Hedging effectiveness of total returns swaps: application to the Japanese market

The development of the real estate swap market offers many opportunities for investors to adjust the exposure of their portfolios to real estate. A number of OTC transactions have been observed in markets around the world. In this paper we examine the Japanese commercial real estate market from the point of view of an investor holding a portfolio of properties seeking to reduce the portfolio exposure to the real estate market by swapping an index of real estate for LIBOR. This paper explores the practicalities of hedging portfolios comprising small numbers of individual properties against an appropriate index. We use the returns from 74 properties owned by Japanese Real Estate Investment Trusts over the period up to September 2007. The paper also discusses and applies the appropriate stochastic processes required to model real estate returns in this application and presents alternative ways of reporting hedging effectiveness. We find that the development of the derivative does provide the capacity for hedging market risk but that the effectiveness of the hedge varies considerably over time. We explore the factors that cause this variability.

Towards the total synthesis of mycaperoxide B: probing biosynthetic rationale

Studies towards the biomimetic synthesis of mycaperoxide B (1) are described. We have established the synthesis of four diastereoisomers of mycaperoxide B methyl ester (1a) by employing a Michael addition across an α,β-unsaturated ester precursor 2 as the key step. This result strongly suggestsstereocontrol in the addition of the hydroperoxide functionality to the E double bond and discloses the importance of choosing the correct geometry of the α,β-unsaturated double bond when attempting to synthesise mycaperoxide B. Four diastereoisomeric tetrahydrofurans derived from an intramolecular rearrangement of the 1,2-dioxolane enolate 12 were also isolated and characterised.

The determination of total nitrogen and total phosphorus concentrations in freshwaters from land use, stock headage and population data: testing of a model for use in conservation and water quality management

1. Nutrient concentrations (particularly N and P) determine the extent to which water bodies are or may become eutrophic. Direct determination of nutrient content on a wide scale is labour intensive but the main sources of N and P are well known. This paper describes and tests an export coefficient model for prediction of total N and total P from: (i) land use, stock headage and human population; (ii) the export rates of N and P from these sources; and (iii) the river discharge. Such a model might be used to forecast the effects of changes in land use in the future and to hindcast past water quality to establish comparative or baseline states for the monitoring of change. 2. The model has been calibrated against observed data for 1988 and validated against sets of observed data for a sequence of earlier years in ten British catchments varying from uplands through rolling, fertile lowlands to the flat topography of East Anglia. 3. The model predicted total N and total P concentrations with high precision (95% of the variance in observed data explained). It has been used in two forms: the first on a specific catchment basis; the second for a larger natural region which contains the catchment with the assumption that all catchments within that region will be similar. Both models gave similar results with little loss of precision in the latter case. This implies that it will be possible to describe the overall pattern of nutrient export in the UK with only a fraction of the effort needed to carry out the calculations for each individual water body. 4. Comparison between land use, stock headage, population numbers and nutrient export for the ten catchments in the pre-war year of 1931, and for 1970 and 1988 show that there has been a substantial loss of rough grazing to fertilized temporary and permanent grasslands, an increase in the hectarage devoted to arable, consistent increases in the stocking of cattle and sheep and a marked movement of humans to these rural catchments. 5. All of these trends have increased the flows of nutrients with more than a doubling of both total N and total P loads during the period. On average in these rural catchments, stock wastes have been the greatest contributors to both N and P exports, with cultivation the next most important source of N and people of P. Ratios of N to P were high in 1931 and remain little changed so that, in these catchments, phosphorus continues to be the nutrient most likely to control algal crops in standing waters supplied by the rivers studied.

A procedure for the simultaneous determination of total nitrogen and total phosphorus in freshwater samples using persulphate microwave digestion

In the absence of a suitable method for routine analysis of large numbers of natural river water samples for organic nitrogen and phosphorus fractions, a new simultaneous digestion technique was developed, based on a standard persulphate digestion procedure. This allows rapid analysis of river, lake and groundwater samples from a range of environments for total nitrogen and phosphorus. The method was evaluated using a range of organic nitrogen and phosphorus structures tested at low, mid and high range concentrations from 2 to 50 mg l-1 nitrogen and 0.2 to 10 mg l-1 phosphorus. Mean recoveries for nitrogen ranged from 94.5% (2 mg I-1) to 92.7% (50 mg I-1) and for phosphorus were 98.2% (0.2 mg l-1) to 100.2% (10 mg l-1). The method is precise in its ability m reproduce results from replicate digestions, and robust in its ability to handle a variety of natural water samples in the pH range 5-8.

