A Survey of Pension Fund Real Estate Portfolio Risk Management Practices
AbstractInstitutional real estate investmentÐÐprimarily pension reserve assetsÐÐgrew rapidly in the 1980s. The fiduciary demands of a growing asset pool coupled with disappointing results in the latter half of the decade led to an increasing interest in the application of Modern Portfolio Theory (MPT) to the management of large-scale real estate portfolios. This paper reports the results of a study conducted in mid-1990 that surveyed the 426 largest institutional portfolios on portfolio management practices relating to diversification strategies, risk measurement, and evaluation of investment returns. The survey replicated several measures gathered by Webb in a 1983 survey to assess the rate of acceptance or utilization of ideas and techniques in the portfolio management community. Results indicate that change is perhaps slower than might be expected. Real estate performance measures have become more sophisticated in the past seven years with a shift away from accounting type measures toward fully discounted measures, including several variations on the Internal Rate of Return (IRR). Risk-adjustment techniques have changed to the extent that portfolio managers have a greater likelihood of using sensitivity analysis, but few other innovations are widespread. Only a small percentage of respondents use traditional tools of MPT-based analysis, but the majority are cognizant of the recent developments in the literature that attempt to show alternative methodologies for achieving true diversification within real estate portfolios. The results indicate that change is gradual and that some practices that have been discredited in the academic literature for many years may still be evident in the institutional community.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by American Real Estate Society in its journal Journal of Real Estate Research.
Volume (Year): 7 (1992)
Issue (Month): 4 ()
Contact details of provider:
Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
Web page: http://www.aresnet.org/
Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
Find related papers by JEL classification:
- L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Roger G. Ibbotson & Laurence B. Siegel, 1984. "Real Estate Returns: A Comparison with Other Investments," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 12(3), pages 219-242.
- David J. Hartzell & James R. Webb, 1988. "Real Estate Risk and Return Expectations: Recent Survey Results," Journal of Real Estate Research, American Real Estate Society, vol. 3(3), pages 31-37.
- David J. Hartzell & David G. Shulma & Vice President, 1987. "Refining the Analysis of Regional Diversification for Income-Producing Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 2(2), pages 85-95.
- Pfnür, Andreas & Armonat, Stefan, 2001. "Immobilienkapitalanlage institutioneller Investoren – Risikomanagement und Portfolioplanung," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35586, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Armonat, Stefan & Pfnür, Andreas, 2002. "Basel II and the German credit crunch?," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35585, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Dirk P.M. De Wit, 1996. "Real Estate Portfolio Management Practices of Pension Funds and Insurance Companies in the Netherlands: A Survey," Journal of Real Estate Research, American Real Estate Society, vol. 11(2), pages 131-148.
- SeungHan Ro & Alan Ziobrowski, 2011. "Does Focus Really Matter? Specialized vs. Diversified REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 42(1), pages 68-83, January.
- Philip McCann & Stephen Lee, 2005. "The Implications for Regional Investment of Diversification Strategies in Commercial Real Estate Portfolios," ERSA conference papers ersa05p473, European Regional Science Association.
- Barry Ziering & Elaine M. Worzala, 1997. "The Real Estate Research Interests of the Plan Sponsor Community: Survey Results," Journal of Real Estate Research, American Real Estate Society, vol. 13(2), pages 115-144.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (JRER Graduate Assistant/Webmaster).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.