Establishing a blended global real estate investment strategy using transaction based indices
||Moss, Alex; Hans Vrensen; Nigel Almond
||Establishing a blended global real estate investment strategy using transaction based indices
||22nd Annual European Real Estate Society Conference in Istanbul, Turkey
||There has been significant interest over the last three years in combining listed real estate securities with direct or unlisted real estate to provide a “blended” investment solution, which both improves liquidity and optimises risk adjusted returns over the cycle. Following recent work on combining a UK direct portfolio with a global listed portfolio, we have expanded our geographic sample to Asia, Europe, and the US.__Data_We use the new series of transaction based real estate indices provided by DTZ in Europe and Asia, but for the US we use the Moodys CPPI Index._We will use the IPD and NCREIF valuation based indices for the UK, Europe and Asia, respectively_For listed securities we use the EPRA Global developed Index. _Our data covers the period 2002-2014__Purpose_The aim of the study is to answer four questions:_1)_Is the benefit to risk-adjusted returns shown for incorporating global listed real estate securities with a UK direct property fund also apparent if the direct property element comprises European, Asian, and/or US assets?_2)_How does the performance impact change over the cycle?_3)_Is there a benefit to using transaction rather than appraisal based indices for the US and Europe? _4)_Do the results alter materially if global real estate securities funds data is used rather than the EPRA Index?_
||Indices, Global real estate, Investment strategies, Transaction based indices, Blended portfolios
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||Real Estate Finance & Investment
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