Style analysis in real estate markets: beyond the sectors and regions dichotomy

While style analysis has been studied extensively in equity markets, applications of this valuable tool for measuring and benchmarking performance and risk in a real estate context are still relatively new. Most previous real estate studies on this topic have identified three investment categories (rather than styles): sectors, administrative regions and economic regions. However, the low explanatory power reveals the need to extend this analysis to other investment styles. We identify four main real estate investment styles and apply a multivariate model to randomly generated portfolios to test the significance of each style in explaining portfolio returns. Results show that significant alpha performance is significantly reduced when we account for the new investment styles, with small vs. big properties being the dominant one. Secondly, we find that the probability of obtaining alpha performance is dependent upon the actual exposure of funds to style factors. Finally we obtain that both alpha and systematic risk levels are linked to the actual characteristics of portfolios. Our overall results suggest that it would be beneficial for real estate fund managers to use these style factors to set benchmarks and to analyze portfolio returns.

Response theory for equilibrium and non-equilibrium statistical mechanics: causality and generalized Kramers-Kronig relations

We consider the general response theory recently proposed by Ruelle for describing the impact of small perturbations to the non-equilibrium steady states resulting from Axiom A dynamical systems. We show that the causality of the response functions entails the possibility of writing a set of Kramers-Kronig (K-K) relations for the corresponding susceptibilities at all orders of nonlinearity. Nonetheless, only a special class of directly observable susceptibilities obey K-K relations. Specific results are provided for the case of arbitrary order harmonic response, which allows for a very comprehensive K-K analysis and the establishment of sum rules connecting the asymptotic behavior of the harmonic generation susceptibility to the short-time response of the perturbed system. These results set in a more general theoretical framework previous findings obtained for optical systems and simple mechanical models, and shed light on the very general impact of considering the principle of causality for testing self-consistency: the described dispersion relations constitute unavoidable benchmarks that any experimental and model generated dataset must obey. The theory exposed in the present paper is dual to the time-dependent theory of perturbations to equilibrium states and to non-equilibrium steady states, and has in principle similar range of applicability and limitations. In order to connect the equilibrium and the non equilibrium steady state case, we show how to rewrite the classical response theory by Kubo so that response functions formally identical to those proposed by Ruelle, apart from the measure involved in the phase space integration, are obtained. These results, taking into account the chaotic hypothesis by Gallavotti and Cohen, might be relevant in several fields, including climate research. In particular, whereas the fluctuation-dissipation theorem does not work for non-equilibrium systems, because of the non-equivalence between internal and external fluctuations, K-K relations might be robust tools for the definition of a self-consistent theory of climate change.

What are the baselines for protein fold recognition?

What constitutes a baseline level of success for protein fold recognition methods? As fold recognition benchmarks are often presented without any thought to the results that might be expected from a purely random set of predictions, an analysis of fold recognition baselines is long overdue. Given varying amounts of basic information about a protein—ranging from the length of the sequence to a knowledge of its secondary structure—to what extent can the fold be determined by intelligent guesswork? Can simple methods that make use of secondary structure information assign folds more accurately than purely random methods and could these methods be used to construct viable hierarchical classifications?

Analytic Benchmark Solutions for Open-Channel Flows

An important test of the quality of a computational model is its ability to reproduce standard test cases or benchmarks. For steady open–channel flow based on the Saint Venant equations some benchmarks exist for simple geometries from the work of Bresse, Bakhmeteff and Chow but these are tabulated in the form of standard integrals. This paper provides benchmark solutions for a wider range of cases, which may have a nonprismatic cross section, nonuniform bed slope, and transitions between subcritical and supercritical flow. This makes it possible to assess the underlying quality of computational algorithms in more difficult cases, including those with hydraulic jumps. Several new test cases are given in detail and the performance of a commercial steady flow package is evaluated against two of them. The test cases may also be used as benchmarks for both steady flow models and unsteady flow models in the steady limit.

To what extent are EU steel companies susceptible to competitive loss due to climate policy?

