Analyzing the performance of non-listed real estate funds: an panel data analysis

The rapid growth of non-listed real estate funds over the last several years has contributed towards establishing this sector as a major investment vehicle for gaining exposure to commercial real estate. Academic research has not kept up with this development, however, as there are still only a few published studies on non-listed real estate funds. This paper aims to identify the factors driving the total return over a seven-year period. Influential factors tested in our analysis include the weighted underlying direct property returns in each country and sector as well as fund size, investment style gearing and the distribution yield. Furthermore, we analyze the interaction of non-listed real estate funds with the performance of the overall economy and that of competing asset classes and found that lagged GDP growth and stock market returns as well as contemporaneous government bond rates are significant and positive predictors of annual fund performance.

A review of Islamic mutual funds’ financial performance and investment style in Muslim and non-Muslim countries

Islamic finance has grown beyond its reputation of providing small-scale banking options and now provides investment and financing options for complex large-scale commercial transactions. Islamic investments are one area that has attracted the attention of investors due to its performance, especially during the economic downturn. The Shari’ah compliance nature of Islamic funds provides an opportunity for those Muslim investors to be part of the global investment sector who have previously been reluctant to invest in conventional mutual funds. The fact that the funds’ managers are prohibited from investing in activities such as weapons production, alcohol production and interest-bearing finance operations, makes Islamic mutual funds also attractive for those Non-Muslim investors who wish to invest ethically. Today there are hundreds of Islamic equity indices offered by Dow Jones, FTSE, MSCI and S&P. Despite the growing importance of Islamic funds, there have been limited studies exploring the performance of Islamic funds worldwide. Due to very limited data sets and not too rigorous analytical methods, these existent studies have neither investigated Islamic funds’ financial performance in noticeable detail nor analysed the investment style of more than six funds. For instance, relevant questions such as the financial performance of Islamic mutual funds’ beyond their investment styles or a difference in performance between funds from Muslim and non-Muslim countries have nearly not been investigated at all. Very recently, a study by Hoepner, Rammal and Rezec (2011) analysed the financial performance and investment style of 262 Islamic equity funds from 20 countries in five regions (Africa, Asia-Pacific, Europe, Gulf Cooperative Council-GCC, and North America). As comparison, previous studies did not even analyse 60 funds. Hoepner et al.’s study sampled a period of two decades and was therefore able to test the performance of the funds during economic booms as well as economic downturns. The findings of the study provide new insights into the performance of Islamic mutual funds in Muslim and Western markets and during financial crisis.

The financial and environmental performance of firms exposed to the EU Emissions Trading Scheme

This thesis is an empirical-based study of the European Union’s Emissions Trading Scheme (EU ETS) and its implications in terms of corporate environmental and financial performance. The novelty of this study includes the extended scope of the data coverage, as most previous studies have examined only the power sector. The use of verified emissions data of ETS-regulated firms as the environmental compliance measure and as the potential differentiating criteria that concern the valuation of EU ETS-exposed firms in the stock market is also an original aspect of this study. The study begins in Chapter 2 by introducing the background information on the emission trading system (ETS), which focuses on (i) the adoption of ETS as an environmental management instrument and (ii) the adoption of ETS by the European Union as one of its central climate policies. Chapter 3 surveys four databases that provide carbon emissions data in order to determine the most suitable source of the data to be used in the later empirical chapters. The first empirical chapter, which is also Chapter 4 of this thesis, investigates the determinants of the emissions compliance performance of the EU ETS-exposed firms through constructing the best possible performance ratio from verified emissions data and self-configuring models for a panel regression analysis. Chapter 5 examines the impacts on the EU ETS-exposed firms in terms of their equity valuation with customised portfolios and multi-factor market models. The research design takes into account the emissions allowance (EUA) price as an additional factor, as it has the most direct association with the EU ETS to control for the exposure. The final empirical Chapter 6 takes the investigation one step further, by specifically testing the degree of ETS exposure facing different sectors with sector-based portfolios and an extended multi-factor market model. The findings from the emissions performance ratio analysis show that the business model of firms significantly influences emissions compliance, as the capital intensity has a positive association with the increasing emissions-to-emissions cap ratio. Furthermore, different sectors show different degrees of sensitivity towards the determining factors. The production factor influences the performance ratio of the Utilities sector, but not the Energy or Materials sectors. The results show that the capital intensity has a more profound influence on the utilities sector than on the materials sector. With regard to the financial performance impact, ETS-exposed firms as aggregate portfolios experienced a substantial underperformance during the 2001–2004 period, but not in the operating period of 2005–2011. The results of the sector-based portfolios show again the differentiating effect of the EU ETS on sectors, as one sector is priced indifferently against its benchmark, three sectors see a constant underperformance, and three sectors have altered outcomes.

