into categories that makes intuitive sense and seem stable over time. Second, balanced funds show relatively low Active Shares and particularly low tracking errors, due to the benefits of property-type diversification. In contrast, specialists funds display higher Active Shares and both low and high tracking errors depending on their stock-picking approach; diversified or concentrated. Third, an analysis over different time periods confirmed that funds in the sample essentially remained in the same categories within the sample period, even during markedly different market return periods. This implies that investors need to constantly monitor changes in the market and switch between fund management styles, if at all possible. Research limitations/implications – The analysis was only based on 38 funds with complete data over the sample period and the relationship between fees and active management was not examined, even though ultimately investors are concerned with returns after management fee. It would be instructive therefore if the number of funds and time period was expanded to see if the results are robust and to see whether management fees outweigh the benefits of active manager. Practical implications – The findings should enable investors to make a more informed investment decisions in the future. Originality/value – To the best of the author’s knowledge this is the first paper to apply the dual sources of active management, Active Share and tracking error, in the UK real estate market.

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Xie, Qichang, and Meng Du. "The Optimal Selection for Restricted Linear Models with Average Estimator." Abstract and Applied Analysis 2014 (2014): 1–13. http://dx.doi.org/10.1155/2014/692472.

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The essential task of risk investment is to select an optimal tracking portfolio among various portfolios. Statistically, this process can be achieved by choosing an optimal restricted linear model. This paper develops a statistical procedure to do this, based on selecting appropriate weights for averaging approximately restricted models. The method of weighted average least squares is adopted to estimate the approximately restricted models under dependent error setting. The optimal weights are selected by minimizing ak-class generalized information criterion (k-GIC), which is an estimate of the average squared error from the model average fit. This model selection procedure is shown to be asymptotically optimal in the sense of obtaining the lowest possible average squared error. Monte Carlo simulations illustrate that the suggested method has comparable efficiency to some alternative model selection techniques.

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Liang, Fan, Xing Li Wu, Shi Gang Cui, and Li Zhao. "The Mixed Kalman and H Infinity Filter Based Robust Model Following Control Algorithm for CABG Beating Heart Surgery." Applied Mechanics and Materials 543-547 (March 2014): 1360–64. http://dx.doi.org/10.4028/www.scientific.net/amm.543-547.1360.

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In the CABG surgery the robot dynamically cancels the relative motion between the point of interest (POI) on the beating heart and robotic instruments, such that the surgeon can operate as if the heart is stationary. However, the highly nonlinear and non-stationary nature of the beating heart motion poses difficulties for robot to follow the characteristics of the beating heart motion. Furthermore, the surgery has potential safety risk if the robot system could not track the POI properly. Therefore, in order to minimize the effects caused by the uncertainty in the heart motion model during the surgery, a robust prediction based model following control algorithm is proposed here. The adaptive Autoregressive (AR) model integrated the mixed Kalman and H infinity filter to estimate the state of the beating heart motion in the sense of minimizing minimize both RMS motion estimation error and worst case motion estimation error. In addition, the linear quadratic optimal tracking theory was used to implement the model following controller. In such way a complicated heart motion tracking problem transformed to dynamic model following problem and the robust property of the tracking control is more effective. The method is verified by two prerecorded distinguished datasets on 3D test bed robotics.

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Martinez-Marquez, Daniel, Sravan Pingali, Kriengsak Panuwatwanich, Rodney A. Stewart, and Sherif Mohamed. "Application of Eye Tracking Technology in Aviation, Maritime, and Construction Industries: A Systematic Review." Sensors 21, no. 13 (2021): 4289. http://dx.doi.org/10.3390/s21134289.

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Most accidents in the aviation, maritime, and construction industries are caused by human error, which can be traced back to impaired mental performance and attention failure. In 1596, Du Laurens, a French anatomist and medical scientist, said that the eyes are the windows of the mind. Eye tracking research dates back almost 150 years and it has been widely used in different fields for several purposes. Overall, eye tracking technologies provide the means to capture in real time a variety of eye movements that reflect different human cognitive, emotional, and physiological states, which can be used to gain a wider understanding of the human mind in different scenarios. This systematic literature review explored the different applications of eye tracking research in three high-risk industries, namely aviation, maritime, and construction. The results of this research uncovered the demographic distribution and applications of eye tracking research, as well as the different technologies that have been integrated to study the visual, cognitive, and attentional aspects of human mental performance. Moreover, different research gaps and potential future research directions were highlighted in relation to the usage of additional technologies to support, validate, and enhance eye tracking research to better understand human mental performance.