In recognition of their competitive vulnerability, a set of special rules have been devised for managing sectors such as steel and cement within the EU ETS. These rules basically seek to set sector specific performance benchmarks and reward top performers. However, the steel sector as a whole will receive the vast majority of its allowances for free in Phase III. Perceptions of competitive vulnerability have been largely based on inherently hypothetical analyses which rely heavily on counterfactual scenario and abatement cost estimates often provided by firms themselves. This paper diverges from these approaches by providing a qualitative assessment of the two key reasons underpinning the competitive vulnerability argument of the EU Steel Companies based on interviews and case study involving the three largest producers of steel within the EU – AcerlorMittal, Corus, and ThyssenKrupp. We find that these arguments provide only partial and weak justifications for competitive loss and discriminatory treatment in the EUETS. This strategy is difficult to counter by governments due to information asymmetry; and it appears to have proved very successful insofar as it has helped the industry to achieve free allocation in Phases I-III of EU ETS by playing up the risk of carbon leakage.

Integrating Sustainability into Brownfield Regeneration: Rhetoric or Reality? – An Analysis of the UK Development Industry

In the UK and elsewhere the use of the term ‘sustainable brownfield regeneration’ has resulted from the interweaving of two key policy themes, comprising ‘sustainable development’ and ‘brownfield regeneration’. This paper provides a critical overview of brownfield policy within the context of the emerging sustainable development agenda in the UK, and examines the development industry's role and attitudes towards key aspects of sustainable development and brownfield regeneration. The paper analyses results from a survey of commercial and residential developers carried out in mid‐2004, underpinned by structured interviews with eleven developers in 2004–2005, which form part of a two‐and‐half‐year EPSRC‐funded project. The results suggest that despite the increasing focus on sustainability in government policy, the development industry seems ill at ease with precisely how sustainable development can be implemented in brownfield schemes. These and other findings, relating to sustainability issues (including the impact of climate change on future brownfield development), have important ramifications for brownfield regeneration policy in the UK. In particular, the research highlights the need for better metrics and benchmarks to be developed to measure ‘sustainable brownfield regeneration’. There also needs to be greater awareness and understanding of alternative clean‐up technologies to ‘dig and dump’.

Benchmarking energy use in licensed restaurants and pubs

Commercial kitchens often leave a large carbon footprint. A new dataset of energy performance metrics from a leading industrial partner is presented. Categorising these types of buildings is challenging. Electricity use has been analysed using data from automated meter readings (AMR) for the purpose of benchmarking and discussed in terms of factors such as size and food output. From the analysed results, consumption is found to be almost double previous sector estimates of 6480 million kWh per year. Recommendations are made to further improve the current benchmarks in order to attain robust, reliable and transparent figures, such as the introduction of normalised performance indicators to include kitchen size (m2) and kWh per thousand-pound turnover.

Characterising the energy performance of centralised HVAC&R systems in the UK

Heating, ventilation, air conditioning and refrigeration (HVAC&R) systems account for more than 60% of the energy consumption of buildings in the UK. However, the effect of the variety of HVAC&R systems on building energy performance has not yet been taken into account within the existing building energy benchmarks. In addition, the existing building energy benchmarks are not able to assist decision-makers with HVAC&R system selection. This study attempts to overcome these two deficiencies through the performance characterisation of 36 HVAC&R systems based on the simultaneous dynamic simulation of a building and a variety of HVAC&R systems using TRNSYS software. To characterise the performance of HVAC&R systems, four criteria are considered; energy consumption, CO2 emissions, thermal comfort and indoor air quality. The results of the simulations show that, all the studied systems are able to provide an acceptable level of indoor air quality and thermal comfort. However, the energy consumption and amount of CO2 emissions vary. One of the significant outcomes of this study reveals that combined heating, cooling and power systems (CCHP) have the highest energy consumption with the lowest energy related CO2 emissions among the studied HVAC&R systems.

A comprehensive benchmarking system for evaluating global vegetation models.