On the statistical modeling of persistence in total ozone anomalies

Geophysical time series sometimes exhibit serial correlations that are stronger than can be captured by the commonly used first‐order autoregressive model. In this study we demonstrate that a power law statistical model serves as a useful upper bound for the persistence of total ozone anomalies on monthly to interannual timescales. Such a model is usually characterized by the Hurst exponent. We show that the estimation of the Hurst exponent in time series of total ozone is sensitive to various choices made in the statistical analysis, especially whether and how the deterministic (including periodic) signals are filtered from the time series, and the frequency range over which the estimation is made. In particular, care must be taken to ensure that the estimate of the Hurst exponent accurately represents the low‐frequency limit of the spectrum, which is the part that is relevant to long‐term correlations and the uncertainty of estimated trends. Otherwise, spurious results can be obtained. Based on this analysis, and using an updated equivalent effective stratospheric chlorine (EESC) function, we predict that an increase in total ozone attributable to EESC should be detectable at the 95% confidence level by 2015 at the latest in southern midlatitudes, and by 2020–2025 at the latest over 30°–45°N, with the time to detection increasing rapidly with latitude north of this range.

Decline and recovery of total column ozone using a multimodel time series analysis

Simulations of 15 coupled chemistry climate models, for the period 1960–2100, are presented. The models include a detailed stratosphere, as well as including a realistic representation of the tropospheric climate. The simulations assume a consistent set of changing greenhouse gas concentrations, as well as temporally varying chlorofluorocarbon concentrations in accordance with observations for the past and expectations for the future. The ozone results are analyzed using a nonparametric additive statistical model. Comparisons are made with observations for the recent past, and the recovery of ozone, indicated by a return to 1960 and 1980 values, is investigated as a function of latitude. Although chlorine amounts are simulated to return to 1980 values by about 2050, with only weak latitudinal variations, column ozone amounts recover at different rates due to the influence of greenhouse gas changes. In the tropics, simulated peak ozone amounts occur by about 2050 and thereafter total ozone column declines. Consequently, simulated ozone does not recover to values which existed prior to the early 1980s. The results also show a distinct hemispheric asymmetry, with recovery to 1980 values in the Northern Hemisphere extratropics ahead of the chlorine return by about 20 years. In the Southern Hemisphere midlatitudes, ozone is simulated to return to 1980 levels only 10 years ahead of chlorine. In the Antarctic, annually averaged ozone recovers at about the same rate as chlorine in high latitudes and hence does not return to 1960s values until the last decade of the simulations.

Impact of long-range correlations on trend detection in total ozone

Total ozone trends are typically studied using linear regression models that assume a first-order autoregression of the residuals [so-called AR(1) models]. We consider total ozone time series over 60°S–60°N from 1979 to 2005 and show that most latitude bands exhibit long-range correlated (LRC) behavior, meaning that ozone autocorrelation functions decay by a power law rather than exponentially as in AR(1). At such latitudes the uncertainties of total ozone trends are greater than those obtained from AR(1) models and the expected time required to detect ozone recovery correspondingly longer. We find no evidence of LRC behavior in southern middle-and high-subpolar latitudes (45°–60°S), where the long-term ozone decline attributable to anthropogenic chlorine is the greatest. We thus confirm an earlier prediction based on an AR(1) analysis that this region (especially the highest latitudes, and especially the South Atlantic) is the optimal location for the detection of ozone recovery, with a statistically significant ozone increase attributable to chlorine likely to be detectable by the end of the next decade. In northern middle and high latitudes, on the other hand, there is clear evidence of LRC behavior. This increases the uncertainties on the long-term trend attributable to anthropogenic chlorine by about a factor of 1.5 and lengthens the expected time to detect ozone recovery by a similar amount (from ∼2030 to ∼2045). If the long-term changes in ozone are instead fit by a piecewise-linear trend rather than by stratospheric chlorine loading, then the strong decrease of northern middle- and high-latitude ozone during the first half of the 1990s and its subsequent increase in the second half of the 1990s projects more strongly on the trend and makes a smaller contribution to the noise. This both increases the trend and weakens the LRC behavior at these latitudes, to the extent that ozone recovery (according to this model, and in the sense of a statistically significant ozone increase) is already on the verge of being detected. The implications of this rather controversial interpretation are discussed.

Summertime total ozone variations over middle and polar latitudes

The statistical relationship between springtime and summertime ozone over middle and polar latitudes is analyzed using zonally averaged total ozone data. Shortterm variations in springtime midlatitude ozone demonstrate only a modest correlation with springtime polar ozone variations. However by early summer, ozone variations throughout the extratropics are highly correlated. Analysis of correlation functions indicates that springtime midlatitude ozone, not polar ozone, is the best predictor for summertime polar ozone. Long-term total ozone trends at middle and high latitudes are also different for spring and nearly identical for summer. About 39% of the observed southern midlatitude ozone decline in December can be attributed to the polar ozone depletion up to November. In the Northern Hemisphere, the corresponding contribution is about 15%, but the error bars are too large to make an accurate estimate.

