The consistency of private and public real estate within mixed-asset portfolios

This study considers the consistency of the role of both the private and public real estate markets within a mixed-asset context. While a vast literature has developed that has examined the potential role of both the private and public real estate markets, most studies have largely relied on both single time horizons and single sample periods. This paper builds upon the analysis of Lee and Stevenson (2005) who examined the consistency of REITs in a US capital market portfolio. The current paper extends that by also analyzing the role of the private market. To address the question, the allocation of both the private and traded markets is evaluated over different holding periods varying from 5- to 20-years. In general the results show that optimum mixed-asset portfolios already containing private real estate have little place for public real estate securities, especially in low risk portfolios and for longer investment horizons. Additionally, mixed-asset portfolios with public real estate either see the allocations to REITs diminished or eliminated if private real estate is also considered. The results demonstrate that there is a still a strong case for private real estate in the mixed-asset portfolio on the basis of an increase in risk-adjusted performance, even if the investor is already holding REITs, but that the reverse is not always the case.

Convectively coupled equatorial waves: A new methodology for identifying wave structures in observational data

Convectively coupled equatorial waves are fundamental components of the interaction between the physics and dynamics of the tropical atmosphere. A new methodology, which isolates individual equatorial wave modes, has been developed and applied to observational data. The methodology assumes that the horizontal structures given by equatorial wave theory can be used to project upper- and lower-tropospheric data onto equatorial wave modes. The dynamical fields are first separated into eastward- and westward-moving components with a specified domain of frequency–zonal wavenumber. Each of the components for each field is then projected onto the different equatorial modes using the y structures of these modes given by the theory. The latitudinal scale yo of the modes is predetermined by data to fit the equatorial trapping in a suitable latitude belt y = ±Y. The extent to which the different dynamical fields are consistent with one another in their depiction of each equatorial wave structure determines the confidence in the reality of that structure. Comparison of the analyzed modes with the eastward- and westward-moving components in the convection field enables the identification of the dynamical structure and nature of convectively coupled equatorial waves. In a case study, the methodology is applied to two independent data sources, ECMWF Reanalysis and satellite-observed window brightness temperature (Tb) data for the summer of 1992. Various convectively coupled equatorial Kelvin, mixed Rossby–gravity, and Rossby waves have been detected. The results indicate a robust consistency between the two independent data sources. Different vertical structures for different wave modes and a significant Doppler shifting effect of the background zonal winds on wave structures are found and discussed. It is found that in addition to low-level convergence, anomalous fluxes induced by strong equatorial zonal winds associated with equatorial waves are important for inducing equatorial convection. There is evidence that equatorial convection associated with Rossby waves leads to a change in structure involving a horizontal structure similar to that of a Kelvin wave moving westward with it. The vertical structure may also be radically changed. The analysis method should make a very powerful diagnostic tool for investigating convectively coupled equatorial waves and the interaction of equatorial dynamics and physics in the real atmosphere. The results from application of the analysis method for a reanalysis dataset should provide a benchmark against which model studies can be compared.

The response of a uniform horizontal temperature gradient to heating

The response of a uniform horizontal temperature gradient to prescribed fixed heating is calculated in the context of an extended version of surface quasigeostrophic dynamics. It is found that for zero mean surface flow and weak cross-gradient structure the prescribed heating induces a mean temperature anomaly proportional to the spatial Hilbert transform of the heating. The interior potential vorticity generated by the heating enhances this surface response. The time-varying part is independent of the heating and satisfies the usual linearized surface quasigeostrophic dynamics. It is shown that the surface temperature tendency is a spatial Hilbert transform of the temperature anomaly itself. It then follows that the temperature anomaly is periodically modulated with a frequency proportional to the vertical wind shear. A strong local bound on wave energy is also found. Reanalysis diagnostics are presented that indicate consistency with key findings from this theory.

The effect of doubled CO2 and model basic state biases on the monsoon-ENSO system. II: Changing ENSO regimes

Integrations of a fully-coupled climate model with and without flux adjustments in the equatorial oceans are performed under 2×CO2 conditions to explore in more detail the impact of increased greenhouse gas forcing on the monsoon-ENSO system. When flux adjustments are used to correct some systematic model biases, ENSO behaviour in the modelled future climate features distinct irregular and periodic (biennial) regimes. Comparison with the observed record yields some consistency with ENSO modes primarily based on air-sea interaction and those dependent on basinwide ocean wave dynamics. Simple theory is also used to draw analogies between the regimes and irregular (stochastically forced) and self-excited oscillations respectively. Periodic behaviour is also found in the Asian-Australian monsoon system, part of an overall biennial tendency of the model under these conditions related to strong monsoon forcing and increased coupling between the Indian and Pacific Oceans. The tropospheric biennial oscillation (TBO) thus serves as a useful descriptor for the coupled monsoon-ENSO system in this case. The presence of obvious regime changes in the monsoon-ENSO system on interdecadal timescales, when using flux adjustments, suggests there may be greater uncertainty in projections of future climate, although further modelling studies are required to confirm the realism and cause of such changes.

