The case for property in the long run: a cointegration test

The benefits of property in the mixed asset portfolio has been the subject of a number of studies both in the UK and around the world. The traditional way of investigating this issue is to use MPT with the results suggesting that Property should play a significant role in the mixed asset portfolio. These results are not without criticism and generally revolve around quality and quantity of the property data series. To overcome these deficiencies this paper uses cointegration methodology which examines the longer term time series behaviour of various asset markets using a very long run desmoothed data series. Using a number of different cointegration tests, both pair-wise and multivariate, the results show, in unambiguous terms, that there is no contemporous cointegration between the major asset classes Property, Equities and Bonds. The implications of which are that Property does indeed have a risk reducing place to play in the long-run strategic mixed-asset portfolio. A result of particular relevance to institutions such as pension funds and life insurance companies who would wish to hold investments for the long-term.

Trading death: the implications of annuity replication for the annuity puzzle, arbitrage, speculation and portfolios

Annuities are perceived as being illiquid financial instruments, and this has limited their attractiveness to consumers and their inclusion in financial models. However, short positions in annuities can be replicated using life insurance and debt, permitting long positions in annuities to be offset, or short annuity positions to be created. The implications of this result for the annuity puzzle, arbitrage between the annuity and life insurance markets, and speculation on expected longevity are investigated. It is argued that annuity replication could help reduce the annuity puzzle, improve the price efficiency of annuity markets and promote the inclusion of annuities in household portfolios.

Life and death in a civitas capital: metabolic disease and trauma in the children from late Roman Dorchester, Dorset

The impact that “Romanization” and the development of urban centers had on the health of the Romano-British population is little understood. A re-examination of the skeletal remains of 364 nonadults from the civitas capital at Roman Dorchester (Durnovaria) in Dorset was carried out to measure the health of the children living in this small urban area. The cemetery population was divided into two groups; the first buried their dead organized within an east–west alignment with possible Christian-style graves, and the second with more varied “pagan” graves, aligned north–south. A higher prevalence of malnutrition and trauma was evident in the children from Dorchester than in any other published Romano-British group, with levels similar to those seen in postmedieval industrial communities. Cribra orbitalia was present in 38.5% of the children, with rickets and/or scurvy at 11.2%. Twelve children displayed fractures of the ribs, with 50% of cases associated with rickets and/or scurvy, suggesting that rib fractures should be considered during the diagnosis of these conditions. The high prevalence of anemia, rickets, and scurvy in the Poundbury children, and especially the infants, indicates that this community may have adopted child-rearing practices that involved fasting the newborn, a poor quality weaning diet, and swaddling, leading to general malnutrition and inadequate exposure to sunlight. The Pagan group showed no evidence of scurvy or rib fractures, indicating difference in religious and child-rearing practices but that both burial groups were equally susceptible to rickets and anemia suggests a shared poor standard of living in this urban environment.