Performance Attributions: Pure Theory Meets Messy Reality
This article is the winner of The Best Research Paper Presented by a Practicing Real Estate Professional manuscript prize [sponsored by the American Real Estate Society Foundation (ARESF)] presented at the 2001 American Real Estate Society Annual Meeting. The popularity of performance attribution in the publicly-traded equities arena may soon spill over to real estate markets. With that in mind, this study analyzes the practical and statistical problem that may arise when real estate managers apply this technique to their portfolios. The study involves three data sets: a portfolio of publicly-traded REITs, a single-client separate account and a multi-client private REIT. The findings indicate that there is no clear distinction between stock selection and sector allocation in any of the data sets (i.e., the portfolio impact of the managerâ€™s sector allocation and asset selection decisions are, on average, indistinguishable). Also, for the publicly-traded REIT portfolio (the only data set with sufficient sample size), the monthly returns attributed to stock selection versus sector allocation do not display significant serial persistence (i.e., the manager cannot consistently attribute the portfolio returns to either the stock selection or sector allocation decision).
Volume (Year): 23 (2002)
Issue (Month): 1/2 ()
|Contact details of provider:|| Postal: |
Web page: http://www.aresnet.org/
|Order Information:|| Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323|
Web: http://pages.jh.edu/jrer/about/get.htm Email:
References listed on IDEAS
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.:
- Fama, Eugene F, 1972. "Components of Investment Performance," Journal of Finance, American Finance Association, vol. 27(3), pages 551-67, June.
- Graff, Richard A & Young, Michael S, 1996. "Real Estate Return Correlations: Real-World Limitations on Relationships Inferred from NCREIF Data," The Journal of Real Estate Finance and Economics, Springer, vol. 13(2), pages 121-42, September.
- Young, Michael S & Graff, Richard A, 1995. "Real Estate Is Not Normal: A Fresh Look at Real Estate Return Distributions," The Journal of Real Estate Finance and Economics, Springer, vol. 10(3), pages 225-59, May.
- Michael S. Young, 2000. "REIT Property-Type Sector Integration," Journal of Real Estate Research, American Real Estate Society, vol. 19(1), pages 3-21.
When requesting a correction, please mention this item's handle: RePEc:jre:issued:v:23:n:1/2:2002:p:3-28. See general information about how to correct material in RePEc.
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.