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Single manager hedge funds - aspects of classification and diversificationBohlandt, Florian Martin 12 1900 (has links)
Thesis (PhD)--Stellenbosch University, 2013. / A persistent problem for hedge fund researchers presents itself in the form of
inconsistent and diverse style classifications within and across database providers. For
this paper, single-manager hedge funds from the Hedge Fund Research (HFR) and
Hedgefund.Net (HFN) databases were classified on the basis of a common factor,
extracted using the factor axis methodology. It was assumed that the returns of all
sample hedge funds are attributable to a common factor that is shared across hedge
funds within one classification, and a specific factor that is unique to a particular hedge
fund. In contrast to earlier research and the application of principal component analysis,
factor axis has sought to determine how much of the covariance in the dataset is due to
common factors (communality). Factor axis largely ignores the diagonal elements of the
covariance matrix and orthogonal factor rotation maximises the covariance between
hedge fund return series.
In an iterative framework, common factors were extracted until all return series were
described by one common and one specific factor. Prior to factor extraction, the series
was tested for autoregressive moving-average processes and the residuals of such
models were used in further analysis to improve upon squared correlations as initial
factor estimates. The methodology was applied to 120 ten-year rolling estimation
windows in the July 1990 to June 2010 timeframe. The results indicate that the number
of distinct style classifications is reduced in comparison to the arbitrary self-selected
classifications of the databases. Single manager hedge funds were grouped in portfolios
on the basis of the common factor they share. In contrast to other classification
methodologies, these common factor portfolios (CFPs) assume that some unspecified
individual component of the hedge fund constituents’ returns is diversified away and that
single manager hedge funds should be classified according to their common return
components. From the CFPs of single manager hedge funds, pure style indices were
created to be entered in a multivariate autoregressive framework.
For each style index, a Vector Error Correction model (VECM) was estimated to
determine the short-term as well as co-integrating relationship of the hedge fund series with the index level series of a stock, bond and commodity proxy. It was postulated that
a) in a well-diversified portfolio, the current level of the hedge fund index is independent
of the lagged observations from the other asset indices; and b) if the assumptions of the
Efficient Market Hypothesis (EMH) hold, it is expected that the predictive power of the
model will be low. The analysis was conducted for the July 2000 - June 2010 period.
Impulse response tests and variance decomposition revealed that changes in hedge
fund index levels are partially induced by changes in the stock, bond and currency
markets. Investors are therefore cautioned not to overemphasise the diversification
benefits of hedge fund investments. Commodity trading advisors (CTAs) / managed
futures, on the other hand, deliver diversification benefits when integrated with an
existing portfolio.
The results indicated that single manager hedge funds can be reliably classified using
the principal factor axis methodology. Continuously re-balanced pure style index
representations of these classifications could be used in further analysis. Extensive
multivariate analysis revealed that CTAs and macro hedge funds offer superior
diversification benefits in the context of existing portfolios. The empirical results are of
interest not only to academic researchers, but also practitioners seeking to replicate the
methodologies presented.
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Metal Nitride Diffusion Barriers for Copper InterconnectsAraujo, Roy A. 14 January 2010 (has links)
Advancements in the semiconductor industry require new materials with
improved performance. With the introduction of copper as the interconnect material for
integrated circuits, efficient diffusion barriers are required to prevent the diffusion of
copper into silicon, which is primarily through grain boundaries. This dissertation
reports the processing of high quality stoichiometric thin films of TiN, TaN and HfN,
and studies their Cu diffusion barrier properties.
Epitaxial metastable cubic TaN (B1-NaCl) thin films were grown on Si(001)
using an ultra-thin TiN (B1-NaCl) seed layer which was as thin as 1 nm. The TiN/TaN
stacks were deposited by Pulsed Laser Deposition (PLD), with the TiN thickness
systematically reduced from 15 to 1 nm. Microstructural studies included X-ray
diffraction (XRD), transmission electron microscopy (TEM) and high resolution TEM
(HRTEM). Preliminary Cu diffusion experiments showed that the TiN seed layer
thickness had little or no obvious effect on the overall microstructure and the diffusion
barrier properties of the TaN/TiN stacks. Epitaxial and highly textured cubic HfN (B1-NaCl) thin films (~100 nm) were
deposited on MgO(001) and Si(001) using PLD. Low resistivities (~40 mu omega-cm) were
measured with a four point probe (FPP). Microstructural characterizations included
XRD, TEM, and HRTEM. Preliminary Cu diffusion tests demonstrated good diffusion
barrier properties, suggesting that HfN is a promising candidate for Cu diffusion
barriers.
Cubic HfN (B1-NaCl) thin films were grown epitaxially on Si(001) substrates by
using a TiN (B1-NaCl) buffer layer as thin as ~10 nm. The HfN/TiN stacks were
deposited by PLD with an overall thickness less than 60 nm. Detailed microstructural
characterizations included XRD, TEM, and HRTEM. The electrical resistivity measured
by FPP was as low as 70 mu omega-cm. Preliminary copper diffusion tests showed good
diffusion barrier properties with a diffusion depth of 2~3 nm after vacuum annealing at
500 degrees C for 30 minutes.
