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.

Beyond the caves: the Palaeolithic rivers of south-west Britain

This paper introduces a new English Heritage (Aggregates Levy Sustainability Fund) project The Palaeolithic Rivers of South-West Britain (project no. 3847), and summarises the results of a first phase resource assessment. The goal of this ongoing project is to develop a new synthesis of the Lower and Middle Palaeolithic occupation of the south-west region, focusing upon river terrace-based archaeology and its implications for hominin landscape use. The resource assessment has reached two preliminary conclusions. Firstly that the region’s earliest Palaeolithic archaeological record is significantly richer than previously believed, and secondly that although find locations have been added in several areas which previously had very few or no finds (e.g.West Cornwall) the overall bias of finds to the south coast is maintained. The project has also revealed that the river terrace resource of South-West England offers potential for geochronological dating, landscape reconstruction, and improved contextualisation of the archaeological material. Some outreach components of the project are also summarised.

Schizotypal personality and vulnerability to involuntary autobiographical memories

Background and objectives: Individuals who score high on positive schizotypy personality traits are vulnerable to more frequent trauma-related intrusive memories after a stressful event. This vulnerability may be the product of a low level of contextual integration of non-stressful material combined with a heightened sensitivity to a further reduction in contextual integration during a stressful event. The current study assessed whether high scoring schizotypes are vulnerable to frequent involuntary autobiographical memories (IAMs) of non-stressful material. Methods: A free-association word task was used. Participants completed three recorded trials which were then replayed to allow the identification of any associations where an involuntary autobiographical memory had come to mind. Self-report measures of schizotypy and anxiety were completed. Results: All participants retrieved at least one IAM from the three free-association word trials, with 70% experiencing two or more IAMs. Individuals scoring high in schizotypy reported more IAMs than those who scored low. Over 75% of the memories retrieved were neutral or positive in content. Limitations: The current study is an improvement on previous methodologies used to assess IAMs. However, bias due to retrospective recall remains a possibility. Conclusions: Individuals scoring high in schizotypy are vulnerable to an increased level of neutral intrusive memories which may be associated with a ‘baseline’ level of information-processing which is low in contextual integration.

Calibration and bias correction of climate projections for crop modelling: an idealised case study over Europe

Producing projections of future crop yields requires careful thought about the appropriate use of atmosphere-ocean global climate model (AOGCM) simulations. Here we describe and demonstrate multiple methods for ‘calibrating’ climate projections using an ensemble of AOGCM simulations in a ‘perfect sibling’ framework. Crucially, this type of analysis assesses the ability of each calibration methodology to produce reliable estimates of future climate, which is not possible just using historical observations. This type of approach could be more widely adopted for assessing calibration methodologies for crop modelling. The calibration methods assessed include the commonly used ‘delta’ (change factor) and ‘nudging’ (bias correction) approaches. We focus on daily maximum temperature in summer over Europe for this idealised case study, but the methods can be generalised to other variables and other regions. The calibration methods, which are relatively easy to implement given appropriate observations, produce more robust projections of future daily maximum temperatures and heat stress than using raw model output. The choice over which calibration method to use will likely depend on the situation, but change factor approaches tend to perform best in our examples. Finally, we demonstrate that the uncertainty due to the choice of calibration methodology is a significant contributor to the total uncertainty in future climate projections for impact studies. We conclude that utilising a variety of calibration methods on output from a wide range of AOGCMs is essential to produce climate data that will ensure robust and reliable crop yield projections.

Do variations in substitution rates and male mutation bias correlate with life-history traits? A study of 32 mammalian genomes

Life-history traits vary substantially across species, and have been demonstrated to affect substitution rates. We compute genomewide, branch-specific estimates of male mutation bias (the ratio of male-to-female mutation rates) across 32 mammalian genomes and study how these vary with life-history traits (generation time, metabolic rate, and sperm competition). We also investigate the influence of life-history traits on substitution rates at unconstrained sites across a wide phylogenetic range. We observe that increased generation time is the strongest predictor of variation in both substitution rates (for which it is a negative predictor) and male mutation bias (for which it is a positive predictor). Although less significant, we also observe that estimates of metabolic rate, reflecting replication-independent DNA damage and repair mechanisms, correlate negatively with autosomal substitution rates, and positively with male mutation bias. Finally, in contrast to expectations, we find no significant correlation between sperm competition and either autosomal substitution rates or male mutation bias. Our results support the important but frequently opposite effects of some, but not all, life history traits on substitution rates. KEY WORDS: Generation time, genome evolution, metabolic rate, sperm competition.

Domestic and foreign bias in global real estate mutual fund investment allocations

The purpose of the study is to seek a better understanding of the investment allocation behaviour of the real estate mutual funds by focusing on asset allocation at the country level. Analysing the country allocation of 553 real estate mutual funds domiciled in 20 countries, we attempt to trace how investment bias exists across countries and affects their country allocations. Our results evidence the existence of disproportionate country allocation to their domestic markets (domestic bias) and to each foreign market (foreign bias). We also find each bias is influenced by different sets of variables: real estate market influences for domestic bias and familiarity influences for foreign bias. This difference in factors influential for each bias in part explains the conflated relationship between the two biases.

