The blended approach to real estate allocations: performance implications of combining an exposure to German Spezialfonds with Global Listed Real Estate Securities

This paper seeks to increase the understanding of the performance implications for investors who choose to combine an unlisted real estate portfolio (in this case German Spezialfonds) with a (global) listed real estate element. We call this a “blended” approach to real estate allocations. For the avoidance of doubt, in this paper we are dealing purely with real estate equity (listed and unlisted) allocations, and do not incorporate real estate debt (listed or unlisted) or direct property into the process. A previous paper (Moss and Farrelly 2014) showed the benefits of the blended approach as it applied to UK Defined Contribution Pension Schemes. The catalyst for this paper has been the recent attention focused on German pension fund allocations, which have a relatively low (real estate) equity content, and a high bond content. We have used the MSCI Spezialfonds Index as a proxy for domestic German institutional real estate allocations, and the EPRA Global Developed Index as a proxy for a global listed real estate allocation. We also examine whether a rules based trading strategy, in this case Trend Following, can improve the risk adjusted returns above those of a simple buy and hold strategy for our sample period 2004-2015. Our findings are that by blending a 30% global listed portfolio with a 70% allocation (as opposed to a typical 100% weighting) to Spezialfonds, the real estate allocation returns increase from 2.88% p.a. to 5.42% pa. Volatility increases, but only to 6.53%., but there is a noticeable impact on maximum drawdown which increases to 19.4%. By using a Trend Following strategy raw returns are improved from 2.88% to 6.94% p.a. , The Sharpe Ratio increases from 1.05 to 1.49 and the Maximum Drawdown ratio is now only 1.83% compared to 19.4% using a buy and hold strategy . Finally, adding this (9%) real estate allocation to a mixed asset portfolio allocation typical for German pension funds there is an improvement in both the raw return (from 7.66% to 8.28%) and the Sharpe Ratio (from 0.91 to 0.98).

On the parameterization of turbulent surface fluxes over heterogeneous sea ice surfaces

Turbulent surface fluxes of momentum and sensible and latent heat as well as surface temperature, air temperature, air humidity, and wind speed were measured by the German Falcon research aircraft over the marginal ice zone (MIZ) of the northern Baltic Sea and the Fram Strait. Applying the bulk formulas and the stability functions to the measurements, the roughness lengths for momentum z0, sensible heat zT, and latent heat zq were calculated. As mean values over a wide range of sea ice conditions, we obtain z0 = 5 � 10�4 m, zT = 1 � 10�8 m, and zq = 1 � 10�7 m. These correspond to the following mean values (± standard deviations) of neutral transfer coefficients reduced to 10 m height, CDN10 = (1.9 ± 0.8) � 10�3, CHN10 = (0.9 ± 0.3) � 10�3, and CEN10 = (1.0 ± 0.2) � 10�3. An average ratio of z0/zT � 104 was observed over the range of 10�6 m < z0 < 10�2 m and differs from previously published results over compact sea ice (10�1 < z0/zT < 103). Other observational results over heterogeneous sea ice do not exist. However, our z0/zT ratio approximately agrees with observations over heterogeneous land surfaces. Flux parameterizations based on commonly used roughness lengths ratios (z0 = zT = zq) overestimate the surface heat fluxes compared to our measurements by more than 100%.

Neutrosophic information fusion applied to the options market

In this paper we basically make two propositions - firstly a non-linear process that is primarily fuelled by mass cognitive dissonance could generate systematic deviations between the theoretical and market prices of long-term options, and secondly such deviations are best reconciled in terms of neutrosophic rather than ruled-based reasoning, especially in the context of the users of automated trading systems designed to generate trading signals based on analysis of information  from conflicting sources.

Time-varying hedge ratios: an application to the Indian stock futures market

This paper investigates time-varying optimal hedge ratios in individual stock futures markets in India. The analysis employs data on individual stock futures from an unexplored but highly traded (both in terms of volume and quantity) emerging market. The hedge ratios derived in this study incorporate mean reversion in volatility, which is an important extension of the bivariate BEKK-GARCH model of Engle and Kroner. This extension generates improved optimal hedge ratios over the traditional BEKK-GARCH model and static error correction type alternatives.

Time varying hedge ratios : an application to the Indian stock futures market

This paper investigates time-varying optimal hedge ratios in individual stock futures markets in India. The analysis employs data on individual stock futures from an unexplored but highly traded (both in terms of volume and quantity) emerging market. The hedge ratios derived in this study incorporate mean reversion in volatility, which is an important extension of the bivariate BEKK-GARCH model of Engle and Kroner. This extension generates improved optimal hedge ratios over the traditional BEKK-GARCH model and static error correction type alternatives.

Real interest rates, inflation and the open economy : a regime-switching perspective on Australia and New Zealand

We investigate the time-series properties of Australian and New Zealand real interest rates within a Markov-switching framework. This enables us to identify characteristics in real interest rate behavior hitherto unacknowledged. We find that rates switch between alternative stationary regimes characterized by differing means, speeds of mean-reversion and volatility. For New Zealand, high rates of inflation increase the probability of remaining in a regime characterized by a faster speed of adjustment. Further application of this methodology considers the real interest rate differential between Australia and New Zealand and points to differing regimes based on volatility rather than persistence.

