Real Estate Performance Attribution: Pure Theory Meets Messy Reality
- Topics:
- Real Estate Portfolio Management
- Tags:
- Business Operations,
- Stock Selection,
- Stock,
- Sector Allocation,
- REIT,
- Real Estate,
- Investment,
- Finance,
- Data Set,
- Theory
FREE Registration is required
Overview: The popularity of performance attribution in the publicly-traded equities arena may soon spill over to real estate markets. This study analyzes the practical and statistical problems 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 manager’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).
(Is this item miscategorized? Does it need more tags? Let us know.)
Format: PDF | Size: 119KB | Date: Jan 2002 | Pages: 26