The ERA-40 re-analysis

ERA-40 is a re-analysis of meteorological observations from September 1957 to August 2002 produced by the European Centre for Medium-Range Weather Forecasts (ECMWF) in collaboration with many institutions. The observing system changed considerably over this re-analysis period, with assimilable data provided by a succession of satellite-borne instruments from the 1970s onwards, supplemented by increasing numbers of observations from aircraft, ocean-buoys and other surface platforms, but with a declining number of radiosonde ascents since the late 1980s. The observations used in ERA-40 were accumulated from many sources. The first part of this paper describes the data acquisition and the principal changes in data type and coverage over the period. It also describes the data assimilation system used for ERA-40. This benefited from many of the changes introduced into operational forecasting since the mid-1990s, when the systems used for the 15-year ECMWF re-analysis (ERA-15) and the National Centers for Environmental Prediction/National Center for Atmospheric Research (NCEP/NCAR) re-analysis were implemented. Several of the improvements are discussed. General aspects of the production of the analyses are also summarized. A number of results indicative of the overall performance of the data assimilation system, and implicitly of the observing system, are presented and discussed. The comparison of background (short-range) forecasts and analyses with observations, the consistency of the global mass budget, the magnitude of differences between analysis and background fields and the accuracy of medium-range forecasts run from the ERA-40 analyses are illustrated. Several results demonstrate the marked improvement that was made to the observing system for the southern hemisphere in the 1970s, particularly towards the end of the decade. In contrast, the synoptic quality of the analysis for the northern hemisphere is sufficient to provide forecasts that remain skilful well into the medium range for all years. Two particular problems are also examined: excessive precipitation over tropical oceans and a too strong Brewer-Dobson circulation, both of which are pronounced in later years. Several other aspects of the quality of the re-analyses revealed by monitoring and validation studies are summarized. Expectations that the second-generation ERA-40 re-analysis would provide products that are better than those from the firstgeneration ERA-15 and NCEP/NCAR re-analyses are found to have been met in most cases. © Royal Meteorological Society, 2005. The contributions of N. A. Rayner and R. W. Saunders are Crown copyright.

Assessment of the consistency of near-infrared water vapor line intensities using high-spectral-resolution ground-based Fourier transform measurements of solar radiation

Calculations of the absorption of solar radiation by atmospheric gases, and water vapor in particular, are dependent on the quality of databases of spectral line parameters. There has been increasing scrutiny of databases such as HITRAN in recent years, but this has mostly been performed on a band-by-band basis. We report nine high-spectral-resolution (0.03 cm(-1)) measurements of the solar radiation reaching the surface in southern England over the wave number range 2000 to 12,500 cm(-1) (0.8 to 5 mm) that allow a unique assessment of the consistency of the spectral line databases over this entire spectral region. The data are assessed in terms of the modeled water vapor column that is required to bring calculations and observations into agreement; for an entirely consistent database, this water vapor column should be constant with frequency. For the HITRAN01 database, the spread in water vapor column is about 11%, with distinct shifts between different spectral regions. The HITRAN04 database is in significantly better agreement (about 5% spread) in the completely updated 3000 to 8000 cm(-1) spectral region, but inconsistencies between individual spectral regions remain: for example, in the 8000 to 9500 cm(-1) spectral region, the results indicate an 18% (+/- 1%) underestimate in line intensities with respect to the 3000 to 8000 cm(-1) region. These measurements also indicate the impact of isotopic fractionation of water vapor in the 2500 to 2900 cm(-1) range, where HDO lines dominate over the lines of the most abundant isotope of H2O.

Model catalyst studies of the strong metal-support interaction: Surface structure identified by STM on Pd nanoparticles on TiO2(110)

Model catalysts of Pd nanoparticles and films on TiO2 (I 10) were fabricated by metal vapour deposition (MVD). Molecular beam measurements show that the particles are active for CO adsorption, with a global sticking probability of 0.25, but that they are deactivated by annealing above 600 K, an effect indicative of SMSI. The Pd nanoparticles are single crystals oriented with their (I 11) plane parallel to the surface plane of the titania. Analysis of the surface by atomic resolution STM shows that new structures have formed at the surface of the Pd nanoparticles and films after annealing above 800 K. There are only two structures, a zigzag arrangement and a much more complex "pinwheel" structure. The former has a unit cell containing 7 atoms, and the latter is a bigger unit cell containing 25 atoms. These new structures are due to an overlayer of titania that has appeared on the surface of the Pd nanoparticles after annealing, and it is proposed that the surface layer that causes the SMSI effect is a mixed alloy of Pd and Ti, with only two discrete ratios of atoms: Pd/Ti of 1: 1 (pinwheel) and 1:2 (zigzag). We propose that it is these structures that cause the SMSI effect. (c) 2005 Elsevier Inc. All rights reserved.