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Kaur, Prabhdeep, Jaspal Singh, and Sidharath Seth. "Investigating the Dynamics of Exchange Traded Funds Across the Bear and Bull Markets: Evidence from Indian Equity ETFs." Vision: The Journal of Business Perspective 25, no. 3 (2021): 350–60. http://dx.doi.org/10.1177/09722629211007581.

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The present study attempts to examine the tracking ability of Indian equity exchange traded funds (ETFs) across the bearish and bullish market regimes. Also, ETFs’ sensitivity to their respective underlying indices across the two market conditions is examined so as to gain an insight into the differences in risk exposure under the two regimes using DBM. The results found that the tracking error (TE) of ETFs varies across the two market regimes with it higher during the bullish regime. At the same time, ETFs’ responsiveness to their underlying indices is found to be higher during the bearish market regime, which justifies the existence of lower TE during the bearish regime. NIFTYBEES, KOTAKNIFTY and BANKBEES emerged to be the top three performers in terms of tracking efficiency. Further, NIFTYBEES, BANKBEES and JUNIORBEES are reported to provide significantly positive excess returns during the bullish regime. As such, investors considering investment in equity ETFs can opt for the top performing funds where they also stand a chance to earn excess return (in few cases). Also, it is observed the beta coefficients of ETFs varied significantly from unity. It suggests that the ETFs and their respective underlying indices are not subject to similar systematic risk.

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Ren, Yue, Ling Zheng, Wei Yang, and Yinong Li. "Potential field–based hierarchical adaptive cruise control for semi-autonomous electric vehicle." Proceedings of the Institution of Mechanical Engineers, Part D: Journal of Automobile Engineering 233, no. 10 (2018): 2479–91. http://dx.doi.org/10.1177/0954407018797571.

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Adaptive cruise control, as a driver assistant system for vehicles, can adjust the vehicle speed to keep the appropriate distance from other vehicles, which highly increases the driving safety and driver’s comfort. This paper presents hierarchical adaptive cruise control system that could balance the driver’s expectation, collision risk, and ride comfort. In the adaptive cruise control structure, there are two controllers to achieve the function. The one is the upper controller which is established based on the model predictive control theory and used to calculate the desirable longitudinal acceleration. The collision risk is described by the Gaussian distribution. A quadratic cost function for model predictive control is formulated based on the potential field method through the contradictions between the tracking error, collision risk, and the longitudinal ride comfort. The other one is the lower optimal torque vectoring controller which is constructed based on the vehicle longitudinal dynamics. And it can generate the desired acceleration considering the anti-wheel slip limitations. Several simulations under different road conditions demonstrate that the proposed adaptive cruise control has significant performance on balancing the tracking ability, collision avoidance, ride comfort, and adhesion utilization. It also maintains vehicle stability for the complex road conditions.

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Luo, Li, Yu, et al. "Research on Time-Correlated Errors Using Allan Variance in a Kalman Filter Applicable to Vector-Tracking-Based GNSS Software-Defined Receiver for Autonomous Ground Vehicle Navigation." Remote Sensing 11, no. 9 (2019): 1026. http://dx.doi.org/10.3390/rs11091026.

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The global navigation satellite system (GNSS) has been applied to many areas, e.g.,the autonomous ground vehicle, unmanned aerial vehicle (UAV), precision agriculture, smart city,and the GNSS-reflectometry (GNSS-R), being of considerable significance over the past few decades.Unfortunately, the GNSS signal performance has the high risk of being reduced by the environmentalinterference. The vector tracking (VT) technique is promising to enhance the robustness in highdynamics as well as improve the sensitivity against the weak environment of the GNSS receiver.However, the time-correlated error coupled in the receiver clock estimations in terms of the VT loopcan decrease the accuracy of the navigation solution. There are few works present dealing with thisissue. In this work, the Allan variance is accordingly exploited to specify a model which is expectedto account for this type of error based on the 1st-order Gauss-Markov (GM) process. Then, it is usedfor proposing an enhanced Kalman filter (KF) by which this error can be suppressed. Furthermore,the proposed system model makes use of the innovation sequence so that the process covariancematrix can be adaptively adjusted and updated. The field tests demonstrate the performance of theproposed adaptive vector-tracking time-correlated error suppressed Kalman filter (A-VTTCES-KF).When compared with the results produced by the ordinary adaptive KF algorithm in terms of the VTloop, the real-time kinematic (RTK) positioning and code-based differential global positioning system(DGPS) positioning accuracies have been improved by 14.17% and 9.73%, respectively. On the otherhand, the RTK positioning performance has been increased by maximum 21.40% when comparedwith the results obtained from the commercial low-cost U-Blox receiver.

