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The Role of Risk Measures Choices in Ranking Real Estate Funds: Evidence from the Italian Market

In: Asset Pricing, Real Estate and Public Finance over the Crisis

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  • Claudio Giannotti
  • Gianluca Mattarocci

Abstract

Return distribution of some financial instruments (like hedge funds) does not fit with the hypothesis of normality of returns and so, for those instruments, new and more complex Risk Adjusted Performance measures (hereinafter RAP) are proposed. The rankings based on these new measures are not always coherent with those defined using more simple ones and could show qualities (like a higher time persistence) that are desirable for an investor (Carretta and Mattarocci, 2008).

Suggested Citation

  • Claudio Giannotti & Gianluca Mattarocci, 2013. "The Role of Risk Measures Choices in Ranking Real Estate Funds: Evidence from the Italian Market," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Alessandro Carretta & Gianluca Mattarocci (ed.), Asset Pricing, Real Estate and Public Finance over the Crisis, chapter 10, pages 165-189, Palgrave Macmillan.
    • Handle: RePEc:pal:pmschp:978-1-137-29377-0_11
    DOI: 10.1057/9781137293770_11
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    References listed on IDEAS

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    1. Colin Lizieri & Stephen Satchell & Qi Zhang, 2007. "The Underlying Return‐Generating Factors for REIT Returns: An Application of Independent Component Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 35(4), pages 569-598, December.
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    8. Alessandro Carretta & Gianluca Mattarocci, 2009. "The Performance Evaluation of Hedge Funds: a Comparison of Different Approaches," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Alessandro Carretta & Franco Fiordelisi & Gianluca Mattarocci (ed.), New Drivers of Performance in a Changing Financial World, chapter 2, pages 14-29, Palgrave Macmillan.
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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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