Judgments, forecasts and decisions: an analysis of fund managers over time

Decision theory is the study of models of judgement involved in, and leading to, deliberate and (usually) rational choice. In real estate investment there are normative models for the allocation of assets. These asset allocation models suggest an optimum allocation between the respective asset classes based on the investors’ judgements of performance and risk. Real estate is selected, as other assets, on the basis of some criteria, e.g. commonly its marginal contribution to the production of a mean variance efficient multi asset portfolio, subject to the investor’s objectives and capital rationing constraints. However, decisions are made relative to current expectations and current business constraints. Whilst a decision maker may believe in the required optimum exposure levels as dictated by an asset allocation model, the final decision may/will be influenced by factors outside the parameters of the mathematical model. This paper discusses investors' perceptions and attitudes toward real estate and highlights the important difference between theoretical exposure levels and pragmatic business considerations. It develops a model to identify “soft” parameters in decision making which will influence the optimal allocation for that asset class. This “soft” information may relate to behavioural issues such as the tendency to mirror competitors; a desire to meet weight of money objectives; a desire to retain the status quo and many other non-financial considerations. The paper aims to establish the place of property in multi asset portfolios in the UK and examine the asset allocation process in practice, with a view to understanding the decision making process and to look at investors’ perceptions based on an historic analysis of market expectation; a comparison with historic data and an analysis of actual performance.

Separating skill from luck in REIT mutual funds

This study uses a bootstrap methodology to explicitly distinguish between skill and luck for 80 Real Estate Investment Trust Mutual Funds in the period January 1995 to May 2008. The methodology successfully captures non-normality in the idiosyncratic risk of the funds. Using unconditional, beta conditional and alpha-beta conditional estimation models, the results indicate that all but one fund demonstrates poor skill. Tests of robustness show that this finding is largely invariant to REIT market conditions and maturity.

Biologically-inspired robust motion segmentation using mutual information

This paper presents a neuroscience inspired information theoretic approach to motion segmentation. Robust motion segmentation represents a fundamental first stage in many surveillance tasks. As an alternative to widely adopted individual segmentation approaches, which are challenged in different ways by imagery exhibiting a wide range of environmental variation and irrelevant motion, this paper presents a new biologically-inspired approach which computes the multivariate mutual information between multiple complementary motion segmentation outputs. Performance evaluation across a range of datasets and against competing segmentation methods demonstrates robust performance.

A radial basis function network classifier to maximise leave-one-out mutual information

tWe develop an orthogonal forward selection (OFS) approach to construct radial basis function (RBF)network classifiers for two-class problems. Our approach integrates several concepts in probabilisticmodelling, including cross validation, mutual information and Bayesian hyperparameter fitting. At eachstage of the OFS procedure, one model term is selected by maximising the leave-one-out mutual infor-mation (LOOMI) between the classifier’s predicted class labels and the true class labels. We derive theformula of LOOMI within the OFS framework so that the LOOMI can be evaluated efficiently for modelterm selection. Furthermore, a Bayesian procedure of hyperparameter fitting is also integrated into theeach stage of the OFS to infer the l2-norm based local regularisation parameter from the data. Since eachforward stage is effectively fitting of a one-variable model, this task is very fast. The classifier construc-tion procedure is automatically terminated without the need of using additional stopping criterion toyield very sparse RBF classifiers with excellent classification generalisation performance, which is par-ticular useful for the noisy data sets with highly overlapping class distribution. A number of benchmarkexamples are employed to demonstrate the effectiveness of our proposed approach.

The blended approach to real estate allocations: performance implications of combining an exposure to German Spezialfonds with Global Listed Real Estate Securities

