the accuracy of property forecasting in the uk
DESCRIPTION
THE ACCURACY OF PROPERTY FORECASTING IN THE UK. GRAEME NEWELL University of Western Sydney and PATRICK McALLISTER University of Reading. June 2009. PROPERTY FORECASTING. Importance Uncertainty Procedures quantitative - qualitative Role of judgement 2008 property environment - PowerPoint PPT PresentationTRANSCRIPT
![Page 1: THE ACCURACY OF PROPERTY FORECASTING IN THE UK](https://reader035.vdocument.in/reader035/viewer/2022070404/56813b22550346895da3dd1f/html5/thumbnails/1.jpg)
THE ACCURACY OF THE ACCURACY OF PROPERTY PROPERTY
FORECASTING IN THE FORECASTING IN THE UKUK
GRAEME NEWELLUniversity of Western SydneyandPATRICK McALLISTERUniversity of Reading
June 2009
![Page 2: THE ACCURACY OF PROPERTY FORECASTING IN THE UK](https://reader035.vdocument.in/reader035/viewer/2022070404/56813b22550346895da3dd1f/html5/thumbnails/2.jpg)
PROPERTY FORECASTINGPROPERTY FORECASTING
Importance Uncertainty Procedures
– quantitative - qualitative Role of judgement 2008 property environment
- UK@ -22.1% - Ireland @ -34.2%- Norway@ -4.7% - Sweden@ -3.3%
- Spain@ -2.9% - France @ -0.9%
![Page 3: THE ACCURACY OF PROPERTY FORECASTING IN THE UK](https://reader035.vdocument.in/reader035/viewer/2022070404/56813b22550346895da3dd1f/html5/thumbnails/3.jpg)
PREVIOUS RESEARCHPREVIOUS RESEARCH
Forecasting rents, yields etc. Econometric/structural modelling Comparison of forecasting procedures Simple forecasts versus econometric
models
![Page 4: THE ACCURACY OF PROPERTY FORECASTING IN THE UK](https://reader035.vdocument.in/reader035/viewer/2022070404/56813b22550346895da3dd1f/html5/thumbnails/4.jpg)
ACCURACY OF PROPERTY ACCURACY OF PROPERTY EXPERT FORECASTSEXPERT FORECASTS
US: Ling (2005) UK: McAllister, Newell and Matysiak(2008);
Tsolacos (2006) Australia: Newell and Karantonis (2003); Newell and MacFarlane (2006) Consensus and individual forecasts
![Page 5: THE ACCURACY OF PROPERTY FORECASTING IN THE UK](https://reader035.vdocument.in/reader035/viewer/2022070404/56813b22550346895da3dd1f/html5/thumbnails/5.jpg)
ACCURACY ISSUESACCURACY ISSUES Uncertainty Disagreement Conservative forecasts; bias Inertia Group differences “Numbers” versus “turning points” Individual forecasters
- consistency - banding - persistence
![Page 6: THE ACCURACY OF PROPERTY FORECASTING IN THE UK](https://reader035.vdocument.in/reader035/viewer/2022070404/56813b22550346895da3dd1f/html5/thumbnails/6.jpg)
PURPOSEPURPOSE Assess accuracy of UK property forecasts re:
2008 IPD Overall @ -22.1% IPD Office @ -22.4% IPD Retail @ - 22.6% IPD Industrial @ -21.2% Accuracy
- uncertainty - disagreement Behavioural issues
![Page 7: THE ACCURACY OF PROPERTY FORECASTING IN THE UK](https://reader035.vdocument.in/reader035/viewer/2022070404/56813b22550346895da3dd1f/html5/thumbnails/7.jpg)
