The inflation hedging characteristics of US and UK investments: a multi-factor error correction approach

Historic analysis of the inflation hedging properties of stocks produced anomalous results, with equities often appearing to offer a perverse hedge against inflation. This has been attributed to the impact of real and monetary shocks to the economy, which influence both inflation and asset returns. It has been argued that real estate should provide a better hedge: however, empirical results have been mixed. This paper explores the relationship between commercial real estate returns (from both private and public markets) and economic, fiscal and monetary factors and inflation for US and UK markets. Comparative analysis of general equity and small capitalisation stock returns in both markets is carried out. Inflation is subdivided into expected and unexpected components using different estimation techniques. The analyses are undertaken using long-run error correction techniques. In the long-run, once real and monetary variables are included, asset returns are positively linked to anticipated inflation but not to inflation shocks. Adjustment processes are, however, gradual and not within period. Real estate returns, particularly direct market returns, exhibit characteristics that differ from equities.

The underlying return generating factors for REIT returns: an application of independent component analysis

Multi-factor approaches to analysis of real estate returns have, since the pioneering work of Chan, Hendershott and Sanders (1990), emphasised a macro-variables approach in preference to the latent factor approach that formed the original basis of the arbitrage pricing theory. With increasing use of high frequency data and trading strategies and with a growing emphasis on the risks of extreme events, the macro-variable procedure has some deficiencies. This paper explores a third way, with the use of an alternative to the standard principal components approach – independent components analysis (ICA). ICA seeks higher moment independence and maximises in relation to a chosen risk parameter. We apply an ICA based on kurtosis maximisation to weekly US REIT data using a kurtosis maximising algorithm. The results show that ICA is successful in capturing the kurtosis characteristics of REIT returns, offering possibilities for the development of risk management strategies that are sensitive to extreme events and tail distributions.

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.

Biomarker discovery and redundancy reduction towards classification using a multi-factorial MALDI-TOF MS T2DM mouse model dataset

Diabetes like many diseases and biological processes is not mono-causal. On the one hand multifactorial studies with complex experimental design are required for its comprehensive analysis. On the other hand, the data from these studies often include a substantial amount of redundancy such as proteins that are typically represented by a multitude of peptides. Coping simultaneously with both complexities (experimental and technological) makes data analysis a challenge for Bioinformatics.

Effective elements of cognitive behaviour therapy for psychosis: results of a novel type of subgroup analysis based on principal stratification

Background. Meta-analyses show that cognitive behaviour therapy for psychosis (CBT-P) improves distressing positive symptoms. However, it is a complex intervention involving a range of techniques. No previous study has assessed the delivery of the different elements of treatment and their effect on outcome. Our aim was to assess the differential effect of type of treatment delivered on the effectiveness of CBT-P, using novel statistical methodology. Method. The Psychological Prevention of Relapse in Psychosis (PRP) trial was a multi-centre randomized controlled trial (RCT) that compared CBT-P with treatment as usual (TAU). Therapy was manualized, and detailed evaluations of therapy delivery and client engagement were made. Follow-up assessments were made at 12 and 24 months. In a planned analysis, we applied principal stratification (involving structural equation modelling with finite mixtures) to estimate intention-to-treat (ITT) effects for subgroups of participants, defined by qualitative and quantitative differences in receipt of therapy, while maintaining the constraints of randomization. Results. Consistent delivery of full therapy, including specific cognitive and behavioural techniques, was associated with clinically and statistically significant increases in months in remission, and decreases in psychotic and affective symptoms. Delivery of partial therapy involving engagement and assessment was not effective. Conclusions. Our analyses suggest that CBT-P is of significant benefit on multiple outcomes to patients able to engage in the full range of therapy procedures. The novel statistical methods illustrated in this report have general application to the evaluation of heterogeneity in the effects of treatment.

A normative approach to multi-agent systems for intelligent buildings

Building Management Systems (BMS) are widely adopted in modern buildings around the world in order to provide high-quality building services, and reduce the running cost of the building. However, most BMS are functionality-oriented and do not consider user personalization. The aim of this research is to capture and represent building management rules using organizational semiotics methods. We implement Semantic Analysis, which determines semantic units in building management and their relationship patterns of behaviour, and Norm Analysis, which extracts and specifies the norms that establish how and when these management actions occur. Finally, we propose a multi-agent framework for norm based building management. This framework contributes to the design domain of intelligent building management system by defining a set of behaviour patterns, and the norms that govern the real-time behaviour in a building.