Persistence and photochemical decay of springtime total ozone anomalies in the Canadian Middle Atmosphere Model

The persistence and decay of springtime total ozone anomalies over the entire extratropics (midlatitudes plus polar regions) is analysed using results from the Canadian Middle Atmosphere Model (CMAM), a comprehensive chemistry-climate model. As in the observations, interannual anomalies established through winter and spring persist with very high correlation coefficients (above 0.8) through summer until early autumn, while decaying in amplitude as a result of photochemical relaxation in the quiescent summertime stratosphere. The persistence and decay of the ozone anomalies in CMAM agrees extremely well with observations, even in the southern hemisphere when the model is run without heterogeneous chemistry (in which case there is no ozone hole and the seasonal cycle of ozone is quite different from observations). However in a version of CMAM with strong vertical diffusion, the northern hemisphere anomalies decay far too rapidly compared to observations. This shows that ozone anomaly persistence and decay does not depend on how the springtime anomalies are created or on their magnitude, but reflects the transport and photochemical decay in the model. The seasonality of the long-term trends over the entire extratropics is found to be explained by the persistence of the interannual anomalies, as in the observations, demonstrating that summertime ozone trends reflect winter/spring trends rather than any change in summertime ozone chemistry. However this mechanism fails in the northern hemisphere midlatitudes because of the relatively large impact, compared to observations, of the CMAM polar anomalies. As in the southern hemisphere, the influence of polar ozone loss in CMAM increases the midlatitude summertime loss, leading to a relatively weak seasonal dependence of ozone loss in the Northern Hemisphere compared to the observations.

Seasonal persistence of midlatitude total ozone anomalies

Temporal autocorrelations of monthly mean total ozone anomalies over the 35–60°S and 35–60°N latitude bands reveal that anomalies established in the wintertime midlatitude ozone buildup persist (with photochemical decay) until the end of the following autumn, and then are rapidly erased once the next winter's buildup begins. The photochemical decay rate is found to be identical between the two hemispheres. High predictability of ozone through late summer exists based on the late-spring values. In the northern hemisphere, extending the 1979–2001 springtime ozone trend to other months through regression based on the seasonal persistence of anomalies captures the seasonality of the ozone trends remarkably well. In the southern hemisphere, the springtime trend only accounts for part of the summertime trends. There is a strong correlation between the ozone anomalies in northern hemisphere spring and those in the subsequent southern hemisphere spring, but not the converse.

Geographical variation in total and inorganic arsenic content of polished (white) rice

An extensive data set of total arsenic analysis for 901 polished (white) grain samples, originating from 10 countries from 4 continents, was compiled. The samples represented the baseline (i.e., not specifically collected from arsenic contaminated areas), and all were for market sale in major conurbations. Median total arsenic contents of rice varied 7-fold, with Egypt (0.04 mg/kg) and India (0.07 mg/kg) having the lowest arsenic content while the U.S. (0.25 mg/kg) and France (0.28 mg/kg) had the highest content. Global distribution of total arsenic in rice was modeled by weighting each country’s arsenic distribution by that country’s contribution to global production. A subset of 63 samples from Bangladesh, China, India, Italy, and the U.S. was analyzed for arsenic species. The relationship between inorganic arsenic content versus total arsenic content significantly differed among countries, with Bangladesh and India having the steepest slope in linear regression, and the U.S. having the shallowest slope. Using country-specific rice consumption data, daily intake of inorganic arsenic was estimated and the associated internal cancer risk was calculated using the U.S. Environmental Protection Agency (EPA) cancer slope. Median excess internal cancer risks posed by inorganic arsenic ranged 30-fold for the 5 countries examined, being 0.7 per 10,000 for Italians to 22 per 10,000 for Bangladeshis, when a 60 kg person was considered.

