Eres : Digital Library : Works

Paper eres2010_129:
THE ROLE OF RISK MEASURES’ CHOICES IN RANKING REAL ESTATE FUNDS: EVIDENCE FROM THE ITALIAN MARKET

id eres2010_129
authors Mattarocci, Gianluca; Giannotti, Claudio
year 2010
title THE ROLE OF RISK MEASURES’ CHOICES IN RANKING REAL ESTATE FUNDS: EVIDENCE FROM THE ITALIAN MARKET
source 17th Annual European Real Estate Society Conference in Milan, Italy
summary Real estate industry is a fast growing reality in all European Countries and during the last years also Italian market shows a significant increase in the number of real estate funds available not only for institutional investors. The increasing role of retail investors in the industry makes necessary to study simple return/risk measures that could be easily understood also by not financial skilled investors. Measures frequently used in the asset management industry are the Risk Adjusted Performance Measures scale independent. Studies available in literature evaluate the fitness of these measures in order to select best investment opportunities under the simplified assumption of the normality of results achieved. Looking at the Italian market, the paper studies the performance of Real Estate Funds traded in the Italian market for the time period 1999-2009 and verifies that the assumption of the normality of results is not coherent. Demonstrated the limits of this assumption, the paper compare ranking based on Sharpe ratio with those achieved using different RAP measure constructed using different risk measures. Results obtained demonstrate that rankings obtained are not strictly correlated and measures that do not assume the normality of returns identify rakings that are more stable over time.
keywords Real Estate Funds, Risk Adjusted Performance, Non-normality of return distribution
series ERES:conference
email gianluca.mattarocci@uniroma2.it
more http://www.eres2010.org/index.asp?page=papers_download
content file.pptx (364,868 bytes)
discussion No discussions. Post discussion ...
ratings
session Indirect Real Estate Investment & Portfolio Management
last changed 2010/08/04 20:47
HOMELOGIN (you are user _anon_43503 from group guest) Powered by SciX Open Publishing Services 1.002