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The Role Of Risk Measuresí Choices In Ranking Real Estate Funds: Evidence From The Italian Market

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  • Gianluca Mattarocci
  • Claudio Giannotti

Abstract

Real estate industry is a fast growing reality in all European Countries and during the last years also Italian market shows a significant increase in the number of real estate funds available not only for institutional investors. The increasing role of retail investors in the industry makes necessary to study simple return/risk measures that could be easily understood also by not financial skilled investors. Measures frequently used in the asset management industry are the Risk Adjusted Performance Measures scale independent. Studies available in literature evaluate the fitness of these measures in order to select best investment opportunities under the simplified assumption of the normality of results achieved. Looking at the Italian market, the paper studies the performance of Real Estate Funds traded in the Italian market for the time period 1999-2009 and verifies that the assumption of the normality of results is not coherent. Demonstrated the limits of this assumption, the paper compare ranking based on Sharpe ratio with those achieved using different RAP measure constructed using different risk measures. Results obtained demonstrate that rankings obtained are not strictly correlated and measures that do not assume the normality of returns identify rakings that are more stable over time.

Suggested Citation

  • Gianluca Mattarocci & Claudio Giannotti, 2010. "The Role Of Risk Measuresí Choices In Ranking Real Estate Funds: Evidence From The Italian Market," ERES eres2010_129, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2010_129
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    Cited by:

    1. Marisa Gigante, 2012. "The incidence of real estate portfolio composition choices on funds performance: Evicence from the Italian market," ERES eres2012_186, European Real Estate Society (ERES).
    2. Marisa Gigante, 2011. "The impact of real estate portfolio composition on the Italian real estate funds performance," ERES eres2011_283, European Real Estate Society (ERES).

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    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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