tailieunhanh - Real Estate Investment Management Part II: Performance Attribution & Evaluation

In this study, we make use of a complete dataset of property trades by institutional-grade REITs who are legally mandated to report such trades to the SEC in their 10-K and 10-Q reports, thus providing both complete trading information and eliminating selection bias. We augment this information with a dataset of property trades made by portfolio managers of private entities, such as commingled real-estate funds, who have legally committed to disclose this information to a private data collector under a strict non-disclosure agreement. We thus are able to identify and analyze individual real estate property holdings and returns for a large set of public and private portfolio. | Chapter 27 Real Estate Investment Management Part II Performance Attribution Evaluation Chapter 27 Learning Objectives What is meant by investment performance attribution at both the macro-property level and the portfolio level How to quantify segment allocation versus asset selection effects in a portfolio s differential performance relative to an appropriate benchmark What is meant by formal quantitative investment performance evaluation and the role of this function in the relationship between investment managers and their investor clients The nature of manager custom benchmarking in the private real estate asset class and how this differs from corresponding practices in the public securities investment industry. Chapter 27 Outline Introduction Macro-level Investment Performance Attribution Macro property level performance attribution Portfolio level performance attribution The use of a benchmark in performance attrib. The case for using mgr alloc wts in the bnchmk Investment Performance Evaluation Benchmarking The basic idea. Benchmarks in the private . asset class Matching evaluation responsibility auth. The problem of statistical significance Implications of the lack of stat. significance Adjusting for risk .