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Nontasak, T., D. L. Dolgin, and G. R. Griffin. "Performance-Based Tests, Personality Attributes, and Training Outcome among Landing Craft Air Cushion (LCAC) Vehicle Operators." Proceedings of the Human Factors Society Annual Meeting 33, no. 14 (1989): 901–4. http://dx.doi.org/10.1177/154193128903301408.

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To date, only limited entry requirements exist for selection of vehicle operators for the U.S. Navy landing craft air cushion (LCAC) vehicle training program. What these requirements should be has not been empirically determined, hence a research effort in this area is needed. An additional impetus for such research has been a series of costly accidents resulting from operator error. Our objectives were to develop a cognitive, psychomotor, multiple-task, and personality-oriented test battery having the potential to predict the training outcome of LCAC operators and serving as an LCAC-personnel screening system. Automated tests used included Dichotlc Listening, Psychomotor, Manikin, One-dimensional Compensatory Tracking, Digit Cancellation, and Risk-taking. Significant predictors of training grade criteria included a multiple Dichotic Listening test. Training grade also correlated with the stick-rudder-throttle conditions of the Psychomotor task and with the One-dimensional Compensatory Tracking task when performed in combination with the Digit Cancellation task. Risk-taking tendencies were also significantly related to overall training grade. These findings suggest that components of the test battery have the potential to predict LCAC training performance.

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Dance, Sandy, Elizabeth Ebert, and David Scurrah. "Thunderstorm Strike Probability Nowcasting." Journal of Atmospheric and Oceanic Technology 27, no. 1 (2010): 79–93. http://dx.doi.org/10.1175/2009jtecha1279.1.

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Abstract To assist in thunderstorm warning, automated nowcasting systems have been developed that detect thunderstorm cells in radar images and propagate them forward in time to generate forecasted threat areas. Current methods, however, fail to quantify the probabilistic nature of the error structure of such forecasts. This paper introduces the Thunderstorm Environment Strike Probability Algorithm (THESPA), which forecasters can use to provide probabilistic thunderstorm nowcasts for risk assessment and emergency decision making. This method accounts for the prediction error by transforming thunderstorm nowcasts into a strike probability, or the probability that a given location will be impacted by a thunderstorm in a given period, by specifying a bivariate Gaussian distribution of speed and direction errors. This paper presents the development and analysis of the THESPA method and verifies performance using experimental data. Results from a statistical analysis of Thunderstorm Identification, Tracking, Analysis, and Nowcasting (TITAN) tracking errors of nowcasts made near Sydney, Australia, were used to specify the distribution, which was then applied to data collected from the World Weather Research Programme (WWRP) Beijing 2008 Forecast Demonstration Project. The results are encouraging and show Brier skill scores between 0.36 and 0.44 with respect to a deterministic advected threat area forecast.

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Manni, Francesca, Adrian Elmi-Terander, Gustav Burström, et al. "Towards Optical Imaging for Spine Tracking without Markers in Navigated Spine Surgery." Sensors 20, no. 13 (2020): 3641. http://dx.doi.org/10.3390/s20133641.

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Surgical navigation systems are increasingly used for complex spine procedures to avoid neurovascular injuries and minimize the risk for reoperations. Accurate patient tracking is one of the prerequisites for optimal motion compensation and navigation. Most current optical tracking systems use dynamic reference frames (DRFs) attached to the spine, for patient movement tracking. However, the spine itself is subject to intrinsic movements which can impact the accuracy of the navigation system. In this study, we aimed to detect the actual patient spine features in different image views captured by optical cameras, in an augmented reality surgical navigation (ARSN) system. Using optical images from open spinal surgery cases, acquired by two gray-scale cameras, spinal landmarks were identified and matched in different camera views. A computer vision framework was created for preprocessing of the spine images, detecting and matching local invariant image regions. We compared four feature detection algorithms, Speeded Up Robust Feature (SURF), Maximal Stable Extremal Region (MSER), Features from Accelerated Segment Test (FAST), and Oriented FAST and Rotated BRIEF (ORB) to elucidate the best approach. The framework was validated in 23 patients and the 3D triangulation error of the matched features was < 0.5 mm. Thus, the findings indicate that spine feature detection can be used for accurate tracking in navigated surgery.