We present a benchmark system for global vegetation models. This system provides a quantitative evaluation of multiple simulated vegetation properties, including primary production; seasonal net ecosystem production; vegetation cover, composition and 5 height; fire regime; and runoff. The benchmarks are derived from remotely sensed gridded datasets and site-based observations. The datasets allow comparisons of annual average conditions and seasonal and inter-annual variability, and they allow the impact of spatial and temporal biases in means and variability to be assessed separately. Specifically designed metrics quantify model performance for each process, 10 and are compared to scores based on the temporal or spatial mean value of the observations and a “random” model produced by bootstrap resampling of the observations. The benchmark system is applied to three models: a simple light-use efficiency and water-balance model (the Simple Diagnostic Biosphere Model: SDBM), and the Lund-Potsdam-Jena (LPJ) and Land Processes and eXchanges (LPX) dynamic global 15 vegetation models (DGVMs). SDBM reproduces observed CO2 seasonal cycles, but its simulation of independent measurements of net primary production (NPP) is too high. The two DGVMs show little difference for most benchmarks (including the interannual variability in the growth rate and seasonal cycle of atmospheric CO2), but LPX represents burnt fraction demonstrably more accurately. Benchmarking also identified 20 several weaknesses common to both DGVMs. The benchmarking system provides a quantitative approach for evaluating how adequately processes are represented in a model, identifying errors and biases, tracking improvements in performance through model development, and discriminating among models. Adoption of such a system would do much to improve confidence in terrestrial model predictions of climate change 25 impacts and feedbacks.

Using paleo-climate comparisons to constrain future projections in CMIP5

We present a description of the theoretical framework and "best practice" for using the paleo-climate model component of the Coupled Model Intercomparison Project (Phase 5) (CMIP5) to constrain future projections of climate using the same models. The constraints arise from measures of skill in hindcasting paleo-climate changes from the present over 3 periods: the Last Glacial Maximum (LGM) (21 thousand years before present, ka), the mid-Holocene (MH) (6 ka) and the Last Millennium (LM) (850–1850 CE). The skill measures may be used to validate robust patterns of climate change across scenarios or to distinguish between models that have differing outcomes in future scenarios. We find that the multi-model ensemble of paleo-simulations is adequate for addressing at least some of these issues. For example, selected benchmarks for the LGM and MH are correlated to the rank of future projections of precipitation/temperature or sea ice extent to indicate that models that produce the best agreement with paleoclimate information give demonstrably different future results than the rest of the models. We also find that some comparisons, for instance associated with model variability, are strongly dependent on uncertain forcing timeseries, or show time dependent behaviour, making direct inferences for the future problematic. Overall, we demonstrate that there is a strong potential for the paleo-climate simulations to help inform the future projections and urge all the modeling groups to complete this subset of the CMIP5 runs.

A dwelling-level investigation into the physical and socio-economic drivers of domestic energy consumption in England

The UK Government's Department for Energy and Climate Change has been investigating the feasibility of developing a national energy efficiency data framework covering both domestic and non-domestic buildings. Working closely with the Energy Saving Trust and energy suppliers, the aim is to develop a data framework to monitor changes in energy efficiency, develop and evaluate programmes and improve information available to consumers. Key applications of the framework are to understand trends in built stock energy use, identify drivers and evaluate the success of different policies. For energy suppliers, it could identify what energy uses are growing, in which sectors and why. This would help with market segmentation and the design of products. For building professionals, it could supplement energy audits and modelling of end-use consumption with real data and support the generation of accurate and comprehensive benchmarks. This paper critically examines the results of the first phase of work to construct a national energy efficiency data-framework for the domestic sector focusing on two specific issues: (a) drivers of domestic energy consumption in terms of the physical nature of the dwellings and socio-economic characteristics of occupants and (b) the impact of energy efficiency measures on energy consumption.