Assessment of the dietary intake of total flavan-3-ols, monomeric flavan-3-ols, proanthocyanidins and theaflavins in the European Union

Dietary interventions with flavan-3-ols have shown beneficial effects on vascular function. The translation of these findings into the context of the health of the general public requires detailed information on habitual dietary intake. However, only limited data are currently available for European populations. Therefore, in the present study, we assessed the habitual intake of flavan-3-ol monomers, proanthocyanidins (PA) and theaflavins in the European Union (EU) and determined their main food sources using the EFSA (European Food Safety Authority) Comprehensive European Food Consumption Database. Data for adults aged 18–64 years were available from fourteen European countries, and intake was determined using the FLAVIOLA Flavanol Food Composition Database, developed for the present study and based on the latest US Department of Agriculture and Phenol-Explorer databases. The mean habitual intake of flavan-3-ol monomers, theaflavins and PA ranged from 181 mg/d (Czech Republic) to 793 mg/d (Ireland). The highest intakes of flavan-3-ol monomers and theaflavins were observed in Ireland (191/505 mg/d) and the lowest intakes in Spain (24/9 mg/d). In contrast, the daily intake of PA was highest in Spain (175 mg/d) and lowest in The Netherlands (96 mg/d). Main sources were tea (62 %), pome fruits (11 %), berries (3 %) and cocoa products (3 %). Tea was the major single contributor to monomer intake (75 %), followed by pome fruits (6 %). Pome fruits were also the main source of PA (28 %). The present study provides important data on the population-based intake of flavanols in the EU and demonstrates that dietary intake amounts for flavan-3-ol monomers, PA and theaflavins vary significantly across European countries. The average habitual intake of flavan-3-ols is considerably below the amounts used in most dietary intervention studies.

Contributions to twentieth century total column ozone change from halocarbons, tropospheric ozone precursors, and climate change

We investigate ozone changes from preindustrial times to the present using a chemistry-climate model. The influence of changes in physical climate, ozone-depleting substances, N2O, and tropospheric ozone precursors is estimated using equilibrium simulations with these different factors set at either preindustrial or present-day values. When these effects are combined, the entire decrease in total column ozone from preindustrial to present day is very small (–1.8 DU) in the global annual average, though with significant decreases in total column ozone over large parts of the Southern Hemisphere during austral spring and widespread increases in column ozone over the Northern Hemisphere during boreal summer. A significant contribution to the total ozone column change is the increase in lower stratospheric ozone associated with the increase in ozone precursors (5.9 DU). Also noteworthy is the near cancellation of the global average climate change effect on ozone (3.5 DU) by the increase in N2O (–3.9 DU).

The effect of adding stinging nettle (Urtica dioica) haylage to a total mixed ration on performance and rumen function of lactating dairy cows

In vitro studies found that inclusion of dried stinging nettle (Urtica dioica) at 100 mg/g dry matter (DM) increased the pH of a rumen fluid inoculated fermentation buffer by 30% and the effect was persistent for 7 days. Our objective was to evaluate the effects of adding stinging nettle haylage to a total mixed ration on feed intake, eating and rumination activity, rumen pH, milk yield, and milk composition of lactating dairy cows. Six lactating Holstein-Friesian cows were used in a replicated 3 × 3 Latin Square design experiment with 3 treatments and 3 week periods. Treatments were a control (C) high-starch (311 g/kg DM) total mixed ration diet and two treatment diets containing 50 (N5) and 100 (N10) g nettle haylage (DM/kg) as a replacement for ryegrass silage (Lolium perenne). There was an increase (linear, P < 0.010) in the proportion of large particles and a reduction in medium (linear, P = 0.045) and fine particles (linear, P = 0.026) in the diet offered with increasing nettle inclusion. A numerical decrease (linear, P = 0.106) in DM intake (DMI) was observed as nettle inclusion in the diet increased. Milk yield averaged 20.3 kg/day and was not affected by diet. There was a decrease (quadratic, P = 0.01) in the time animals spent ruminating as nettle inclusion in the diet increased, in spite of an increase in the number of boli produced daily for the N5 diet (quadratic, P = 0.031). Animals fed the N10 diet spent less time with a rumen pH below 5.5 (P < 0.05) than cows fed the N5 diet. Averaged over an 8.5 h sampling period, there were no changes in the concentration or proportions of acetate or propionate in the rumen, but feeding nettle haylage reduced the concentrations of n-butyrate (quadratic, P < 0.001), i-butyrate (linear, P < 0.009) and n-caproate (linear, P < 0.003). Milk and fat and protein corrected milk yield were not affected when nettles replaced ryegrass silage in the diet of lactating dairy cows, despite a numerical reduction in feed intake. Rumination activity was reduced by the addition of nettle haylage to the diet, which may reflect differences in fibre structure between the nettle haylage and ryegrass silage fed. Changes observed in rumen pH suggest potential benefits of feeding nettle haylage for reducing rumen acidosis. However, the extent to which these effects were due to the fermentability and structure of the nettle haylage compared to the ryegrass silage fed, or a bioactive component of the nettles, is not certain