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Slamani, Mohamed, Albert Nubiola, and Ilian A. Bonev. "EFFECT OF SERVO SYSTEMS ON THE CONTOURING ERRORS IN INDUSTRIAL ROBOTS." Transactions of the Canadian Society for Mechanical Engineering 36, no. 1 (2012): 83–96. http://dx.doi.org/10.1139/tcsme-2012-0006.

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Two important aspects of the performance of a servo system, tracking errors and contour errors, significantly affect the accuracy of industrial robots under high-speed motion. Careful tuning of the control parameters in a servo system is essential, if the risk of severe structural vibration and a large contouring error is to be avoided. In this paper, we present an overview of a method to diagnose contouring errors caused by the servo control system of an ABB IRB 1600 industrial robot by measuring the robot’s motion accuracy in a Cartesian circular shape using a double ballbar (DBB) measurement instrument. Tests were carried out at different TCP (tool centre-point) speed and trajectory radii to investigate the main sources of errors that affect circular contouring accuracy. Results show that radius size errors and out-of-roundness are significant. A simple experimental model based on statistical tests was also developed to represent and predict the radius size error. The model was evaluated by comparing its prediction capability in several experiments. An excellent error prediction capability was observed.

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Carment, Loïc, Lucile Dupin, Laura Guedj, et al. "Impaired attentional modulation of sensorimotor control and cortical excitability in schizophrenia." Brain 142, no. 7 (2019): 2149–64. http://dx.doi.org/10.1093/brain/awz127.

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Abstract Impairments in attentional, working memory and sensorimotor processing have been consistently reported in schizophrenia. However, the interaction between cognitive and sensorimotor impairments and the underlying neural mechanisms remains largely uncharted. We hypothesized that altered attentional processing in patients with schizophrenia, probed through saccadic inhibition, would partly explain impaired sensorimotor control and would be reflected as altered task-dependent modulation of cortical excitability and inhibition. Twenty-five stabilized patients with schizophrenia, 17 unaffected siblings and 25 healthy control subjects were recruited. Subjects performed visuomotor grip force-tracking alone (single-task condition) and with increased cognitive load (dual-task condition). In the dual-task condition, two types of trials were randomly presented: trials with visual distractors (requiring inhibition of saccades) or trials with addition of numbers (requiring saccades and addition). Both dual-task trial types required divided visual attention to the force-tracking target and to the distractor or number. Gaze was measured during force-tracking tasks, and task-dependent modulation of cortical excitability and inhibition were assessed using transcranial magnetic stimulation. In the single-task, patients with schizophrenia showed increased force-tracking error. In dual-task distraction trials, force-tracking error increased further in patients, but not in the other two groups. Patients inhibited fewer saccades to distractors, and the capacity to inhibit saccades explained group differences in force-tracking performance. Cortical excitability at rest was not different between groups and increased for all groups during single-task force-tracking, although, to a greater extent in patients (80%) compared to controls (40%). Compared to single-task force-tracking, the dual-task increased cortical excitability in control subjects, whereas patients showed decreased excitability. Again, the group differences in cortical excitability were no longer significant when failure to inhibit saccades was included as a covariate. Cortical inhibition was reduced in patients in all conditions, and only healthy controls increased inhibition in the dual-task. Siblings had similar force-tracking and gaze performance as controls but showed altered task-related modulation of cortical excitability and inhibition in dual-task conditions. In patients, neuropsychological scores of attention correlated with visuomotor performance and with task-dependant modulation of cortical excitability. Disorganization symptoms were greatest in patients with weakest task-dependent modulation of cortical excitability. This study provides insights into neurobiological mechanisms of impaired sensorimotor control in schizophrenia showing that deficient divided visual attention contributes to impaired visuomotor performance and is reflected in impaired modulation of cortical excitability and inhibition. In siblings, altered modulation of cortical excitability and inhibition is consistent with a genetic risk for cortical abnormality.