Provision of environmental output within a multi-output distance function approach

This paper redefines technical efficiency by incorporating provision of environmental goods as one of the outputs of the farm. The proportion of permanent and rough grassland to total agricultural land area is used as a proxy for the provision of environmental goods. Stochastic frontier analysis was conducted using a Bayesian procedure. The methodology is applied to panel data on 215 dairy farms in England and Wales. Results show that farm efficiency rankings change when provision of environmental outputs by farms is incorporated in the efficiency analysis, which may have important political implications.

Integrated cytokine and metabolic analysis of pathological responses to parasite exposure in rodents

Parasitic infections cause a myriad of responses in their mammalian hosts, on immune as well as on metabolic level. A multiplex panel of cytokines and metabolites derived from four parasite-rodent models, namely, Plasmodium berghei-mouse, Trypanosoma brucei brucei-mouse, Schistosoma mansoni-mouse, and Fasciola hepatica-rat were statistically coanalyzed. 1H NMR spectroscopy and multivariate statistical analysis were used to characterize the urine and plasma metabolite profiles in infected and noninfected animals. Each parasite generated a unique metabolic signature in the host. Plasma cytokine concentrations were obtained using the ‘Meso Scale Discovery’ multi cytokine assay platform. Multivariate data integration methods were subsequently used to elucidate the component of the metabolic signature which is associated with inflammation and to determine specific metabolic correlates with parasite-induced changes in plasma cytokine levels. For example, the relative levels of acetyl glycoproteins extracted from the plasma metabolite profile in the P. berghei-infected mice were statistically correlated with IFN-γ, whereas the same cytokine was anticorrelated with glucose levels. Both the metabolic and the cytokine data showed a similar spatial distribution in principal component analysis scores plots constructed for the combined murine data, with samples from all infected animals clustering according to the parasite species and whereby the protozoan infections (P. berghei and T. b. brucei) grouped separately from the helminth infection (S. mansoni). For S. mansoni, the main infection-responsive cytokines were IL-4 and IL-5, which covaried with lactate, choline, and D-3-hydroxybutyrate. This study demonstrates that the inherently differential immune response to single and multicellular parasites not only manifests in the cytokine expression, but also consequently imprints on the metabolic signature, and calls for in-depth analysis to further explore direct links between immune features and biochemical pathways.

Multi-responsive hydrogels based on N-isopropylacrylamide and sodium alginate

Hydrogels consisting of sodium alginate and N-isopropylacrylamide covalently crosslinked with N,N′-methylenebisacrylamide were prepared. The mixed-interpenetrated networks obtained were characterized using elemental analysis, Fourier transform infrared and Raman spectroscopy, swelling measurements and environmental scanning electron microscopy. The thermo- and pH-responsive properties of these hydrogels were evidenced by their swelling behaviour, which depended also on the amount of crosslinking agent and hydrogel composition.

Performance analysis of data transmissions in MPLS and non-MPLS networks

Basic Network transactions specifies that datagram from source to destination is routed through numerous routers and paths depending on the available free and uncongested paths which results in the transmission route being too long, thus incurring greater delay, jitter, congestion and reduced throughput. One of the major problems of packet switched networks is the cell delay variation or jitter. This cell delay variation is due to the queuing delay depending on the applied loading conditions. The effect of delay, jitter accumulation due to the number of nodes along transmission routes and dropped packets adds further complexity to multimedia traffic because there is no guarantee that each traffic stream will be delivered according to its own jitter constraints therefore there is the need to analyze the effects of jitter. IP routers enable a single path for the transmission of all packets. On the other hand, Multi-Protocol Label Switching (MPLS) allows separation of packet forwarding and routing characteristics to enable packets to use the appropriate routes and also optimize and control the behavior of transmission paths. Thus correcting some of the shortfalls associated with IP routing. Therefore MPLS has been utilized in the analysis for effective transmission through the various networks. This paper analyzes the effect of delay, congestion, interference, jitter and packet loss in the transmission of signals from source to destination. In effect the impact of link failures, repair paths in the various physical topologies namely bus, star, mesh and hybrid topologies are all analyzed based on standard network conditions.

