How often does direct real estate increase the risk-adjusted performance of the US mixed-asset portfolio?

The “case for real estate” in the mixed-asset portfolio is a topic of continuing interest to practitioners and academics. The argument is typically made by comparing efficient frontiers of portfolio with real estate to those that exclude real estate. However, most investors will have held inefficient portfolios. Thus, when analysing the real estate’s place in the mixed-asset portfolio it seems illogical to do so by comparing the difference in risk-adjusted performance between efficient portfolios, which few if any investor would have held. The approach adopted here, therefore, is to compare the risk-adjusted performance of a number of mixed-asset portfolios without real estate (which may or not be efficient) with a very large number of mixed-asset portfolios that include real estate (which again may or may not be efficient), to see the proportion of the time when there is an increase in risk-adjusted performance, significant or otherwise using appraisal-based and de-smoothed annual data from 1952-2003. So to the question how often does the addition of private real estate lead to increases the risk-adjusted performance compared with mixed-asset portfolios without real estate the answer is almost all the time. However, significant increases are harder to find. Additionally, a significant increase in risk-adjusted performance can come from either reductions in portfolio risk or increases in return depending on the investors’ initial portfolio structure. In other words, simply adding real estate to a mixed-asset portfolio is not enough to ensure significant increases in performance as the results are dependent on the percentage added and the proper reallocation of the initial portfolio mix in the expanded portfolio.

An evaluation of the performance of UK real estate forecasters

Given the significance of forecasting in real estate investment decisions, this paper investigates forecast uncertainty and disagreement in real estate market forecasts. It compares the performance of real estate forecasters with non-real estate forecasters. Using the Investment Property Forum (IPF) quarterly survey amongst UK independent real estate forecasters and a similar survey of macro-economic and capital market forecasters, these forecasts are compared with actual performance to assess a number of forecasting issues in the UK over 1999-2004, including forecast error, bias and consensus. The results suggest that both groups are biased, less volatile compared to market returns and inefficient in that forecast errors tend to persist. The strongest finding is that forecasters display the characteristics associated with a consensus indicating herding.

Prediction of the thermal performance of horizontal-coupled ground source heat exchangers

The thermal performance of a horizontal-coupled ground-source heat pump system has been assessed both experimentally and numerically in a UK climate. A numerical simulation of thermal behaviour of the horizontal-coupled heat exchanger for combinations of different ambient air temperatures, wind speeds, refrigerant temperature and soil thermal properties was studied using a validated 2D transient model. The specific heat extraction by the heat exchanger increased with ambient temperature and soil thermal conductivity, however it decreased with increasing refrigerant temperature. The effect of wind speed was negligible.

The ERA-Interim reanalysis: configuration and performance of the data assimilation system

ERA-Interim is the latest global atmospheric reanalysis produced by the European Centre for Medium-Range Weather Forecasts (ECMWF). The ERA-Interim project was conducted in part to prepare for a new atmospheric reanalysis to replace ERA-40, which will extend back to the early part of the twentieth century. This article describes the forecast model, data assimilation method, and input datasets used to produce ERA-Interim, and discusses the performance of the system. Special emphasis is placed on various difficulties encountered in the production of ERA-40, including the representation of the hydrological cycle, the quality of the stratospheric circulation, and the consistency in time of the reanalysed fields. We provide evidence for substantial improvements in each of these aspects. We also identify areas where further work is needed and describe opportunities and objectives for future reanalysis projects at ECMWF

Performance of palm- based fat blends with a low saturated fat content in puff pastry

Four fat blends based on palm fractions in combination with high oleic sunflower oil (HOSF) with a relatively low saturated fatty acid content (29.2±0.85%, i.e. less than 50% of that of butter) were prepared. The saturated fat was located in different triacylglycerols (TAG) structures in each blend. Principal saturated TAG were derived from palm stearin (POs, containing tripalmitoyl glycerol - PPP), palm mid fraction (PMF, containing 1,3-dipalmitoyl-2-oleoyl glycerol - POP) and interesterified PMF (inPMF, containing PPP, POP and rac-1,2-dipalmitoyl-3-oleoyl glycerol - PPO). Thus, in blend 1, composed of POs and HOSF, the saturates resided principally in PPP. In blend 2, composed of POs, PMF and HOSF, the principal saturate-containing TAG were PPP and POP. Blend 3, composed of inPMF and HOSF, was similar to blend 2 except that the disaturated TAG comprised a 2:1 mixture of PPO:POP. Finally, blend 4, a mixture of PMF and HOSF, had saturates present mainly as POP. The physical properties and the functionality of blends, as shortenings for puff pastry laminated in a warm bakery environment (20-30°C), were compared with each other, and with butter. Puff pastry prepared with blend 1 (POs:HOSF 29:71) and blend 4 (PMF:HOSF 41:59), was very hard; blend 2 (POs:PMF:HOSF 13:19:68) was most similar to butter in the compressibility of the baked product and it performed well in an independent baking trial; blend 3 (inPMF:HOSF 40:60) gave a product that required a higher force for compression than butter.