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Bresky, Wayne C., Jaime M. Daniels, Andrew A. Bailey, and Steven T. Wanzong. "New Methods toward Minimizing the Slow Speed Bias Associated with Atmospheric Motion Vectors." Journal of Applied Meteorology and Climatology 51, no. 12 (2012): 2137–51. http://dx.doi.org/10.1175/jamc-d-11-0234.1.

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AbstractComparisons between satellite-derived winds and collocated rawinsonde observations often show a pronounced slow speed bias at mid- and upper levels of the atmosphere. A leading cause of the slow speed bias is the improper assignment of the tracer to a height that is too high in the atmosphere. Height errors alone cannot fully explain the slow bias, however. Another factor influencing the speed bias is the size of the target window used in the tracking step. Tracking with a large target window can cause excessive averaging to occur and a smoothing of the instantaneous wind field. Conversely, if too small a window is specified, there is an increased risk of finding a false match. The authors have developed a new “nested tracking” approach that isolates the dominant local motion within a cloud scene and minimizes the smoothing of the motion estimate. A major advantage of the new approach is the ability to identify which pixels within the cloud scene are contributing to the tracking solution. Knowing which pixels contribute to the dominant motion allows for a more representative height to be derived, thereby directly linking the height assignment to the tracking process, which is an important goal for producers of global atmospheric motion vector (AMV) data. When compared with equivalent rawinsondes, the AMVs derived with the new approach show a considerable improvement in the speed bias and root-mean-square error over a control set of AMVs derived with more-conventional methods.

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THOMAIDIS, NIKOS S., TIMOTHEOS ANGELIDIS, VASSILIOS VASSILIADIS, and GEORGIOS DOUNIAS. "ACTIVE PORTFOLIO MANAGEMENT WITH CARDINALITY CONSTRAINTS: AN APPLICATION OF PARTICLE SWARM OPTIMIZATION." New Mathematics and Natural Computation 05, no. 03 (2009): 535–55. http://dx.doi.org/10.1142/s1793005709001519.

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This paper considers the task of forming a portfolio of assets that outperforms a benchmark index, while imposing a constraint on the tracking error volatility. We examine three alternative formulations of active portfolio management. The first one is a typical setup in which the fund manager myopically maximizes excess return. The second formulation is an attempt to set a limit on the total risk exposure of the portfolio by adding a constraint that forces a priori the risk of the portfolio to be equal to the benchmark's. In this paper, we also propose a third formulation that directly maximizes the efficiency of active portfolios, while setting a limit on the maximum tracking error variance. In determining optimal active portfolios, we incorporate additional constraints on the optimization problem, such as a limit on the maximum number of assets included in the portfolio (i.e. the cardinality of the portfolio) as well as upper and lower bounds on asset weights. From a computational point of view, the incorporation of these complex, though realistic, constraints becomes a challenge for traditional numerical optimization methods, especially when one has to assemble a portfolio from a big universe of assets. To deal properly with the complexity and the "roughness" of the solution space, we use particle swarm optimization, a population-based evolutionary technique. As an empirical application of the methodology, we select portfolios of different cardinality that actively reproduce the performance of the FTSE/ATHEX 20 Index of the Athens Stock Exchange. Our empirical study reveals important results concerning the efficiency of common practices in active portfolio management and the incorporation of cardinality constraints.

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Ullah, Ihsan, Muhammad Qureshi, Uzair Khan, Sufyan Memon, Yifang Shi, and Dongliang Peng. "Multisensor-Based Target-Tracking Algorithm with Out-of-Sequence-Measurements in Cluttered Environments." Sensors 18, no. 11 (2018): 4043. http://dx.doi.org/10.3390/s18114043.

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A localization and tracking algorithm for an early-warning tracking system based on the information fusion of Infrared (IR) sensor and Laser Detection and Ranging (LADAR) is proposed. The proposed Kalman filter scheme incorporates Out-of-Sequence Measurements (OOSMs) to address long-range, high-speed incoming targets to be tracked by networked Remote Observation Sites (ROS) in cluttered environments. The Rauch–Tung–Striebel (RTS) fixed lag smoothing algorithm is employed in the proposed technique to further improve tracking accuracy, which, in turn, is used for target profiling and efficient filter initialization at the targeted platform. This efficient initialization increases the probability of target engagement by increasing the distance at which it can be effectively engaged. The increased target engagement range also reduces risk of any damage from debris of the engaged target. Performance of the proposed target localization algorithm with OOSM and RTS smoothing is evaluated in terms of root mean square error (RMSE) for both position and velocity, which accurately depicts the improved performance of the proposed algorithm in comparison with existing retrodiction-based OOSM filtering algorithms. The effects of assisted target state initialization at the targeted platform are also evaluated in terms of Time to Impact (TTI) and true track retention, which also depict the advantage of the proposed strategy.

