Asset allocation, cross-class correlation and the structure of property returns

Practical applications of portfolio optimisation tend to proceed on a “top down” basis where funds are allocated first at asset class level (between, say, bonds, cash, equities and real estate) and then, progressively, at sub-class level (within property to sectors, office, retail, industrial for example). While there are organisational benefits from such an approach, it can potentially lead to sub-optimal allocations when compared to a “global” or “side-by-side” optimisation. This will occur where there are correlations between sub-classes across the asset divide that are masked in aggregation – between, for instance, City offices and the performance of financial services stocks. This paper explores such sub-class linkages using UK monthly stock and property data. Exploratory analysis using clustering procedures and factor analysis suggests that property performance and equity performance are distinctive: there is little persuasive evidence of contemporaneous or lagged sub-class linkages. Formal tests of the equivalence of optimised portfolios using top-down and global approaches failed to demonstrate significant differences, whether or not allocations were constrained. While the results may be a function of measurement of market returns, it is those returns that are used to assess fund performance. Accordingly, the treatment of real estate as a distinct asset class with diversification potential seems justified.

Synthesis and crystal structure of a novel octa-aqua bridged star-shaped Ni4K complex

A penta-nuclear. star-shaped hetero-metallic compound containing a unique Ni4KO8 core has been synthesized. The X-ray single crystal structure analysis reveals that in the complex, [K(Ni(LH)(2))(4)(OH2)(8)](Br)(ClO4)(8)center dot 11H(2)O (LH=(CH3)(2)HN+(CH2)(3)N=CHC6H4O-) the eight coordinate central K+ ion is encapsulated by four terminal [Ni(LH)(2)](2+) units through the double water bridges between K+ and each Ni(II) ions.

Synthesis, characterization and molecular structure of 1,1′ bis (diphenyl phosphino ferrocene) dioxide complex of the cis-uranyl dichloride

A 1,1' bis(diphenyl phosphino ferrocene) dioxide complex of the uranyl dichloride was synthesized and characterized by elemental analysis, H-1, P-31{H-1} NMR and X-ray diffraction methods. The structure of the compound shows that the uranium(VI) ion is surrounded by four oxygen and two chlorine atoms in an octahedral geometry. Two oxygen atoms from the bis (diphenyl phosphino ferrocene) dioxide and two chlorine atoms form a square planar arrangement. Two uranyl oxygen atoms occupy the axial positions. The bis(diphenyl phosphino ferrocene) dioxide ligand acts as a bidentate chelating ligand with a bite angle of 82.90(16)degrees around the uranyl group. The two chlorine atoms are mutually cis with a CI-U-Cl angle of 97.75(7)degrees.

Interaction of anthocyanins with human serum albumin: influence of pH and chemical structure on binding

The affinity of anthocyanins for human serum albumin (HSA) was determined by a fluorescence quenching method. The effects of pH and structure of anthocyanins on the binding constants were studied. The constants for binding of anthocyanins to HSA ranged from 1.08 x 10^5 M-1 to 13.16 x 10^5 M-1. A hydrophobic effect at acidic pH was shown by the relatively high positive entropy values under the conditions studied. Electrostatic interactions including hydrogen bonding contributed to the binding at pH 7.4. The effect of structure of anthocyanins on the affinity was pH dependent, particularly the effect of additional hydroxyl substituents. Hydroxyl substituents and glycosylation of anthocyanins decreased the affinity for binding to HSA at lower pH (especially pH 4), but increased the strength of binding at pH 7.4. In contrast, methylation of a hydroxyl group enhanced the binding at acidic pH, while this substitution reduced the strength of binding at pH 7.4. This paper has shown that changes in anthocyanin structure or reductions in pH, which may occur in the region of inflammatory sites, have an effect of the binding of anthocyanins to HSA.

