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.

Serial persistence in individual real estate returns in the UK

Persistence of property returns is a topic of perennial interest to fund managers as it suggests that choosing those properties that will perform well in the future is as simple as looking at those that performed well in the past. Consequently, much effort has been expended to determine if such a rule exists in the real estate market. This paper extends earlier studies in US, Australian, and UK markets in two ways. First, this study applies the same methodology originally used in Young and Graff (1996) making the results directly comparable with those in the US and Australian property markets. Second, this study uses a much longer and larger database covering all commercial property data available from the Investment Property Databank (IPD), for the years 1981 to 2002 for as many as 216,758 individual property returns. While the performance results of this study mimic the US and Australian results of greater persistence in the extreme first and fourth quartiles, they also evidence persistence in the moderate second and third quartiles, a notable departure from previous studies. Likewise patterns across property type, location, time, and holding period are remarkably similar leading to the conjecture that behaviors in the practice of commercial real estate investment management are themselves deeply rooted and persistent and perhaps influenced for good or ill by agency effects

The role of closed ecological systems in carbon cycle modelling

Acquiring a mechanistic understanding of the role of the biotic feedbacks on the links between atmospheric CO2 concentrations and temperature is essential for trustworthy climate predictions. Currently, computer based simulations are the only available tool to estimate the global impact of the biotic feedbacks on future atmospheric CO2 and temperatures. Here we propose an alternative and complementary approaches by using materially closed and energetically open analogue/physical models of the carbon cycle. We argue that there is potential in using a materially closed approach to improve our understanding of the magnitude and sign of many biotic feedbacks, and that recent technological advance make this feasible. We also suggest how such systems could be designed and discuss the advantages and limitations of establishing physical models of the global carbon cycle.

Persistence of volatility in futures markets

This article examines the characteristics of key measures of volatility for different types of futures contracts to provide a better foundation for modeling volatility behavior and derivative values. Particular attention is focused on analyzing how different measures of volatility affect volatility persistence relationships. Intraday realized measures of volatility are found to be more persistent than daily measures, the type of GARCH procedure used for conditional volatility analysis is critical, and realized volatility persistence is not coherent with conditional volatility persistence. Specifically, although there is a good fit between the realized and conditional volatilities, no coherence exists between their degrees of persistence, a counterintuitive finding that shows realized and conditional volatility measures are not a substitute for one another

The persistence of solar activity indicators and the descent of the sun into Maunder Minimum conditions

The recent low and prolonged minimum of the solar cycle, along with the slow growth in activity of the new cycle, has led to suggestions that the Sun is entering a Grand Solar Minimum (GSMi), potentially as deep as the Maunder Minimum (MM). This raises questions about the persistence and predictability of solar activity. We study the autocorrelation functions and predictability R^2_L(t) of solar indices, particularly group sunspot number R_G and heliospheric modulation potential phi for which we have data during the descent into the MM. For R_G and phi, R^2_L (t) > 0.5 for times into the future of t = 4 and 3 solar cycles, respectively: sufficient to allow prediction of a GSMi onset. The lower predictability of sunspot number R_Z is discussed. The current declines in peak and mean R_G are the largest since the onset of the MM and exceed those around 1800 which failed to initiate a GSMi.

Adding value to ecological risk assessment with population modeling

Current measures used to estimate the risks of toxic chemicals are not relevant to the goals of the environmental protection process, and thus ecological risk assessment (ERA) is not used as extensively as it should be as a basis for cost-effective management of environmental resources. Appropriate population models can provide a powerful basis for expressing ecological risks that better inform the environmental management process and thus that are more likely to be used by managers. Here we provide at least five reasons why population modeling should play an important role in bridging the gap between what we measure and what we want to protect. We then describe six actions needed for its implementation into management-relevant ERA.

The effects of landscape modifications on the long-term persistence of animal populations