METHODOLOGYMETHODOLOGY Investment Property Forum “Survey of Independent Forecasts” 1998 – 2009; quarterly; UK Expert opinions : #= 18-37
- property advisors - fund managers- equity brokers
Capital returns, rental growth, total returns Property sub-sectors Forecasts generated to end of year
- up to 3 years ahead
![Page 8: THE ACCURACY OF PROPERTY FORECASTING IN THE UK](https://reader035.vdocument.in/reader035/viewer/2022070404/56813b22550346895da3dd1f/html5/thumbnails/8.jpg)
METHODOLOGYMETHODOLOGY Focus = 2008 total return forecasts Up to 36 months ahead 36M, 33M, …, 9M, 6M, 3M # 2006-08 participants: 24 – 37 # property advisors: 10 – 18 # fund managers: 9 – 16 # equity brokers: 3 – 5 Statistical analysis
- MAE - MAPE- range - Theil U1 statistic
![Page 9: THE ACCURACY OF PROPERTY FORECASTING IN THE UK](https://reader035.vdocument.in/reader035/viewer/2022070404/56813b22550346895da3dd1f/html5/thumbnails/9.jpg)
Target = -22.1%Target = -22.1%
![Page 10: THE ACCURACY OF PROPERTY FORECASTING IN THE UK](https://reader035.vdocument.in/reader035/viewer/2022070404/56813b22550346895da3dd1f/html5/thumbnails/10.jpg)
MEAN ABSOLUTE ERRORMEAN ABSOLUTE ERROR
36M 24M 12M 6M 3M
All : 22.4 19.7 13.3 8.4 5.3
PAs : 22.8 20.1 13.5 8.7 5.5
FMs : 21.7 19.1 12.8 7.5 4.3
EBs : 22.5 18.7 13.3 9.1 4.6
Office : 23.8 20.8 13.1 7.7 4.6
Retail : 22.3 19.9 14.4 9.5 6.0
Industrial : 21.9 19.3 13.4 9.0 5.8
![Page 11: THE ACCURACY OF PROPERTY FORECASTING IN THE UK](https://reader035.vdocument.in/reader035/viewer/2022070404/56813b22550346895da3dd1f/html5/thumbnails/11.jpg)
MEAN ABSOLUTE PERCENTAGE MEAN ABSOLUTE PERCENTAGE ERRORERROR
36M 24M 12M 6M 3M
All : 101.1% 89.1% 60.2% 38.0% 24.0%
PAs : 103.0% 90.7% 61.2% 39.1% 24.9%
FMs : 98.2% 86.5% 57.9% 33.9% 19.5%
EBs : 101.9% 84.7% 60.3% 41.0% 20.8%
Office : 106.2% 92.8% 58.4% 34.4% 20.5%
Retail : 98.9% 88.2% 63.5% 42.0% 26.6%
Industrial : 103.4% 91.0% 63.4% 42.2% 27.4%
![Page 12: THE ACCURACY OF PROPERTY FORECASTING IN THE UK](https://reader035.vdocument.in/reader035/viewer/2022070404/56813b22550346895da3dd1f/html5/thumbnails/12.jpg)
THEIL U1 STATISTICTHEIL U1 STATISTIC
36M 24M 12M 6M 3M
All : 0.80 0.70 0.44 0.25 0.14
PAs : 0.81 0.72 0.45 0.26 0.14
FMs : 0.79 0.69 0.43 0.22 0.11
EBs : 0.79 0.66 0.44 0.28 0.12
Office : 0.82 0.72 0.43 0.22 0.11
Retail : 0.80 0.70 0.47 0.28 0.15
Industrial : 0.82 0.72 0.47 0.28 0.16
![Page 13: THE ACCURACY OF PROPERTY FORECASTING IN THE UK](https://reader035.vdocument.in/reader035/viewer/2022070404/56813b22550346895da3dd1f/html5/thumbnails/13.jpg)
AVERAGE RANGEAVERAGE RANGE
36M 24M 12M 6M 3M
All : 10.30 10.70 10.40 10.20 9.50
PAs : 7.10 7.40 7.50 7.10 5.60