Nonlinear wave-activity conservation laws and Hamiltonian structure for the two-dimensional anelastic equations

Exact, finite-amplitude, local wave-activity conservation laws are derived for disturbances to steady flows in the context of the two-dimensional anelastic equations. The conservation laws are expressed entirely in terms of Eulerian quantities, and have the property that, in the limit of a small-amplitude, slowly varying, monochromatic wave train, the wave-activity density A and flux F, when averaged over phase, satisfy F = cgA where cg is the group velocity of the waves. For nonparallel steady flows, the only conserved wave activity is a form of disturbance pseudoenergy; when the steady flow is parallel, there is in addition a conservation law for the disturbance pseudomomentum. The above results are obtained not only for isentropic background states (which give the so-called “deep form” of the anelastic equations), but also for arbitrary background potential-temperature profiles θ0(z) so long as the variation in θ0(z) over the depth of the fluid is small compared with θ0 itself. The Hamiltonian structure of the equations is established in both cases, and its symmetry properties discussed. An expression for available potential energy is also derived that, for the case of a stably stratified background state (i.e., dθ0/dz > 0), is locally positive definite; the expression is valid for fully three-dimensional flow. The counterparts to results for the two-dimensional Boussinesq equations are also noted.

Trade-offs and responsiveness of the single-layer urban canopy parametrization in WRF: an offline evaluation using the MOSCEM optimization algorithm and field observations

For an increasing number of applications, mesoscale modelling systems now aim to better represent urban areas. The complexity of processes resolved by urban parametrization schemes varies with the application. The concept of fitness-for-purpose is therefore critical for both the choice of parametrizations and the way in which the scheme should be evaluated. A systematic and objective model response analysis procedure (Multiobjective Shuffled Complex Evolution Metropolis (MOSCEM) algorithm) is used to assess the fitness of the single-layer urban canopy parametrization implemented in the Weather Research and Forecasting (WRF) model. The scheme is evaluated regarding its ability to simulate observed surface energy fluxes and the sensitivity to input parameters. Recent amendments are described, focussing on features which improve its applicability to numerical weather prediction, such as a reduced and physically more meaningful list of input parameters. The study shows a high sensitivity of the scheme to parameters characterizing roof properties in contrast to a low response to road-related ones. Problems in partitioning of energy between turbulent sensible and latent heat fluxes are also emphasized. Some initial guidelines to prioritize efforts to obtain urban land-cover class characteristics in WRF are provided. Copyright © 2010 Royal Meteorological Society and Crown Copyright.

Local and average structure in zinc cyanide: towards an understanding of the atomistic origin of negative thermal expansion

Neutron diffraction at 11.4 and 295 K and solid-state 67Zn NMR are used to determine both the local and average structures in the disordered, negative thermal expansion (NTE) material, Zn(CN)2. Solid-state NMR not only confirms that there is head-to-tail disorder of the C≡N groups present in the solid, but yields information about the relative abundances of the different Zn(CN)4-n(NC)n tetrahedral species, which do not follow a simple binomial distribution. The Zn(CN)4 and Zn(NC)4 species occur with much lower probabilities than are predicted by binomial theory, supporting the conclusion that they are of higher energy than the other local arrangements. The lowest energy arrangement is Zn(CN)2(NC)2. The use of total neutron diffraction at 11.4 K, with analysis of both the Bragg diffraction and the derived total correlation function, yields the first experimental determination of the individual Zn−N and Zn−C bond lengths as 1.969(2) and 2.030(2) Å, respectively. The very small difference in bond lengths, of ~0.06 Å, means that it is impossible to obtain these bond lengths using Bragg diffraction in isolation. Total neutron diffraction also provides information on both the average and local atomic displacements responsible for NTE in Zn(CN)2. The principal motions giving rise to NTE are shown to be those in which the carbon and nitrogen atoms within individual Zn−C≡N−Zn linkages are displaced to the same side of the Zn···Zn axis. Displacements of the carbon and nitrogen atoms to opposite sides of the Zn···Zn axis, suggested previously in X-ray studies as being responsible for NTE behavior, in fact make negligible contribution at temperatures up to 295 K.