The air distribution index as an indicator for energy consumption and performance of ventilation systems

This paper deals with the energy consumption and the evaluation of the performance of air supply systems for a ventilated room involving high- and low-level supplies. The energy performance assessment is based on the airflow rate, which is related to the fan power consumption by achieving the same environmental quality performance for each case. Four different ventilation systems are considered: wall displacement ventilation, confluent jets ventilation, impinging jet ventilation and a high level mixing ventilation system. The ventilation performance of these systems will be examined by means of achieving the same Air Distribution Index (ADI) for different cases. The widely used high-level supplies require much more fan power than those for low-level supplies for achieving the same value of ADI. In addition, the supply velocity, hence the supply dynamic pressure, for a high-level supply is much larger than for low-level supplies. This further increases the power consumption for high-level supply systems. The paper considers these factors and attempts to provide some guidelines on the difference in the energy consumption associated with high and low level air supply systems. This will be useful information for designers and to the authors' knowledge there is a lack of information available in the literature on this area of room air distribution. The energy performance of the above-mentioned ventilation systems has been evaluated on the basis of the fan power consumed which is related to the airflow rate required to provide equivalent indoor environment. The Air Distribution Index (ADI) is used to evaluate the indoor environment produced in the room by the ventilation strategy being used. The results reveal that mixing ventilation requires the highest fan power and the confluent jets ventilation needs the lowest fan power in order to achieve nearly the same value of ADI.

Performance and conformance results of the deterministic DVB-T equalizer

One of the enablers for new consumer electronics based products to be accepted in to the market is the availability of inexpensive, flexible and multi-standard chipsets and services. DVB-T, the principal standard for terrestrial broadcast of digital video in Europe, has been extremely successful in leading to governments reconsidering their targets for analogue television broadcast switch-off. To enable one further small step in creating increasingly cost effective chipsets, the ODFM deterministic equalizer has been presented before with its application to DVB-T. This paper discusses the test set-up of a DVB-T compliant baseband simulation that includes the deterministic equalizer and DVB-T standard propagation channels. This is then followed by a presentation of the found inner and outer Bit Error Rate (BER) results using various modulation levels, coding rates and propagation channels in order to ascertain the actual performance of the deterministic equalizer(1).

On the performance of near-far resistant CDMA detectors in the presence of synchronization errors

Little has so far been reported on the performance of the near-far resistant CDMA detectors in the presence of the synchronization errors. Starting with the general mathematical model of matched filters, this paper examines the effects of three classes of synchronization errors (i.e. time-delay errors, carrier phase errors, and carrier frequency errors) on the performance (bit error rate and near-far resistance) of an emerging type of near-far resistant coherent DS/SSMA detectors, i.e. the linear decorrelating detector (LDD). For comparison, the corresponding results for the conventional detector are also presented. It is shown that the LDD can still maintain a considerable performance advantage over the conventional detector even when some synchronization errors exist. Finally, several computer simulations are carried out to verify the theoretical conclusions.

Performance analysis of the unconstrained FxLMS algorithm for active noise control

The paper analyzes the performance of the unconstrained filtered-x LMS (FxLMS) algorithm for active noise control (ANC), where we remove the constraints on the controller that it must be causal and has finite impulse response. It is shown that the unconstrained FxLMS algorithm always converges to, if stable, the true optimum filter, even if the estimation of the secondary path is not perfect, and its final mean square error is independent of the secondary path. Moreover, we show that the sufficient and necessary stability condition for the feedforward unconstrained FxLMS is that the maximum phase error of the secondary path estimation must be within 90°, which is the only necessary condition for the feedback unconstrained FxLMS. The significance of the analysis on a practical system is also discussed. Finally we show how the obtained results can guide us to design a robust feedback ANC headset.

Predicting the annual performance of UK real estate: timeliness versus coverage

The IPD Annual Index is the largest and most comprehensive Real Estate market index available in the UK Such coverage however inevitably leads to delays in publication. In contrast there are a number of quarterly and monthly indices which are published within days of the year end but which lack the coverage in terms of size and numbers of properties. This paper analyses these smaller but more timely indices to see whether such indices can be used to predict the performance of the IPD Annual Index. Using a number of measures of forecasting accuracy it is shown that the smaller indices provide unbiased and efficient predictions of the IPD Annual Index. Such indices also significantly outperform a naive no-change model. Although no one index performs significantly better than the others. The more timely indices however do not perfectly track the IPD Annual Index. As a result any short run predictions of performance will be subject to a degree of error. Nevertheless the more timely indices, although lacking authoritative coverage, provide a valuable service to investors giving good estimates of Real Estates performance well before the publication of the IPD Annual Index.

