Geographic Portfolio Allocations, Property Selection and Performance Attribution in Public and Private Real Estate Markets

《Geographic Portfolio Allocations, Property Selection and Performance Attribution in Public and Private Real Estate Markets》

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关键字: MUTUAL FUND PERFORMANCE; REIT RETURNS; RISK; ASSET; STOCK; BENCHMARKS; HOLDINGS; MOMENTUM; SMART

作者单位: [Ling, David C.; Naranjo, Andy] Univ Florida, Warrington Coll Business Adm, Dept Finance Insurance & Real Estate, Gainesville, FL 32611 USA. [Scheick, Benjamin] Villanova Univ, Villanova Sch Business, Dept Finance, Villanova, PA 19085 USA. Ling, DC (reprint author), Univ Florida, Warrington Coll Business Adm, Dept Finance Insurance & Real Estate, Gainesville, FL 32611 USA. E-Mail: ling@ufl.edu; andy.naranjo@warrington.ufl.edu; benjamin.scheick@villanova.edu

摘要: This article examines the effects of geographic portfolio concentrations on the return performance of U.S. public real estate investment trusts versus private commercial real estate over the 1996-2013 time period. Adjusting private market returns for differences in geographic concentrations with public markets, we find that core private market performance falls. Using return performance attribution analysis, we find that the geographic allocation effect constitutes only a small portion of the total return difference between listed and private market returns, whereas individual property selection within geographic locations explains, in part, the documented outperformance of listed versus private real estate market returns.