Strategisen beetan ETF:t piensijoittajan näkökulmasta

Tämä opinnäytetyö tutkii Morningstarin lanseeraamaa luokittelua käyttäen ns. strategisen beetan ETF:ien historiallista menestystä suhteessa toisiinsa ja vertailuindekseihinsä sekä suhteessa passiiviseen SPDR S&P 500 ETF:ään niiden strategioiden osalta, joiden on katsottu soveltuvan keskivertopiensijoittajalle. Työn tavoitteena on lisäksi selventää strategisen beetan konseptia siten, että lukija on tietoinen eri strategioiden ominaisuuksista ja erityispiirteistä, mahdollistaen perustellun sijoituspäätöksen tekemisen. Tutkimusryhmää on rajattu siten, että tutkittavien strategisen beetan ETF:ien tulee olla dollariarvoisia ja listattuna Yhdysvaltalaisessa pörssissä. Lisäksi ETF:n tulee olla toiminut vähintään viisi vuotta. Tutkimukseen on valittu seitsemän yleisimmin käytettyä strategiaa, ja yksi kutakin strategiaa edustava ETF. Valituista strategioista viisi luokitellaan tuottohakuisiksi: osinkopainotteinen strategia, tuottostrategia, kasvustrategia, fundamentaalistrategia ja momentum-strategia. Lisäksi alhaisen volatiliteetin strategia edustaa riskikeskeisiä strategioita ja tasaisen painotuksen strategia muita strategioita. Tutkimuskohteiden menestystä on mitattu historialliseen dataan perustuen viiden vuoden mittaisella ajanjaksolla 1.1.2010 – 1.1.2015. Raakadatasta on laskettu seuraavat tunnusluvut kvantitatiivisia menetelmiä käyttäen: kumulatiivinen tuotto, vuosittainen tuotto-odotus, volatiliteetti, Sharpen luku ja tuottoero eli tracking error. Lisäksi vertaillaan rahastojen ilmoittamia vuosittaisia kuluja. Tutkimustulosten perusteella tuottostrategia ja kasvustrategia ovat saavuttaneet tarkastelujaksolla parhaat kumulatiiviset tuotot ja menestyneet myös riskikorjatun tuoton ja kulurakenteen suhteen hyvin. Kaiken kaikkiaan neljä seitsemästä strategiasta oli tuottavampia kuin vertailukohteena ollut passiivinen markkina-arvopainotteinen SPDR S&P 500 ETF. Tulosten perusteella piensijoittajan on suositeltavaa harkita strategisen beetan ETF:iä osaksi portfoliotaan tuomaan markkinatuoton ylittävää tuottoa eli alfaa

A Comparison between Horizontal and Vertical Interchannel Decorrelation

The perceptual effects of interchannel decorrelation on perceived image spread have been investigated subjectively in both horizontal and vertical stereophonic reproductions, looking specifically at the frequency dependency of decorrelation. Fourteen and thirteen subjects graded the horizontal and vertical image spreads of a pink noise sample, respectively. The pink noise signal had been decorrelated by a complementary comb-filter decorrelation algorithm, varying the frequency-band, time-delay and decorrelation factor for each sample. Results generally indicated that interchannel decorrelation had a significant effect on auditory image spread both horizontally and vertically, with spread increasing as correlation decreases. However, it was found that the effect of vertical decorrelation was less effective than that of horizontal decorrelation. The results also suggest that the decorrelation effect was frequency-dependent; changes in horizontal image spread were more apparent in the high frequency band, whereas those in vertical image spread were in the low band. Furthermore, objective analysis suggests that the perception of vertical image spread for the low and middle frequency bands could be associated with a floor reflection; whereas for the high band, the results appear to be related to spectral notches in the ear input signals

EigenScape : A Database of Spatial Acoustic Scene Recordings

The classification of acoustic scenes and events is an emerging area of research in the field of machine listening. Most of the research conducted so far uses spectral features extracted from monaural or stereophonic audio rather than spatial features extracted from multichannel recordings. This is partly due to the lack thus far of a substantial body of spatial recordings of acoustic scenes. This paper formally introduces EigenScape, a new database of fourth-order Ambisonic recordings of eight different acoustic scene classes. The potential applications of a spatial machine listening system are discussed before detailed information on the recording process and dataset are provided. A baseline spatial classification system using directional audio coding (DirAC) techniques is detailed and results from this classifier are presented. The classifier is shown to give good overall scene classification accuracy across the dataset, with 7 of 8 scenes being classified with an accuracy of greater than 60% with an 11% improvement in overall accuracy compared to use of Mel-frequency cepstral coefficient (MFCC) features. Further analysis of the results shows potential improvements to the classifier. It is concluded that the results validate the new database and show that spatial features can characterise acoustic scenes and as such are worthy of further investigatio

Childhood disruptive behaviour and school performance across comprehensive school: A prospective cohort study

Peer reviewe

Cardiac stress reactivity and recovery of novelty seekers

Peer reviewe

Underdetermined instantaneous audio source separation via local Gaussian modeling

International audienceUnderdetermined source separation is often carried out by modeling time-frequency source coefficients via a fixed sparse prior. This approach fails when the number of active sources in one time-frequency bin is larger than the number of channels or when active sources lie on both sides of an inactive source. In this article, we partially address these issues by modeling time-frequency source coefficients via Gaussian priors with free variances. We study the resulting maximum likelihood criterion and derive a fast non-iterative optimization algorithm that finds the global minimum. We show that this algorithm outperforms state-of-the- art approaches over stereo instantaneous speech mixtures

Structural and functional aspects of social support as predictors of mental and physical health trajectories: Whitehall II cohort study

BACKGROUND: Social support is associated with better health. However, only a limited number of studies have examined the association of social support with health from the adult life course perspective and whether this association is bidirectional. METHODS: Participants (n=6797; 30% women; age range from 40 to 77 years) who were followed from 1989 (phase 2) to 2006 (phase 8) were selected from the ongoing Whitehall II Study. Structural and functional social support was measured at follow-up phases 2, 5 and 7. Mental and physical health was measured at five consecutive follow-up phases (3–8). RESULTS: Social support predicted better mental health, and certain functional aspects of social support, such as higher practical support and higher levels of negative aspects in social relationships, predicted poorer physical health. The association between negative aspects of close relationships and physical health was found to strengthen over the adult life course. In women, the association between marital status and mental health weakened until the age of approximately 60 years. Better mental and physical health was associated with higher future social support. CONCLUSIONS: The strength of the association between social support and health may vary over the adult life course. The association with health seems to be bidirectional