Additional samples with Cu deposited on top of the cubic HfN/TiN/Si(001) were
vacuum annealed at 500 degrees C, 600 degrees C and 650 degrees C for 30 minutes. The diffusivity of copper
in the epitaxial stack was investigated using HRTEM. The measured diffusion depths,
2 Dt , were 3, 4 and 5 nm at 500 degrees C, 600 degrees C and 650 degrees C respectively. Finally, the
diffusivity of Cu into epitaxial HfN was determined to be D=D0 exp(-Q/kT)cm2s-1 with D0=2.3x10-14cm2s-1 and Q=0.52eV.
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Growth of Metal-Nitride Thin Films by Pulsed Laser DepositionFarrell, Ian Laurence January 2010 (has links)
The growth of thin-film metal nitride materials from elemental metal targets by plasma-assisted pulsed laser deposition (PLD) has been explored and analysed.
A new UHV PLD growth system has been installed and assembled and its system elements were calibrated. A series of GaN thin films have been grown to calibrate the system. In-situ RHEED indicated that the films were single crystal and that growth proceeded in a three-dimensional fashion. SEM images showed heavy particulation of film surfaces that was not in evidence for later refractory metal nitride films. This may be connected to the fact that Ga targets were liquid while refractory metals were solid. Most GaN films were not continuous due to insufficient laser fluence. Continuous films did not exhibit photoluminescence.
HfN films have been grown by PLD for the first time. Films grown have been shown to have high reflectivity in the visible region and low resistivity. These factors, along with their crystal structure, make them suitable candidates to be used as back-contacts in GaN LEDs and could also serve as buffer layers to enable the integration of GaN and Si technologies. Growth factors affecting the films’ final properties have been investigated. Nitrogen pressure, within the operating range of the plasma source, has been shown to have little effect on HfN films. Substrate temperature has been demonstrated to have more influence on the films’ properties, with 500 °C being established as optimum. ZrN films have also been grown by PLD. Early results indicated that they exhibit reflectivities 50 % ± 5 % lower than those of HfN. However, further growth and characterisation would be required in order to establish this as a fundamental property of ZrN as nitride targets were mostly used in ZrN production.
Single-crystal epitaxial GdN and SmN films have been produced by PLD. This represents an improvement in the existing quality of GdN films reported in the literature, which are mostly polycrystalline. In the case of SmN, these are the first epitaxial films of this material to be grown. Film quality has been monitored in-situ by RHEED which has allowed growth to be tailored to produce ever-higher crystal quality. Post-growth analyses by collaborators was also of assistance in improving film growth. Substrate temperatures and nitrogen plasma parameters have been adjusted to find optimum values for each. In addition, laser fluence has been altered to minimise the presence of metal particulates in the films, which interfere with magnetic measurements carried out in analyses. Capping layers of Cr, YSZ or AlN have been deposited on the GdN and SmN prior to removal from vacuum to prevent their degradation upon exposure to atmospheric water vapour. The caps have been steadily improved over the course of this work, extending the lifetime of the nitride films in ambient. However, they remain volatile and this may persist since water vapour can enter the film at the edge regardless of capping quality. Optical transmission has shown an onset of absorption at 1.3 eV for GdN and 1.0 eV for SmN.
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Study of HfN as seed layer for next generation of BAW RF filters : synthesis, characterization, and investigation of piezoelectric performanceLlorens Balada, Eduard January 2020 (has links)
Micro-electro-mechanical systems (MEMS) have become an essential component of a wide range ofelectronic devices over the last decades such as accelerometers, microphones, gas sensors, and filters.During this new millennium, a new radio frequency (RF) technology has been developed to satisfy thetough demands that arose due to the implementation of 5G wireless communication: bulk acoustic wave(BAW) filters.BAW devices use the piezoelectric effect, converting mechanical vibrations to electrical signals, topower wireless devices. BAW filters can operate between 3.5 GHz and 6 GHz, therefore, within therange of the new 5G. BAW technology offers lower insertion loss, higher heat dissipation, andperformances at higher power and frequency which increases the data speed considerably.This thesis will be focused on the study of the materials used in BAW devices. A common BAW filteris made from different layers distributed in a stack, from the bottom to the upper part, the BAW filteris composed of a substrate, a transducer layer made of a piezoelectric layer in between of two electrodes,and intermediate layers that can enhance the addition of the deposited layers on top called buffer layers,or the crystal quality of the films on top called seed layers.The main characteristic that a buffer layer must possess is an intermediate lattice parameter betweenthat of the substrate and the top layer. When these two layers present a high lattice mismatch, theinterface quality is rather poor. By using a buffer layer, and therefore, by adding two different interfaces,the crystal quality is improved by decreasing the internal stress and the crystal distortion. Buffer layermaterials depend on the type of materials that will be in contact with them.A seed layer is usually used to improve the crystal quality of a layer that requires extreme sputteringparameters to be used to be deposited possessing a high crystal quality and a preferred orientation. Seedlayers used in BAW devices, whose piezoelectric layer is made of AlScN or AlN, are usually made ofhighly c-axis oriented and highly crystalline AlN.The objective of this study is to analyze the deposition of AlN and HfN by means of reactive radiofrequency magnetron sputtering and reactive pulsed-direct current magnetron sputtering, respectively.AlN is largely used as a buffer layer and as a seed layer, however, the new approach of this report is tostudy the sputtering of HfN and compare it as a possible candidate to replace AlN as a seed layer.
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