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Paper eres2015_62:
Establishing a blended global real estate investment strategy using transaction based indices

id eres2015_62
authors Moss, Alex; Hans Vrensen; Nigel Almond
year 2015
title Establishing a blended global real estate investment strategy using transaction based indices
source 22nd Annual European Real Estate Society Conference in Istanbul, Turkey
summary 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?_
keywords Indices, Global real estate, Investment strategies, Transaction based indices, Blended portfolios
series ERES:conference
type paper session
email alex.moss@consiliacapital.com
content file.pdf (847,024 bytes)
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ratings
session Real Estate Finance & Investment
last changed 2015/07/08 18:06
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