Comparing the thermal performance of horizontal slinky-loop and vertical slinky-loop heat exchangers

The heat pump market in the UK has grown rapidly over the last few years. Performance analyses of vertical ground-loop heat exchanger configurations have been widely carried out using both numerical modelling and experiments. However, research findings and design recommendations on horizontal slinky-loop and vertical slinky-loop heat exchangers are far fewer compared with those for vertical ground-loop heat exchanger configurations, especially where the long-term operation of the systems is concerned. The paper presents the results obtained from a numerical simulation for the horizontal slinky-loop and vertical slinky-loop heat exchangers of a ground-source heat pump system. A three-dimensional numerical heat transfer model was developed to study the thermal performance of various heat exchanger configurations. The influence of the loop pitch (loop spacing) and the depth of a vertical slinky-loop installation were investigated and the thermal performance and excavation work required for the horizontal and vertical slinky-loop heat exchangers were compared. The influence of the installation depth for vertical slinky-loop configurations was also investigated. The results of this study show that the influence of the installation depth of the vertical slinky-loop heat exchanger on the thermal performance of the system is small. The maximum difference in the thermal performance between the vertical and horizontal slinky-loop heat exchangers with the same loop diameter and loop pitch is less than 5%.

What happens to precocious readers’ performance by the age of 11 years?

This paper reports on the progress made by a group of fourteen 11-year-old children who had been originally identified as being precocious readers before they started primary school at the age of 5-years. The data enable comparisons to be made with the performance of the children when they were younger so that a six year longitudinal analysis can be made. The children who began school as precocious readers continued to make progress in reading accuracy, rate and comprehension, thereby maintaining their superior performance relative to a comparison group. However, their progress appeared to follow the same developmental trajectory as that of the comparison group. Measures of phonological awareness showed that there are long term, stable individual differences which correlated with all measures of reading. The children who were reading precociously early showed significantly higher levels of phonological awareness than the comparison children. In addition, they showed the same levels of performance on this task as a further group of high achieving young adults. A positive effect of being able to read at precociously early age was identified in the significantly higher levels of receptive vocabulary found amongst the these children. The analyses indicated that rises in receptive vocabulary resulted from reading performance rather than the other way round

Sample preparation: a crucial factor for the analytical performance of rationally designed MALDI matrices

Evidence is presented that the performance of the rationally designed MALDI matrix 4-chloro-α-cyanocinnamic acid (ClCCA) in comparison to its well-established predecessor α-cyano-4-hydroxycinnamic acid (CHCA) is significantly dependent on the sample preparation, such as the choice of the target plate. In this context, it becomes clear that any rational designs of MALDI matrices and their successful employment have to consider a larger set of physicochemical parameters, including sample crystallization and morphology/topology, in addition to parameters of basic (solution and/or gas-phase) chemistry.

Spatial analysis of the error in a model of soil nitrogen

Models of the dynamics of nitrogen in soil (soil-N) can be used to aid the fertilizer management of a crop. The predictions of soil-N models can be validated by comparison with observed data. Validation generally involves calculating non-spatial statistics of the observations and predictions, such as their means, their mean squared-difference, and their correlation. However, when the model predictions are spatially distributed across a landscape the model requires validation with spatial statistics. There are three reasons for this: (i) the model may be more or less successful at reproducing the variance of the observations at different spatial scales; (ii) the correlation of the predictions with the observations may be different at different spatial scales; (iii) the spatial pattern of model error may be informative. In this study we used a model, parameterized with spatially variable input information about the soil, to predict the mineral-N content of soil in an arable field, and compared the results with observed data. We validated the performance of the N model spatially with a linear mixed model of the observations and model predictions, estimated by residual maximum likelihood. This novel approach allowed us to describe the joint variation of the observations and predictions as: (i) independent random variation that occurred at a fine spatial scale; (ii) correlated random variation that occurred at a coarse spatial scale; (iii) systematic variation associated with a spatial trend. The linear mixed model revealed that, in general, the performance of the N model changed depending on the spatial scale of interest. At the scales associated with random variation, the N model underestimated the variance of the observations, and the predictions were correlated poorly with the observations. At the scale of the trend, the predictions and observations shared a common surface. The spatial pattern of the error of the N model suggested that the observations were affected by the local soil condition, but this was not accounted for by the N model. In summary, the N model would be well-suited to field-scale management of soil nitrogen, but suited poorly to management at finer spatial scales. This information was not apparent with a non-spatial validation. (c),2007 Elsevier B.V. All rights reserved.