Predicting future earnings growth: a test of the dividend payout ratio in the Australian market

This paper examines the use of the payout ratio as a predictor of a firm’s future earnings growth. Recent evidence rejects the hypothesis that firm which retain a large portion of their earnings have strong future earnings growth. Higher dividend payout ratios instead correspond to higher future earnings growth. Examining both listed and delisted firms on the Australian stock exchange over the period 1989 to 2008, we provide further evidence that the dividend payout ratio is positively linked to future earnings growth. The results hold over both one, three and five year periods. Furthermore, our results rejected claims that such a relationship was caused by simple mean reversion in earnings. We find no evidence to support the cash flow signaling and free cash flow hypotheses as an explanation for this relationship.

Output convergence in Mercosur: multivariate time series evidence

The aim of this paper is to provide evidence on output convergence among the Mercosur countries and associates, using multivariate time-series tests. The methodology is based on a combination of tests and estimation procedures, both univariate and multivariate, applied to the differences in per capita real income. We use the definitions of time-series convergence proposed by Bernard & Durlauf and apply unit root and tests proposed by Abuaf & Jorion and Taylor & Sarno. In this same multivariate context, the Flôres, Preumont & Szafarz and Breuer, MbNown & Wallace tests, which allow for the existence of correlations across the series without imposing a common speed of mean reversion, identify the countries that convergence. Concerning the empirical results, there is evidence of long-run convergence or, at least, catching up, for the smaller countries, Bolivia, Paraguay, Peru and Uruguay, towards Brazil and, to some extent, Argentina. In contrast, the evidence on convergence for the larger countries is weaker, as they have followed different (or rather opposing) macroeconomic policy strategies. Thus the future of the whole area will critically depend on the ability of Brazil, Argentina and Chile to find some scope for more cooperative policy actions.

A new perspective on the PPP hypothesis

This paper the stastistical properties of the real exchange rates of G-5 countries for the Bretton-Woods peiod, and draw implications on the purchasing power parity (PPP) hypothesis. In contrast to most previous studies that consider only unit root and stationary process to describe the real exchange tae, this paper also considers two in-between processes, the locally persistent process ans the fractionally integrated process, to complement past studies. Seeking to be consistent with tha ample evidence of near unit in the real exchange rate movements very well. This finding implies that: 1) the real exchange movement is more persistent than the stationary case but less persistent than the unit root case; 2) the real exchange rate is non-stationary but the PPP reversion occurs and the PPP holds in the long run; 3) the real exchange rate does not exhibit the secular dependence of the fractional integration; 4) the real exchange rate evolves over time in a way that there is persistence over a range of time, but the effect of shocks will eventually disappear over time horizon longer than order O (nd), that is, at finite time horizon; 5) shocks dissipation is fasters than predicted by the fractional integracion, and the total sum of the effects of a unit innovation is finite, implying that a full PPP reversion occurs at finite horizons. These results may explain why pasrt empirical estudies could not provide a clear- conclusion on the real exchange rate processes and the PPP hypothesis.

Aplicando estratégias simultâneas de momento e valor no mercado brasileiro

A teoria de Finanças Comportamentais surge como uma nova abordagem ao mercado financeiro, argumentando que alguns eventos podem ser mais bem explicados se as restrições da racionalidade do investidor são relaxadas. Conceitos de psicologia e limites à arbitragem são usados para modelar as ineficiências, criando a idéia de ser possível ganhar sistematicamente do mercado. Este trabalho propõe um novo modelo, simplista na sua implementação, para aproveitar os retornos anormais advindos de estratégias de momentum e reversão à média simultaneamente. A idéia de um efeito momentum de longo prazo mais forte que o de curto prazo é introduzida, mas os resultados empíricos mostram que a dinâmica do mercado brasileiro rejeita este conceito. O modelo falha em conseguir retornos positivos e livres de risco.

Gestão estratégica de riscos de um ativo de produção de petróleo: uma abordagem quantitativa

O objetivo dessa dissertação é estabelecer um modelo quantitativo de gestão de riscos estratégicos de um ativo de produção de petróleo, notadamente o valor em risco do seu fluxo de caixa e de sua rentabilidade. Para tanto, foi utilizado um modelo de fluxo de caixa onde a receita operacional foi definida como variável estocástica. A receita operacional foi estimada a partir de uma função de perdas que descreve o volume de produção de petróleo, e de uma trajetória de preços definida por um modelo geométrico browniano sem reversão a média e com volatilidade descrita por um processo GARCH. Os resultados obtidos demonstram que o modelo proposto é capaz de fornecer informações importantes para a gestão de riscos de ativos de produção de petróleo ao passo que permite a quantificação de diferentes fatores de risco que afetam a rentabilidade das operações. Por fim, o modelo aqui proposto pode ser estendido para a avaliação do risco financeiro e operacional de um conjunto de ativos de petróleo, considerando sua estrutura de dependência e a existência de restrições de recursos financeiros, físicos e humanos.