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Shojaei, Khoshnam. "Three-dimensional tracking control of autonomous underwater vehicles with limited torque and without velocity sensors." Robotica 36, no. 3 (2017): 374–94. http://dx.doi.org/10.1017/s0263574717000455.

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SUMMARYMost of the previous works on the motion control of autonomous underwater vehicles (AUVs) assume that (i) the vehicle actuators are able to tolerate every level of the control signals, and (ii) the vehicle is equipped with the velocity sensors in all degrees of freedom. These assumptions are not desirable in practice. Toward this end, this paper addresses the trajectory tracking control of the underactuated AUVs with the limited torque, without the velocity measurements and under environmental disturbances in a three-dimensional space. At first, a variable transformation is introduced which helps us to derive a second-order dynamic model for underactuated AUVs. Then, a saturated tracking controller is proposed by employing the saturation functions to bound the closed-loop error variables. This technique reduces the risk of the actuators saturation by decreasing the amplitude of the generated control signals. In addition, a nonlinear saturated observer is introduced to remove the velocity sensors from the control system. The proposed controller copes with the uncertain vehicle parameters, and constant or time-varying environmental disturbances induced by the waves and ocean currents. Lyapunov's direct method is used to show the semi-global uniform ultimate boundedness of the tracking and state estimation errors. Finally, some simulation results illustrate the effectiveness of the proposed controller.

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Lan, Yanting, and Xiaodong Chen. "Application of Immune Feedback Control Algorithm Based on BP Network Approximation in Intelligent Vehicle Steering System." International Journal of Online and Biomedical Engineering (iJOE) 15, no. 09 (2019): 71. http://dx.doi.org/10.3991/ijoe.v15i09.10584.

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Abstract—Steering system of intelligent vehicle is very difficult to execute precise control in driving due to many known and unknown disturbances. Therefore, design of steering algorithm has to be feasible for uncertain external interference, such as uneven pavement and horizontal wind, with automatic correction function for changes in the location of intelligent cars caused by road tilt and horizontal wind. As traditional PID control is impossible to meet the control requirements, according to mechanism of biological immunity, an immune feedback control method was proposed to approximate nonlinearity of T and B cells by BP network. Joint simulations of serpentine condition were carried out by Carsim and Simulink. The results show that trajectory tracking error, operating load, risk of rollover and slip and control stability of control system are synthetically evaluated. The comprehensive evaluation index of automatic steering algorithm under high speed operation is fairly advantageous. Experimental results also show that the algorithm effectively realizes tracking of intelligent vehicle for marking lines and avoidance of obstacles.

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Lin, Faa-Jeng, Kuang-Chin Lu, and Hsuan-Yu Lee. "Reactive Power Control of Single-Stage Three-Phase Photovoltaic System during Grid Faults Using Recurrent Fuzzy Cerebellar Model Articulation Neural Network." International Journal of Photoenergy 2014 (2014): 1–13. http://dx.doi.org/10.1155/2014/760743.

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This study presents a new active and reactive power control scheme for a single-stage three-phase grid-connected photovoltaic (PV) system during grid faults. The presented PV system utilizes a single-stage three-phase current-controlled voltage-source inverter to achieve the maximum power point tracking (MPPT) control of the PV panel with the function of low voltage ride through (LVRT). Moreover, a formula based on positive sequence voltage for evaluating the percentage of voltage sag is derived to determine the ratio of the injected reactive current to satisfy the LVRT regulations. To reduce the risk of overcurrent during LVRT operation, a current limit is predefined for the injection of reactive current. Furthermore, the control of active and reactive power is designed using a two-dimensional recurrent fuzzy cerebellar model articulation neural network (2D-RFCMANN). In addition, the online learning laws of 2D-RFCMANN are derived according to gradient descent method with varied learning-rate coefficients for network parameters to assure the convergence of the tracking error. Finally, some experimental tests are realized to validate the effectiveness of the proposed control scheme.

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