Background: The effects of landscape modifications on the long-term persistence of wild animal populations is of crucial importance to wildlife managers and conservation biologists, but obtaining experimental evidence using real landscapes is usually impossible. To circumvent this problem we used individual-based models (IBMs) of interacting animals in experimental modifications of a real Danish landscape. The models incorporate as much as possible of the behaviour and ecology of four species with contrasting life-history characteristics: skylark (Alauda arvensis), vole (Microtus agrestis), a ground beetle (Bembidion lampros) and a linyphiid spider (Erigone atra). This allows us to quantify the population implications of experimental modifications of landscape configuration and composition. Methodology/Principal Findings: Starting with a real agricultural landscape, we progressively reduced landscape complexity by (i) homogenizing habitat patch shapes, (ii) randomizing the locations of the patches, and (iii) randomizing the size of the patches. The first two steps increased landscape fragmentation. We assessed the effects of these manipulations on the long-term persistence of animal populations by measuring equilibrium population sizes and time to recovery after disturbance. Patch rearrangement and the presence of corridors had a large effect on the population dynamics of species whose local success depends on the surrounding terrain. Landscape modifications that reduced population sizes increased recovery times in the short-dispersing species, making small populations vulnerable to increasing disturbance. The species that were most strongly affected by large disturbances fluctuated little in population sizes in years when no perturbations took place. Significance: Traditional approaches to the management and conservation of populations use either classical methods of population analysis, which fail to adequately account for the spatial configurations of landscapes, or landscape ecology, which accounts for landscape structure but has difficulty predicting the dynamics of populations living in them. Here we show how realistic and replicable individual-based models can bridge the gap between non-spatial population theory and non-dynamic landscape ecology. A major strength of the approach is its ability to identify population vulnerabilities not detected by standard population viability analyses.

Sizing reserves within a landscape: the roles of villagers' reactions and the ecological-socioeconomic setting

Traditionally, siting and sizing decisions for parks and reserves reflected ecological characteristics but typically failed to consider ecological costs created from displaced resource collection, welfare costs on nearby rural people, and enforcement costs. Using a spatial game-theoretic model that incorporates the interaction of socioeconomic and ecological settings, we show how incorporating more recent mandates that include rural welfare and surrounding landscapes can result in very different optimal sizing decisions. The model informs our discussion of recent forest management in Tanzania, reserve sizing and siting decisions, estimating reserve effectiveness, and determining patterns of avoided forest degradation in Reduced Emissions from Deforestation and Forest Degradation programs.

Volatility persistence and time-varying betas in the UK real estate market

This paper investigates the degree of return volatility persistence and the time-varying behaviour of systematic risk (beta) for 31 market segments in the UK real estate market. The findings suggest that different property types exhibit differences in volatility persistence and time variability. There is also evidence that the volatility persistence of each market segment and its systematic risk are significantly positively related. Thus, the systematic risks of different property types tend to move in different directions during periods of increased market volatility. Finally, the market segments with systematic risks less than one tend to show negative time variability, while market segments with systematic risk greater than one generally show positive time variability, indicating a positive relationship between the volatility of the market and the systematic risk of individual market segments. Consequently safer and riskier market segments are affected differently by increases in market volatility.

Persistence of UK Real Estate returns: a Markov chain analysis

The persistence of investment performance is a topic of perennial interest to investors. Efficient Markets theory tells us that past performance can not be used to predict future performance yet investors appear to be influenced by the historical performance in making their investment allocation decisions. The problem has been of particular interest to investors in real estate; not least because reported returns from investment in real estate are serially correlated thus implying some persistence in investment performance. This paper applies the established approach of Markov Chain analysis to investigate the relationship between past and present performance of UK real estate over the period 1981 to 1996. The data are analysed by sector, region and size. Furthermore some variations in investment performance classification are reported and the results are shown to be robust.

Persistence of a wild type Escherichia coli and its multiple antibiotic-resistant (MAR) derivatives in the abattoir and on chilled pig carcasses

The aim of this study was to evaluate the ability of an Escherichia coli with the multiple antibiotic resistance (MAR) phenotype to withstand the stresses of slaughter compared to an isogenic progenitor strain. A wild type E. coli isolate (345-2RifC) of porcine origin was used to derive 3 isogenic MAR mutants. Escherichia coli 345-2RifC and its MAR derivatives were inoculated into separate groups of pigs. Once colonisation was established, the pigs were slaughtered and persistence of the E. coli strains in the abattoir environment and on the pig carcasses was monitored and compared. No significant difference (P>0.05) was detected between the shedding of the different E. coli strains from the live pigs. Both the parent strain and its MAR derivatives persisted in the abattoir environment, however the parent strain was recovered from 6 of the 13 locations sampled while the MAR derivatives were recovered from 11 of 13 and the number of MAR E. coil recovered was 10-fold higher than the parent strain at half of the locations. The parent strain was not recovered from any of the 6 chilled carcasses whereas the MAR derivatives were recovered from 3 out of 5 (P<0.001). This study demonstrates that the expression of MAR in 345-2RifC increased its ability to survive the stresses of the slaughter and chilling processes. Therefore in E. coli, MAR can give a selective advantage, compared to non-MAR strains, for persistence on chilled carcasses thereby facilitating transit of these strains through the food chain. (C) 2010 Elsevier B.V. All rights reserved.