Uma nova estratégia de negociação em pares

Uma das principais vantagens das estratégias de negociação em pares está relacionada à baixa correlação com os retornos do mercado. Ao tomar posições compradas e vendidas, estas estratégias são capazes de controlar a magnitude do beta de mercado, mantendo-se praticamente zero ou estatísticamente não significativas. A idéia consiste na realização de arbitragem estatística, aproveitando os desvios de preços de equilíbrio de longo prazo. Como tal, elas envolvem modelos de correção de equilíbrio para os pares de retornos dos ativos. Nós mostramos como construir uma estratégia de negociação de pares que é beneficiada não só pela relação de equilíbrio de longo prazo entre os pares de preços dos ativos da carteira, mas também pela velocidade com que os preços ajustam os desvios para o equilíbrio. Até então, a grande maioria das estratégias envolvendo negociação em pares se baseavam na hipótese de que a obtenção de retornos positivos estaria relacionada à reversão à média caracterizada pela relação de cointegração dos pares, mas ignorava a possibilidade de seleção dos pares testando a velocidade de ajustamento do Vetor de Correção de Erros desta relação. Os resutados deste trabalho indicaram baixos níveis de correlação com o mercado, neutralidade das estratégias, associados a retornos financeiros líquidos e Índice de Sharpe anualizados de 15,05% e 1,96 respectivamente.

Reproductive indices in natural nests of giant Amazon river turtles Podocnemis expansa (Schweigger, 1812) (Testudines, Podocnemididae) in the Environmental Protection Area Meanders of the Araguaia river

Realizou-se a contagem dos ovos não eclodidos, dos filhotes vivos e mortos de Podocnemis expansa oriundos de 327 ninhos naturais, localizados nas praias da Área de Proteção Ambiental (APA) - Meandros do Rio Araguaia, onde se determinou a porcentagem de eclosão dos ovos (94,63%); não eclosão (5,37%); sobrevivência (94,24%) e mortalidade dos filhotes (5,76%), e a média de filhotes mortos durante os 15 dias no berçário (0,97%). A média do total de filhotes por ninho foi determinada pela soma do número de filhotes vivos e mortos divididos pelo total de ninhos, enquanto que a média do total de ovos por ninho foi determinada pela soma do número de filhotes vivos, mortos e ovos não eclodidos divididos pelo total de ninhos. Com isso, obtiveram-se os valores médios do número de filhotes vivos (88,98 ± 23,94); mortos (0,37 ± 0,93); ovos não eclodidos (5,07 ± 9,57), e total de ovos (94,42 ± 21,30). A eficiência reprodutiva da população selvagem de P. expansa pode ser afetada por muitos fatores ambientais, como temperatura, umidade e precipitação. Além disso, fatores influenciados pelo homem, como a presença de produtos químicos na água e a possibilidade de doenças infecciosas, também têm impacto significativo. Os dados dos índices reprodutivos obtidos neste estudo são indispensáveis para futuras investigações de anomalias de incubação.

De que adoecem e morrem as mulheres em São Paulo

O estudo traça um perfil da morbi-mortalidade feminina no Estado de São Paulo, com enfoque nos problemas reprodutivos. A mortalidade foi estudada nos períodos 1979-81; 1986-88 e 1993-5, a partir do Sistema de Informação em Mortalidade (SIM/DATASUS) e a morbidade de 1996 foi obtida do Sistema de Informações Hospitalares (SIH/DATASUS). O artigo discute as principais causas de internação e morte das mulheres e aponta os desafios para as políticas públicas voltadas a saúde da mulher.

Shear bond strengths of a ceramic system to alternative metal alloys

Statement of problem. The success of metal-ceramic restorations is influenced by the compatibility between base metal alloys and porcelains. Although porcelain manufacturers recommend their own metal systems as the most compatible for fabricating metal-ceramic prostheses, a number of alloys have been used.Purpose. This study evaluated the shear bond strength between a porcelain system and 4 alternative alloys.Material and methods. Two Ni-Cr alloys: 4 ALL and Wiron 99, and 2 Co-Cr alloys: IPS d.SIGN 20 and Argeloy NP were selected for this study. The porcelain (IPS d.Sign porcelain system) portion of the cylindrical inetal-ceramic specimens was 4 mm thick and 4 mm high; the metal portion was machined to 4 x 4 mm, with a base that was 5 nun thick and 1 mm high. Forty-four specimens were prepared (n=11). Ten specimens from each group were subjected to a shear load oil a universal testing machine using a 1 min/min crosshead speed. One specimen from each group was observed with a scanning electron microscope. Stress at failure (MPa) was determined. The data were analyzed with a 1-way analysis of variance (alpha=.05).Results. The groups, all including IPS d.Sign porcelain, presented the following mean bond strengths (+/-SD) in MPa: 4 ALL, 54.0 +/- 20.0; Wiron, 63.0 +/- 13.5; IPS d.SIGN 20, 71.7 +/- 19.2; Argeloy NP, 55.2 +/- 13.5. No significant differences were found among the shear bond strength values for the metal-ceramic specimens tested.Conclusion. None of the base metal alloys studied demonstrated superior bond strength to the porcelain tested.