Does Fundamental Indexation Lead to Better Risk Adjusted Returns? New Evidence from Australian Securities Exchange

Fundamental indexing based on accounting valuation has drawn significant interest from academics and practitioners in recent times as an alternative to capitalization weighted indexing based on market valuation. This paper investigates the claims of superiority of fundamental indexation strategy by using data for Australian Securities Exchange (ASX) listed stocks between 1985 and 2010. Not only do our results strongly support the outperformance claims observed in other geographical markets, we find that the excess returns from fundamental indexation in Australian market are actually much higher. The fundamental indexation strategy does underperform during strong bull markets although this effect diminishes with longer time horizons. On a rolling five years basis, the fundamental index always outperforms the capitalization-weighted index. Contrary to many previous studies, our results show that superior performance of fundamental indexation could not be attributed to value, size, or momentum effects. Overall, the findings indicate that fundamental indexation could offer potential outperformance of traditional indexation based on market capitalization even after adjusting for the former’s slightly higher turnover and transaction costs.

Highlighting objects of interest in an image by integrating saliency and depth

Stereo images have been captured primarily for 3D reconstruction in the past. However, the depth information acquired from stereo can also be used along with saliency to highlight certain objects in a scene. This approach can be used to make still images more interesting to look at, and highlight objects of interest in the scene. We introduce this novel direction in this paper, and discuss the theoretical framework behind the approach. Even though we use depth from stereo in this work, our approach is applicable to depth data acquired from any sensor modality. Experimental results on both indoor and outdoor scenes demonstrate the benefits of our algorithm

Entropy-difference based stereo error detection

Stereo depth estimation is error-prone; hence, effective error detection methods are desirable. Most such existing methods depend on characteristics of the stereo matching cost curve, making them unduly dependent on functional details of the matching algorithm. As a remedy, we propose a novel error detection approach based solely on the input image and its depth map. Our assumption is that, entropy of any point on an image will be significantly higher than the entropy of its corresponding point on the image's depth map. In this paper, we propose a confidence measure, Entropy-Difference (ED) for stereo depth estimates and a binary classification method to identify incorrect depths. Experiments on the Middlebury dataset show the effectiveness of our method. Our proposed stereo confidence measure outperforms 17 existing measures in all aspects except occlusion detection. Established metrics such as precision, accuracy, recall, and area-under-curve are used to demonstrate the effectiveness of our method

Learning Distributions via Monte-Carlo Marginalization

We propose a novel method to learn intractable distributions from their samples. The main idea is to use a parametric distribution model, such as a Gaussian Mixture Model (GMM), to approximate intractable distributions by minimizing the KL-divergence. Based on this idea, there are two challenges that need to be addressed. First, the computational complexity of KL-divergence is unacceptable when the dimensions of distributions increases. The Monte-Carlo Marginalization (MCMarg) is proposed to address this issue. The second challenge is the differentiability of the optimization process, since the target distribution is intractable. We handle this problem by using Kernel Density Estimation (KDE). The proposed approach is a powerful tool to learn complex distributions and the entire process is differentiable. Thus, it can be a better substitute of the variational inference in variational auto-encoders (VAE). One strong evidence of the benefit of our method is that the distributions learned by the proposed approach can generate better images even based on a pre-trained VAE's decoder. Based on this point, we devise a distribution learning auto-encoder which is better than VAE under the same network architecture. Experiments on standard dataset and synthetic data demonstrate the efficiency of the proposed approach