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Portfolio Considerations in Commingled Real Estate Funds

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    Abstract

    This study examines the return rates on portfolio characteristics of eighteen diversified CREF's from 1983 through 1988 using regression analysis and paired comparisons of funds. The purpose of the study is to examine the relationships between CREF-specific characteristics and CREF return. Over the sample period, the size of the real estate investment and the level of liquidity within a CREF portfolio were found to be positively related to return, the use of leverage was found to be beneficial only when nominal return on CREFs was relatively high compared to interest rates on mortgages, and the size of the fund was found to be negatively related to return. This latter finding is opposite findings in earlier studies, suggesting previously unobserved cyclical performance for CREFs. Finally, CREF management fees were not found to be positively related to performance over the sample period.

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    File URL: http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/past/vol08n02/v08p171.pdf
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    Article provided by American Real Estate Society in its journal Journal of Real Estate Research.

    Volume (Year): 8 (1993)
    Issue (Month): 2 ()
    Pages: 171-188

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    Handle: RePEc:jre:issued:v:8:n:2:1993:p:171-188

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    Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
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    Web page: http://www.aresnet.org/

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    Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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    Web: http://aux.zicklin.baruch.cuny.edu/jrer/about/get.htm

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    1. David Guilkey & Mike Miles & Rebel Cole, 1989. "The Motivation for Institutional Real Estate Sales and Implications for Asset Class Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 17(1), pages 70-86.
    2. David Hartzell & John Hekman & Mike Miles, 1986. "Diversification Categories in Investment Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 14(2), pages 230-254.
    3. 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.
    4. Mike Miles & Tom McCue, 1984. "Commercial Real Estate Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 12(3), pages 355-377.
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