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Paper eres2006_236:
AN IMPULSE FOR A MORE “MODERN” WAY OF PORTFOLIO ANALYSIS:BENCHMARKING REAL ESTATE INVESTMENTS ON RETURN AND RISK

id eres2006_236
authors Keeris, Willem G.; Ralph van Polanen Petel
year 2006
title AN IMPULSE FOR A MORE “MODERN” WAY OF PORTFOLIO ANALYSIS:BENCHMARKING REAL ESTATE INVESTMENTS ON RETURN AND RISK
source Book of Abstracts: 13th Annual European Real Estate Society Conference in Weimar, Germany
summary Generally real estate is considered a long term investment, but performance monitoring is done on the short-term by comparing with a yearly benchmarking; the ROZ/IPD index in the case of the Dutch market. An essential deficiency in this approach is that the corresponding risk profile of the investment is not taken into consideration. Investment theory is based on the pairing of return to risk. This paper describes a new method for the performance analyses of a real estate investment portfolio with the scope on both components; risk and return. The downside deviation is used with the corresponding ratio’s and MAR target return, which are considered important for the investor. Furthermore, a new ratio is introduced namely the Performance Potential ratio, which is important for the involved management.
keywords return/risk profile; downside deviation; minimal accepted return (MAR); target return; T(R); Sharpe ratio; Sortino ratio; upside potential ratio; performance potential ratio
series ERES:conference
type normal paper
discussion No discussions. Post discussion ...
ratings
session 1-A
last changed 2008/11/01 09:47
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