Modelling fire and the terrestrial carbon balance

Four CO2 concentration inversions and the Global Fire Emissions Database (GFED) versions 2.1 and 3 are used to provide benchmarks for climate-driven modeling of the global land-atmosphere CO2 flux and the contribution of wildfire to this flux. The Land surface Processes and exchanges (LPX) model is introduced. LPX is based on the Lund-Potsdam-Jena Spread and Intensity of FIRE (LPJ-SPITFIRE) model with amended fire probability calculations. LPX omits human ignition sources yet simulates many aspects of global fire adequately. It captures the major features of observed geographic pattern in burnt area and its seasonal timing and the unimodal relationship of burnt area to precipitation. It simulates features of geographic variation in the sign of the interannual correlations of burnt area with antecedent dryness and precipitation. It simulates well the interannual variability of the global total land-atmosphere CO2 flux. There are differences among the global burnt area time series from GFED2.1, GFED3 and LPX, but some features are common to all. GFED3 fire CO2 fluxes account for only about 1/3 of the variation in total CO2 flux during 1997–2005. This relationship appears to be dominated by the strong climatic dependence of deforestation fires. The relationship of LPX-modeled fire CO2 fluxes to total CO2 fluxes is weak. Observed and modeled total CO2 fluxes track the El Niño–Southern Oscillation (ENSO) closely; GFED3 burnt area and global fire CO2 flux track the ENSO much less so. The GFED3 fire CO2 flux-ENSO connection is most prominent for the El Niño of 1997–1998, which produced exceptional burning conditions in several regions, especially equatorial Asia. The sign of the observed relationship between ENSO and fire varies regionally, and LPX captures the broad features of this variation. These complexities underscore the need for process-based modeling to assess the consequences of global change for fire and its implications for the carbon cycle.

A benchmark-driven modelling approach for evaluating deployment choices on a multicore architecture

The complexity of current and emerging high performance architectures provides users with options about how best to use the available resources, but makes predicting performance challenging. In this work a benchmark-driven performance modelling approach is outlined that is appro- priate for modern multicore architectures. The approach is demonstrated by constructing a model of a simple shallow water code on a Cray XE6 system, from application-specific benchmarks that illustrate precisely how architectural char- acteristics impact performance. The model is found to recre- ate observed scaling behaviour up to 16K cores, and used to predict optimal rank-core affinity strategies, exemplifying the type of problem such a model can be used for.

Islamic mutual funds' financial performance and international investment style: evidence from 20 countries

We pursue the first large-scale investigation of a strongly growing mutual fund type: Islamic funds. Based on an unexplored, survivorship bias-adjusted data set, we analyse the financial performance and investment style of 265 Islamic equity funds from 20 countries. As Islamic funds often have diverse investment regions, we develop a (conditional) three-level Carhart model to simultaneously control for exposure to different national, regional and global equity markets and investment styles. Consistent with recent evidence for conventional funds, we find Islamic funds to display superior learning in more developed Islamic financial markets. While Islamic funds from these markets are competitive to international equity benchmarks, funds from especially Western nations with less Islamic assets tend to significantly underperform. Islamic funds’ investment style is somewhat tilted towards growth stocks. Funds from predominantly Muslim economies also show a clear small cap preference. These results are consistent over time and robust to time varying market exposures and capital market restrictions.

A comprehensive benchmarking system for evaluating global vegetation models

We present a benchmark system for global vegetation models. This system provides a quantitative evaluation of multiple simulated vegetation properties, including primary production; seasonal net ecosystem production; vegetation cover; composition and height; fire regime; and runoff. The benchmarks are derived from remotely sensed gridded datasets and site-based observations. The datasets allow comparisons of annual average conditions and seasonal and inter-annual variability, and they allow the impact of spatial and temporal biases in means and variability to be assessed separately. Specifically designed metrics quantify model performance for each process, and are compared to scores based on the temporal or spatial mean value of the observations and a "random" model produced by bootstrap resampling of the observations. The benchmark system is applied to three models: a simple light-use efficiency and water-balance model (the Simple Diagnostic Biosphere Model: SDBM), the Lund-Potsdam-Jena (LPJ) and Land Processes and eXchanges (LPX) dynamic global vegetation models (DGVMs). In general, the SDBM performs better than either of the DGVMs. It reproduces independent measurements of net primary production (NPP) but underestimates the amplitude of the observed CO2 seasonal cycle. The two DGVMs show little difference for most benchmarks (including the inter-annual variability in the growth rate and seasonal cycle of atmospheric CO2), but LPX represents burnt fraction demonstrably more accurately. Benchmarking also identified several weaknesses common to both DGVMs. The benchmarking system provides a quantitative approach for evaluating how adequately processes are represented in a model, identifying errors and biases, tracking improvements in performance through model development, and discriminating among models. Adoption of such a system would do much to improve confidence in terrestrial model predictions of climate change impacts and feedbacks.