Serial persistence in individual real estate returns in the UK

Persistence of property returns is a topic of perennial interest to fund managers as it suggests that choosing those properties that will perform well in the future is as simple as looking at those that performed well in the past. Consequently, much effort has been expended to determine if such a rule exists in the real estate market. This paper extends earlier studies in US, Australian, and UK markets in two ways. First, this study applies the same methodology originally used in Young and Graff (1996) making the results directly comparable with those in the US and Australian property markets. Second, this study uses a much longer and larger database covering all commercial property data available from the Investment Property Databank (IPD), for the years 1981 to 2002 for as many as 216,758 individual property returns. While the performance results of this study mimic the US and Australian results of greater persistence in the extreme first and fourth quartiles, they also evidence persistence in the moderate second and third quartiles, a notable departure from previous studies. Likewise patterns across property type, location, time, and holding period are remarkably similar leading to the conjecture that behaviors in the practice of commercial real estate investment management are themselves deeply rooted and persistent and perhaps influenced for good or ill by agency effects

Forecasting UK real estate cycle phases with leading indicators: a probit approach

This paper examines the significance of widely used leading indicators of the UK economy for predicting the cyclical pattern of commercial real estate performance. The analysis uses monthly capital value data for UK industrials, offices and retail from the Investment Property Databank (IPD). Prospective economic indicators are drawn from three sources namely, the series used by the US Conference Board to construct their UK leading indicator and the series deployed by two private organisations, Lombard Street Research and NTC Research, to predict UK economic activity. We first identify turning points in the capital value series adopting techniques employed in the classical business cycle literature. We then estimate probit models using the leading economic indicators as independent variables and forecast the probability of different phases of capital values, that is, periods of declining and rising capital values. The forecast performance of the models is tested and found to be satisfactory. The predictability of lasting directional changes in property performance represents a useful tool for real estate investment decision-making.

An ECOOP web portal for visualising and comparing distributed coastal oceanography model and in situ data

As part of a large European coastal operational oceanography project (ECOOP), we have developed a web portal for the display and comparison of model and in situ marine data. The distributed model and in situ datasets are accessed via an Open Geospatial Consortium Web Map Service (WMS) and Web Feature Service (WFS) respectively. These services were developed independently and readily integrated for the purposes of the ECOOP project, illustrating the ease of interoperability resulting from adherence to international standards. The key feature of the portal is the ability to display co-plotted timeseries of the in situ and model data and the quantification of misfits between the two. By using standards-based web technology we allow the user to quickly and easily explore over twenty model data feeds and compare these with dozens of in situ data feeds without being concerned with the low level details of differing file formats or the physical location of the data. Scientific and operational benefits to this work include model validation, quality control of observations, data assimilation and decision support in near real time. In these areas it is essential to be able to bring different data streams together from often disparate locations.