Improvement of link failure restoration utilising multi-protocol label switching (MPLS) as a means to maintain quality of service (QOS)

This paper proposes a practical approach to the enhancement of Quality of Service (QoS) routing by means of providing alternative or repair paths in the event of a breakage of a working path. The proposed scheme guarantees that every Protected Node (PN) is connected to a multi-repair path such that no further failure or breakage of single or double repair paths can cause any simultaneous loss of connectivity between an ingress node and an egress node. Links to be protected in an MPLS network are predefined and a Label Switched path (LSP) request involves the establishment of a working path. The use of multi-protection paths permits the formation of numerous protection paths allowing greater flexibility. Our analysis examined several methods including single, double and multi-repair routes and the prioritization of signals along the protected paths to improve the Quality of Service (QoS), throughput, reduce the cost of the protection path placement, delay, congestion and collision. Results obtained indicated that creating multi-repair paths and prioritizing packets reduces delay and increases throughput in which case the delays at the ingress/egress LSPs were low compared to when the signals had not been classified. Therefore the proposed scheme provided a means to improve the QoS in path restoration in MPLS using available network resources. Prioritizing the packets in the data plane has revealed that the amount of traffic transmitted using a medium and low priority Label Switch Paths (LSPs) does not have any impact on the explicit rate of the high priority LSP in which case the problem of a knock-on effect is eliminated.

Experimental separation of the coherent component of X-ray scattering prior to RDF analysis of non-crystalline polymers

An experimental method is described which enables the inelastically scattered X-ray component to be removed from diffractometer data prior to radial density function analysis. At each scattering angle an energy spectrum is generated from a Si(Li) detector combined with a multi-channel analyser from which the coherently scattered component is separated. The data obtained from organic polymers has an improved signal/noise ratio at high values of scattering angle, and a commensurate enhancement of resolution of the RDF at low r is demonstrated for the case of PMMA (ICI `Perspex'). The method obviates the need for the complicated correction for multiple scattering.

Sources of multi-decadal variability in Arctic sea ice extent

The observed dramatic decrease in September sea ice extent (SIE) has been widely discussed in the scientific literature. Though there is qualitative agreement between observations and ensemble members of the Third Coupled Model Intercomparison Project (CMIP3), it is concerning that the observed trend (1979–2010) is not captured by any ensemble member. The potential sources of this discrepancy include: observational uncertainty, physical model limitations and vigorous natural climate variability. The latter has received less attention and is difficult to assess using the relatively short observational sea ice records. In this study multi-centennial pre-industrial control simulations with five CMIP3 climate models are used to investigate the role that the Arctic oscillation (AO), the Atlantic multi-decadal oscillation (AMO) and the Atlantic meridional overturning circulation (AMOC) play in decadal sea ice variability. Further, we use the models to determine the impact that these sources of variability have had on SIE over both the era of satellite observation (1979–2010) and an extended observational record (1953–2010). There is little evidence of a relationship between the AO and SIE in the models. However, we find that both the AMO and AMOC indices are significantly correlated with SIE in all the models considered. Using sensitivity statistics derived from the models, assuming a linear relationship, we attribute 0.5–3.1%/decade of the 10.1%/decade decline in September SIE (1979–2010) to AMO driven variability.

A multi-level analytical approach for detection and visualization of intracellular NO production and nitrosation events using diaminofluoresceins

Diaminofluoresceins are widely used probes for detection and intracellular localization of NO formation in cultured/isolated cells and intact tissues. The fluorinated derivative, 4-amino-5-methylamino-2′,7′-difluorofluorescein (DAF-FM), has gained increasing popularity in recent years due to its improved NO-sensitivity, pH-stability, and resistance to photo-bleaching compared to the first-generation compound, DAF-2. Detection of NO production by either reagent relies on conversion of the parent compound into a fluorescent triazole, DAF-FM-T and DAF-2-T, respectively. While this reaction is specific for NO and/or reactive nitrosating species, it is also affected by the presence of oxidants/antioxidants. Moreover, the reaction with other molecules can lead to the formation of fluorescent products other than the expected triazole. Thus additional controls and structural confirmation of the reaction products are essential. Using human red blood cells as an exemplary cellular system we here describe robust protocols for the analysis of intracellular DAF-FM-T formation using an array of fluorescence-based methods (laser-scanning fluorescence microscopy, flow cytometry and fluorimetry) and analytical separation techniques (reversed-phase HPLC and LC-MS/MS). When used in combination, these assays afford unequivocal identification of the fluorescent signal as being derived from NO and are applicable to most other cellular systems without or with only minor modifications.

The potential inefficiency of using marketing margins in applied commodity price analysis, forecasting and risk management

This paper examines the implications of using marketing margins in applied commodity price analysis. The marketing-margin concept has a long and distinguished history, but it has caused considerable controversy. This is particularly the case in the context of analyzing the distribution of research gains in multi-stage production systems. We derive optimal tax schemes for raising revenues to finance research and promotion in a downstream market, derive the rules for efficient allocation of the funds, and compare the rules with an without the marketing-margin assumption. Applying the methodology to quarterly time series on the Australian beef-cattle sector and, with several caveats, we conclude that, during the period 1978:2 - 1988:4, the Australian Meat and Livestock Corporation optimally allocated research resources.