The persistence of real estate fund performance

This paper examines the short and long-term persistence of tax-exempt real estate funds in the UK through the use of winner-loser contingency table methodology. The persistence tests are applied to a database of varying numbers of funds from a low of 16 to a high of 27 using quarterly returns over the 12 years from 1990 Q1 to 2001 Q4. The overall conclusion is that the real estate funds in the UK show little evidence of persistence in the short-term (quarterly and semi-annual data) or for data over a considerable length of time (bi-annual to six yearly intervals). In contrast, the results are better for annual data with evidence of significant performance persistence. Thus at this stage, it seems that an annual evaluation period, provides the best discrimination of the winner and loser phenomenon in the real estate market. This result is different from equity and bond studies, where it seems that the repeat winner phenomenon is stronger over shorter periods of evaluation. These results require careful interpretation, however, as the results show that when only small samples are used significant adjustments must be made to correct for small sample bias and second the conclusions are sensitive to the length of the evaluation period and specific test used. Nonetheless, it seems that persistence in performance of real estate funds in the UK does exist, at least for the annual data, and it appears to be a guide to beating the pack in the long run. Furthermore, although the evidence of persistence in performance for the overall sample of funds is limited, we have found evidence that two funds were consistent winners over this period, whereas no one fund could be said to be a consistent loser.

The case for REITs in the mixed-asset portfolio in the short and long run

The poor performance of the Stock Market in the US up to the middle of 2003 has meant that REITs are increasingly been seen as an attractive addition to the mixed-asset portfolio. However, there is little evidence to indicate the consistency of the role REITs should play a role in the mixed-asset portfolio over different investment horizons. The results highlight that REITs do play a significant role over both different time horizons and holding periods. The findings show that REITs attractiveness as a diversification asset increase as the holding period increases. In addition, their diversification qualities span the entire efficient frontier, providing return enhancement properties at the lower end, switching to risk reduction qualities at the top end of the frontier.

Effects of utterance length on lip kinematics in aphasia

Most existing models of language production and speech motor control do not explicitly address how language requirements affect speech motor functions, as these domains are usually treated as separate and independent from one another. This investigation compared lip movements during bilabial closure between five individuals with mild aphasia and five age and gender-matched control speakers when the linguistic characteristics of the stimuli were varied by increasing the number of syllables. Upper and lower lip movement data were collected for mono-, bi- and tri-syllabic nonword sequences using an AG 100 EMMA system. Each task was performed under both normal and fast rate conditions. Single articulator kinematic parameters (peak velocity, amplitude, duration,and cyclic spatio-temporal index) were measured to characterize lip movements. Results revealed that compared to control speakers, individuals with aphasia showed significantly longer movement duration and lower movement stability for longer items (bi- and tri-syllables). Moreover, utterance length affected the lip kinematics, in that the monosyllables had smaller peak velocities, smaller amplitudes and shorter durations compared to bi- and trisyllables, and movement stability was lowest for the trisyllables. In addition, the rate-induced changes (smaller amplitude and shorter duration with increased rate) were most prominent for the short items (i.e., monosyllables). These findings provide further support for the notion that linguistic changes have an impact on the characteristics of speech movements, and that individuals with aphasia are more affected by such changes than control speakers.

The effect of the spacer length on the nature of coupling in side chain liquid crystals polymers and elastomers

Side chain liquid crystal polymers and elastomers exhibit a rich phase behaviour which arises from the antagonistic influences of the entropically disordered polymer chain configuration and the long range orientational ordering of the mesogenic units. This competition arises since the natural macroscopic phase separation is inhibited by the inherent chemical connectivity of the system. At the heart of this connectivity is the spacer link and we consider here its influence on the phase behaviour. In particular we consider a series of elastomers in which the number of alkyl units in the spacer is systematically varied from 2 to 6. The lengthening of the coupling spacer is accompanied by an alternation of the sign of coupling between the polymer chain and the mesogenic unit. These results demonstrate the dominating influence of the so-called hinge effect in determining the phase behaviour. In addition to the alternation of the sign there is some decrease in the magnitude of the coupling with increasing spacer length.

Side-chain liquid crystalline elastomers: the relationship between the orientational ordering of the polymer backbone and the length of the coupling chain

The influence of cross-linking on the phase behaviour of a series of side-chain liquid crystalline elastomers has been studied. For samples cross-linked in the temperature range corresponding to the nematic phase, the phase transition was shifted compared to that observed when an identical sample was cross-linked in the isotropic phase. This shift represented a stabilisation of the nematic phase in the former case, in line with theoretical expectations. By utilising a novel, slow cross-linking method, which allows the polymer backbone to take up an equilibrium conformation prior to network formation, it proved possible to monitor the shifts in phase transition temperature as a function of the length of the methylene chain coupling the mesogenic units to the polymer backbone. The results obtained are related to the backbone anisotropy and indicate that the level of orientational order of the polymer in the nematic phase backbone increases with a reduction in the length of the coupling chain.