Using seasonal hindcasts to understand the origin of the equatorial cold tongue bias in CGCMs and its impact on ENSO

The cold equatorial SST bias in the tropical Pacific that is persistent in many coupled OAGCMs severely impacts the fidelity of the simulated climate and variability in this key region, such as the ENSO phenomenon. The classical bias analysis in these models usually concentrates on multi-decadal to centennial time series needed to obtain statistically robust features. Yet, this strategy cannot fully explain how the models errors were generated in the first place. Here, we use seasonal re-forecasts (hindcasts) to track back the origin of this cold bias. As such hindcasts are initialized close to observations, the transient drift leading to the cold bias can be analyzed to distinguish pre-existing errors from errors responding to initial ones. A time sequence of processes involved in the advent of the final mean state errors can then be proposed. We apply this strategy to the ENSEMBLES-FP6 project multi-model hindcasts of the last decades. Four of the five AOGCMs develop a persistent equatorial cold tongue bias within a few months. The associated systematic errors are first assessed separately for the warm and cold ENSO phases. We find that the models are able to reproduce either El Niño or La Niña close to observations, but not both. ENSO composites then show that the spurious equatorial cooling is maximum for El Niño years for the February and August start dates. For these events and at this time of the year, zonal wind errors in the equatorial Pacific are present from the beginning of the simulation and are hypothesized to be at the origin of the equatorial cold bias, generating too strong upwelling conditions. The systematic underestimation of the mixed layer depth in several models can also amplify the growth of the SST bias. The seminal role of these zonal wind errors is further demonstrated by carrying out ocean-only experiments forced by the AOCGCMs daily 10-meter wind. In a case study, we show that for several models, this forcing is sufficient to reproduce the main SST error patterns seen after 1 month in the AOCGCM hindcasts.

Assessment of surface winds over the Atlantic, Indian and Pacific Ocean sectors of the Southern Ocean in CMIP5 models: historical bias, forcing response, and state dependence

An assessment of the fifth Coupled Models Intercomparison Project (CMIP5) models’ simulation of the near-surface westerly wind jet position and strength over the Atlantic, Indian and Pacific sectors of the Southern Ocean is presented. Compared with reanalysis climatologies there is an equatorward bias of 3.7° (inter-model standard deviation of ± 2.2°) in the ensemble mean position of the zonal mean jet. The ensemble mean strength is biased slightly too weak, with the largest biases over the Pacific sector (-1.6±1.1 m/s, 27 -22%). An analysis of atmosphere-only (AMIP) experiments indicates that 41% of the zonal mean position bias comes from coupling of the ocean/ice models to the atmosphere. The response to future emissions scenarios (RCP4.5 and RCP8.5) is characterized by two phases: (i) the period of most rapid ozone recovery (2000-2049) during which there is insignificant change in summer; and (ii) the period 2050-2098 during which RCP4.5 simulations show no significant change but RCP8.5 simulations show poleward shifts (0.30, 0.19 and 0.28°/decade over the Atlantic, Indian and Pacific sectors respectively), and increases in strength (0.06, 0.08 and 0.15 m/s/decade respectively). The models with larger equatorward position biases generally show larger poleward shifts (i.e. state dependence). This inter-model relationship is strongest over the Pacific sector (r=-0.89) and insignificant over the Atlantic sector (r=-0.50). However, an assessment of jet structure shows that over the Atlantic sector jet shift is significantly correlated with jet width whereas over the Pacific sector the distance between the sub-polar and sub-tropical westerly jets appears to be more important.

Assessment of inter-examiner agreement and variability in the manual classification of auditory brainstem response

Abstract Background: The analysis of the Auditory Brainstem Response (ABR) is of fundamental importance to the investigation of the auditory system behaviour, though its interpretation has a subjective nature because of the manual process employed in its study and the clinical experience required for its analysis. When analysing the ABR, clinicians are often interested in the identification of ABR signal components referred to as Jewett waves. In particular, the detection and study of the time when these waves occur (i.e., the wave latency) is a practical tool for the diagnosis of disorders affecting the auditory system. Significant differences in inter-examiner results may lead to completely distinct clinical interpretations of the state of the auditory system. In this context, the aim of this research was to evaluate the inter-examiner agreement and variability in the manual classification of ABR. Methods: A total of 160 ABR data samples were collected, for four different stimulus intensity (80dBHL, 60dBHL, 40dBHL and 20dBHL), from 10 normal-hearing subjects (5 men and 5 women, from 20 to 52 years). Four examiners with expertise in the manual classification of ABR components participated in the study. The Bland-Altman statistical method was employed for the assessment of inter-examiner agreement and variability. The mean, standard deviation and error for the bias, which is the difference between examiners’ annotations, were estimated for each pair of examiners. Scatter plots and histograms were employed for data visualization and analysis. Results: In most comparisons the differences between examiner’s annotations were below 0.1 ms, which is clinically acceptable. In four cases, it was found a large error and standard deviation (>0.1 ms) that indicate the presence of outliers and thus, discrepancies between examiners. Conclusions: Our results quantify the inter-examiner agreement and variability of the manual analysis of ABR data, and they also allows for the determination of different patterns of manual ABR analysis.

Bias or rationality? The case of UK commercial real estate investment

Purpose – The purpose of this paper is to test the hypothesis that investment decision making in the UK direct property market does not conform to the assumption of economic rationality underpinning portfolio theory. Design/methodology/approach – The developing behavioural real estate paradigm is used to challenge the idea that investor “man” is able to perform with economic rationality, specifically with reference to the analysis of the spatial dispersion of the entire UK “investible stock” and “investible locations” against observed spatial patterns of institutional investment. Location quotients are derived, combining different data sets. Findings – Considerably greater variation in institutional property holdings is found across the UK than would be expected given the economic and stock characteristics of local areas. This appears to provide evidence of irrationality (in the strict traditional economic sense) in the behaviour of institutional investors, with possible herding underpinning levels of investment that cannot be explained otherwise. Research limitations/implications – Over time a lack of distinction has developed between the cause and effect of comparatively low levels of development and institutional property investment across the regions. A critical examination of decision making and behaviour in practice could break this cycle, and could in turn promote regional economic growth. Originality/value – The entire “population” of observations is used to demonstrate the relationships between economic theory and investor performance exploring, for the first time, stock and local area characteristics.