The physical properties of the atmosphere in the new Hadley Centre Global Environmental Model (HadGEM1). Part II: Aspects of variability and regional climate

The performance of the atmospheric component of the new Hadley Centre Global Environmental Model (HadGEM1) is assessed in terms of its ability to represent a selection of key aspects of variability in the Tropics and extratropics. These include midlatitude storm tracks and blocking activity, synoptic variability over Europe, and the North Atlantic Oscillation together with tropical convection, the Madden-Julian oscillation, and the Asian summer monsoon. Comparisons with the previous model, the Third Hadley Centre Coupled Ocean-Atmosphere GCM (HadCM3), demonstrate that there has been a considerable increase in the transient eddy kinetic energy (EKE), bringing HadGEM1 into closer agreement with current reanalyses. This increase in EKE results from the increased horizontal resolution and, in combination with the improved physical parameterizations, leads to improvements in the representation of Northern Hemisphere storm tracks and blocking. The simulation of synoptic weather regimes over Europe is also greatly improved compared to HadCM3, again due to both increased resolution and other model developments. The variability of convection in the equatorial region is generally stronger and closer to observations than in HadCM3. There is, however, still limited convective variance coincident with several of the observed equatorial wave modes. Simulation of the Madden-Julian oscillation is improved in HadGEM1: both the activity and interannual variability are increased and the eastward propagation, although slower than observed, is much better simulated. While some aspects of the climatology of the Asian summer monsoon are improved in HadGEM1, the upper-level winds are too weak and the simulation of precipitation deteriorates. The dominant modes of monsoon interannual variability are similar in the two models, although in HadCM3 this is linked to SST forcing, while in HadGEM1 internal variability dominates. Overall, analysis of the phenomena considered here indicates that HadGEM1 performs well and, in many important respects, improves upon HadCM3. Together with the improved representation of the mean climate, this improvement in the simulation of atmospheric variability suggests that HadGEM1 provides a sound basis for future studies of climate and climate change.

TIGGE: Comparison of the prediction of northern hemisphere extratropical cyclones by different ensemble prediction systems

The Observing System Research and Predictability Experiment (THORPEX) Interactive Grand Global Ensemble (TIGGE) is a World Weather Research Programme project. One of its main objectives is to enhance collaboration on the development of ensemble prediction between operational centers and universities by increasing the availability of ensemble prediction system (EPS) data for research. This study analyzes the prediction of Northern Hemisphere extratropical cyclones by nine different EPSs archived as part of the TIGGE project for the 6-month time period of 1 February 2008–31 July 2008, which included a sample of 774 cyclones. An objective feature tracking method has been used to identify and track the cyclones along the forecast trajectories. Forecast verification statistics have then been produced [using the European Centre for Medium-Range Weather Forecasts (ECMWF) operational analysis as the truth] for cyclone position, intensity, and propagation speed, showing large differences between the different EPSs. The results show that the ECMWF ensemble mean and control have the highest level of skill for all cyclone properties. The Japanese Meteorological Administration (JMA), the National Centers for Environmental Prediction (NCEP), the Met Office (UKMO), and the Canadian Meteorological Centre (CMC) have 1 day less skill for the position of cyclones throughout the forecast range. The relative performance of the different EPSs remains the same for cyclone intensity except for NCEP, which has larger errors than for position. NCEP, the Centro de Previsão de Tempo e Estudos Climáticos (CPTEC), and the Australian Bureau of Meteorology (BoM) all have faster intensity error growth in the earlier part of the forecast. They are also very underdispersive and significantly underpredict intensities, perhaps due to the comparatively low spatial resolutions of these EPSs not being able to accurately model the tilted structure essential to cyclone growth and decay. There is very little difference between the levels of skill of the ensemble mean and control for cyclone position, but the ensemble mean provides an advantage over the control for all EPSs except CPTEC in cyclone intensity and there is an advantage for propagation speed for all EPSs. ECMWF and JMA have an excellent spread–skill relationship for cyclone position. The EPSs are all much more underdispersive for cyclone intensity and propagation speed than for position, with ECMWF and CMC performing best for intensity and CMC performing best for propagation speed. ECMWF is the only EPS to consistently overpredict cyclone intensity, although the bias is small. BoM, NCEP, UKMO, and CPTEC significantly underpredict intensity and, interestingly, all the EPSs underpredict the propagation speed, that is, the cyclones move too slowly on average in all EPSs.

Initial results from Phase 2 of the international urban energy balance model comparison

Urban land surface schemes have been developed to model the distinct features of the urban surface and the associated energy exchange processes. These models have been developed for a range of purposes and make different assumptions related to the inclusion and representation of the relevant processes. Here, the first results of Phase 2 from an international comparison project to evaluate 32 urban land surface schemes are presented. This is the first large-scale systematic evaluation of these models. In four stages, participants were given increasingly detailed information about an urban site for which urban fluxes were directly observed. At each stage, each group returned their models' calculated surface energy balance fluxes. Wide variations are evident in the performance of the models for individual fluxes. No individual model performs best for all fluxes. Providing additional information about the surface generally results in better performance. However, there is clear evidence that poor choice of parameter values can cause a large drop in performance for models that otherwise perform well. As many models do not perform well across all fluxes, there is need for caution in their application, and users should be aware of the implications for applications and decision making.