Does regional infrastructure investment stimulate extra housing and commercial building supply? Long-run evidence across the English regions

This paper uses long-term regional construction data to investigate whether increases infrastructure investment in the English regions leads to subsequent rises in housebuilding and new commercial property, using time series modeling. Both physical (roads and harbours) and social infrastructure (education and health) impacts are investigated across nine regions in England. Significant effects for physical infrastructure are found across most regions and, also, some evidence of a social infrastructure effect. The results are not consistent across regions, which may be due to geographical differences and to network and diversionary effects. However, the results do suggest that infrastructure does have some impact but follows differential lag structures. These results provide a test of the hypothesis of the economic benefits of infrastructure investment in an approach that has not been used before.

Long run relationships between City office rents and the economy in the UK: creating a database for research

This paper sets out progress during the first eighteen months of doctoral research into the City of London office market. The overall aim of the research is to explore relationships between office rents and the economy in the UK over the last 150 years. To do this, a database of lettings has been created from which a long run index of City office rents can be constructed. With this index, it should then be possible to analyse trends in rents and relationships with their long run determinants. The focus of this paper is on the creation of the rent database. First, it considers the existing secondary sources of long run rental data for the UK. This highlights a lack of information for years prior to 1970 and the need for primary data collection if earlier periods are to be studied. The paper then discusses the selection of the City of London and of the time period chosen for research. After this, it describes how a dataset covering the period 1860-1960 has been assembled using the records of property companies active in the City office market. It is hoped that, if successful, this research will contribute to existing knowledge on the long run characteristics of commercial real estate. In particular, it should add a price dimension (rents) to the existing long run information on stock/supply and investment. Hence, it should enable a more complete picture of the development and performance of commercial real estate through time to be gained.

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.

Enhancing the catalytic repertoire of nucleic acids: a systematic study of linker length and rigidity

The incorporation of potentially catalytic groups in DNA is of interest for the in vitro selection of novel deoxyribozymes, A series of 10 C5-modified analogues of 2'-deoxyuridine triphosphate have been synthesised that possess side chains of differing flexibility and bearing a primary amino or imidazole functionality, For each series of nucleotide analogues differing degrees of flexibility of the C5 side chain was achieved through the use of alkynyl, alkenyl and alkyl moieties, The imidazole function was conjugated to these CS-amino-modified nucleotides using either imidazole 4-acetic acid or imidazole 4-acrylic acid (urocanic acid), The substrate properties of the nucleotides (fully replacing dTTP) with Taq polymerase during PCR have been investigated in order to evaluate their potential applications for in vitro selection experiments, 5-(3-Aminopropynyl)dUTP and 5-(E-3-aminopropenyl)dUTP and their imidazole 4-acetic acid- and urocanic acid-modified conjugates were found to be substrates, In contrast, C5-amino-modified dUTPs with alkane or Z-alkene linkers and their corresponding conjugates were not substrates, The incorporation of these analogues during PCR has been confirmed by inhibition of restriction enzyme digestion using XbaI and by mass spectrometry of the PCR products.

Integration of a 3D Variational data assimilation scheme with a coastal area morphodynamic model of Morecambe Bay

This paper describes the implementation of a 3D variational (3D-Var) data assimilation scheme for a morphodynamic model applied to Morecambe Bay, UK. A simple decoupled hydrodynamic and sediment transport model is combined with a data assimilation scheme to investigate the ability of such methods to improve the accuracy of the predicted bathymetry. The inverse forecast error covariance matrix is modelled using a Laplacian approximation which is calibrated for the length scale parameter required. Calibration is also performed for the Soulsby-van Rijn sediment transport equations. The data used for assimilation purposes comprises waterlines derived from SAR imagery covering the entire period of the model run, and swath bathymetry data collected by a ship-borne survey for one date towards the end of the model run. A LiDAR survey of the entire bay carried out in November 2005 is used for validation purposes. The comparison of the predictive ability of the model alone with the model-forecast-assimilation system demonstrates that using data assimilation significantly improves the forecast skill. An investigation of the assimilation of the swath bathymetry as well as the waterlines demonstrates that the overall improvement is initially large, but decreases over time as the bathymetry evolves away from that observed by the survey. The result of combining the calibration runs into a pseudo-ensemble provides a higher skill score than for a single optimized model run. A brief comparison of the Optimal Interpolation assimilation method with the 3D-Var method shows that the two schemes give similar results.