FMs : 8.40 8.30 7.70 6.60 6.60
EBs : 5.70 7.00 7.30 6.80 9.50
![Page 14: THE ACCURACY OF PROPERTY FORECASTING IN THE UK](https://reader035.vdocument.in/reader035/viewer/2022070404/56813b22550346895da3dd1f/html5/thumbnails/14.jpg)
““BEST” FORECASTER: MAEBEST” FORECASTER: MAE
36M 24M 12M 6M 3M
All : 16.70 14.10 7.80 3.70 0.60
PAs : 18.70 16.00 9.30 5.10 2.10
FMs : 17.30 14.80 8.60 4.00 1.10
EBs : 19.60 15.40 10.10 5.90 0.60
![Page 15: THE ACCURACY OF PROPERTY FORECASTING IN THE UK](https://reader035.vdocument.in/reader035/viewer/2022070404/56813b22550346895da3dd1f/html5/thumbnails/15.jpg)
““BEST” FORECASTER: MAPEBEST” FORECASTER: MAPE
36M 24M 12M 6M 3M
All : 75.50% 63.70% 35.40% 16.70% 2.70%
PAs : 84.60% 72.60% 42.10% 23.10% 9.50%
FMs : 78.30% 67.10% 38.70% 17.90% 5.00%
EBs : 88.90% 69.60% 45.50% 26.50% 2.70%
Theil 0.58 0.48 0.25 0.12 0.01
![Page 16: THE ACCURACY OF PROPERTY FORECASTING IN THE UK](https://reader035.vdocument.in/reader035/viewer/2022070404/56813b22550346895da3dd1f/html5/thumbnails/16.jpg)
““BEST” FORECASTERBEST” FORECASTER
Groups:– PAs: 0% - FMs: 75% - EBs:25%
Individuals:– PAs: 25% - FMs: 58% - EBs:17%
![Page 17: THE ACCURACY OF PROPERTY FORECASTING IN THE UK](https://reader035.vdocument.in/reader035/viewer/2022070404/56813b22550346895da3dd1f/html5/thumbnails/17.jpg)
““WORST” FORECASTER: MAEWORST” FORECASTER: MAE
36M 24M 12M 6M 3M
All : 27.0 24.8 18.3 13.9 10.1
PAs : 25.8 23.6 17.0 12.7 7.7
FMs : 25.8 23.1 16.3 10.5 7.7
EBs : 25.3 22.4 17.4 12.6 10.1
![Page 18: THE ACCURACY OF PROPERTY FORECASTING IN THE UK](https://reader035.vdocument.in/reader035/viewer/2022070404/56813b22550346895da3dd1f/html5/thumbnails/18.jpg)
““WORST” FORECASTER: MAPEWORST” FORECASTER: MAPE
36M 24M 12M 6M 3M
All : 122.20% 112.00% 82.60% 62.90% 45.70%
PAs : 116.90% 106.60% 76.90% 57.50% 34.80%
FMs : 116.50% 104.60% 73.70% 47.50% 34.80%
EBs : 114.70% 101.30% 78.50% 57.00% 45.70%
Theil 0.91 0.86 0.67 0.47 0.30
![Page 19: THE ACCURACY OF PROPERTY FORECASTING IN THE UK](https://reader035.vdocument.in/reader035/viewer/2022070404/56813b22550346895da3dd1f/html5/thumbnails/19.jpg)
““WORST” FORECASTERWORST” FORECASTER
Groups:– PAs: 42% - FMs: 0% - EBs:58%
Individuals:– PAs: 33% - FMs: 42% - EBs:25%
![Page 20: THE ACCURACY OF PROPERTY FORECASTING IN THE UK](https://reader035.vdocument.in/reader035/viewer/2022070404/56813b22550346895da3dd1f/html5/thumbnails/20.jpg)
PROPERTY FORECASTING PROPERTY FORECASTING IMPLICATIONSIMPLICATIONS
Accuracy re: 2008 property forecasts Uncertainty versus disagreement Conservative bias Improvements over time : 36M 3M Critical times Group differences Sector differences Other issues re: changes in forecasts
- impact of news - expected returns (IPD monthly)- anchoring
2009 property forecasts?