This paper seeks to increase the understanding of the performance implications for investors who choose to combine an unlisted real estate portfolio (in this case German Spezialfonds) with a (global) listed real estate element. We call this a “blended” approach to real estate allocations. For the avoidance of doubt, in this paper we are dealing purely with real estate equity (listed and unlisted) allocations, and do not incorporate real estate debt (listed or unlisted) or direct property into the process. A previous paper (Moss and Farrelly 2014) showed the benefits of the blended approach as it applied to UK Defined Contribution Pension Schemes. The catalyst for this paper has been the recent attention focused on German pension fund allocations, which have a relatively low (real estate) equity content, and a high bond content. We have used the MSCI Spezialfonds Index as a proxy for domestic German institutional real estate allocations, and the EPRA Global Developed Index as a proxy for a global listed real estate allocation. We also examine whether a rules based trading strategy, in this case Trend Following, can improve the risk adjusted returns above those of a simple buy and hold strategy for our sample period 2004-2015. Our findings are that by blending a 30% global listed portfolio with a 70% allocation (as opposed to a typical 100% weighting) to Spezialfonds, the real estate allocation returns increase from 2.88% p.a. to 5.42% pa. Volatility increases, but only to 6.53%., but there is a noticeable impact on maximum drawdown which increases to 19.4%. By using a Trend Following strategy raw returns are improved from 2.88% to 6.94% p.a. , The Sharpe Ratio increases from 1.05 to 1.49 and the Maximum Drawdown ratio is now only 1.83% compared to 19.4% using a buy and hold strategy . Finally, adding this (9%) real estate allocation to a mixed asset portfolio allocation typical for German pension funds there is an improvement in both the raw return (from 7.66% to 8.28%) and the Sharpe Ratio (from 0.91 to 0.98).

Texture, realism, performance: exploring the intersection of transtexts and the contemporary sitcom

Contemporary US sitcom is at an interesting crossroads: it has received an increasing amount of scholarly attention (e.g. Mills 2009; Butler 2010; Newman and Levine 2012; Vermeulen and Whitfield 2013), which largely understands it as shifting towards the aesthetically and narratively complex. At the same time, in the post-broadcasting era, US networks are particularly struggling for their audience share. With the days of blockbuster successes like Must See TV’s Friends (NBC 1994-2004) a distant dream, recent US sitcoms are instead turning towards smaller, engaged audiences. Here, a cult sensibility of intertextual in-jokes, temporal and narrational experimentation (e.g. flashbacks and alternate realities) and self-reflexive performance styles have marked shows including Community (NBC 2009-2015), How I Met Your Mother (CBS 2005-2014), New Girl (Fox 2011-present) and 30 Rock (NBC 2006-2013). However, not much critical attention has so far been paid to how these developments in textual sensibility in contemporary US sitcom may be influenced by, and influencing, the use of transmedia storytelling practices, an increasingly significant industrial concern and rising scholarly field of enquiry (e.g. Jenkins 2006; Mittell 2015; Richards 2010; Scott 2010; Jenkins, Ford and Green 2013). This chapter investigates this mutual influence between sitcom and transmedia by taking as its case studies two network shows that encourage invested viewership through their use of transtexts, namely How I Met Your Mother (hereafter HIMHM) and New Girl (hereafter NG). As such, it will pay particular attention to the most transtextually visible character/actor from each show: HIMYM’s Barney Stinson, played by Neil Patrick Harris, and NG’s Schmidt, played by Max Greenfield. This chapter argues that these sitcoms do not simply have their particular textual sensibility and also (happen to) engage with transmedia practices, but that the two are mutually informing and defining. This chapter explores the relationships and interplay between sitcom aesthetics, narratives and transmedia storytelling (or industrial transtexts), focusing on the use of multiple delivery channels in order to disperse “integral elements of a fiction” (Jenkins, 2006 95-6), by official entities such as the broadcasting channels. The chapter pays due attention to the specific production contexts of both shows and how these inform their approaches to transtexts. This chapter’s conceptual framework will be particularly concerned with how issues of texture, the reality envelope and accepted imaginative realism, as well as performance and the actor’s input inform and illuminate contemporary sitcoms and transtexts, and will be the first scholarly research to do so. It will seek out points of connections between two (thus far) separate strands of scholarship and will move discussions on transtexts beyond the usual genre studied (i.e. science-fiction and fantasy), as well as make a contribution to the growing scholarship on contemporary sitcom by approaching it from a new critical angle. On the basis that transmedia scholarship stands to benefit from widening its customary genre choice (i.e. telefantasy) for its case studies and from making more use of in-depth close analysis in its engagement with transtexts, the chapter argues that notions of texture, accepted imaginative realism and the reality envelope, as well as performance and the actor’s input deserve to be paid more attention to within transtext-related scholarship.