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Sources of Alpha and Beta in Property Funds

Author

Listed:
  • Andrew Baum

    (Department of Real Estate & Planning, University of Reading Business School)

  • Kieran Farrelly

Abstract

This paper examines issues related to potential analytical performance systems for global property funds. These will include traditional attribution methods but will also cover the performance concepts of alpha and beta widely used in other asset classes. We look at issues including...what creates beta, and what drives alpha in real estate investment? How can it be measured and isolated? How do these concepts relate to traditional attribution systems? Can performance records and performance fees adequately distinguish between these drivers? In this paper we illustrate these issues by reference to a case study addressing the complete performance record of a single unlisted fund.

Suggested Citation

  • Andrew Baum & Kieran Farrelly, 2008. "Sources of Alpha and Beta in Property Funds," Real Estate & Planning Working Papers rep-wp2008-06, Henley Business School, University of Reading.
    • Handle: RePEc:rdg:repxwp:rep-wp2008-06
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    File URL: http://www.henley.reading.ac.uk/rep/fulltxt/0608.pdf
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    References listed on IDEAS

    as
    1. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    2. Willem G. Keeris, 2005. "An Improved Specification of Performance: The Interaction Effect in Attribution Analysis," ERES eres2005_223, European Real Estate Society (ERES).
    3. Stephen Lee, 2003. "The Persistence of Real Estate Fund Performance," Real Estate & Planning Working Papers rep-wp2003-08, Henley Business School, University of Reading.
    Full references (including those not matched with items on IDEAS)

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