Differentiating CREF Performance
AbstractWe examine factors underlying the differences in commingled real estate fund (CREF) performance using a sample of 65 CREFs during 1985-2002. More than half of the individual CREFs underperformed the employed benchmark. However, portfolios of CREFs performed well in both up and down markets, smaller CREFs outperformed larger CREFs, and top performing CREFs continued to outperform. Differential CREF performance appears to be attributable to property selection, rather than allocation across real estate sectors. Liquidity-constrained CREFs exhibited lower risk. CREFs with large benchmark tracking error experienced inferior performance. These findings indicate important cross-sectional differences among CREFs and diversification opportunities for pensions employing multiple CREF investment strategies. Copyright 2006 American Real Estate and Urban Economics Association
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Bibliographic InfoArticle provided by American Real Estate and Urban Economics Association in its journal Real Estate Economics.
Volume (Year): 34 (2006)
Issue (Month): 2 (06)
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- Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009.
"Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value,"
CeRP Working Papers
82, Center for Research on Pensions and Welfare Policies, Turin (Italy).
- Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value," Real Estate Economics, American Real Estate and Urban Economics Association, American Real Estate and Urban Economics Association, vol. 37(3), pages 341-381.
- Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and risk diversification in real estate investments: assessing the ex post economic value," Working Papers, Federal Reserve Bank of St. Louis 2009-001, Federal Reserve Bank of St. Louis.
- John Gallo & Ying Zhang, 2010. "Global Property Market Diversification," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 41(4), pages 458-485, November.
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