Written on 22 Jun 2021.
The authors find several attributes to have meaningful explanatory power with respect to such differences in risk and performance. They also find that portfolios of nonlisted real estate investment funds exhibit a substantially lower level of volatility than the average fund in the panel and that 15 SCPIs are enough to capture over 90% of these diversification benefits. Taken together, these results suggest that substantial value can be added by selection and allocation decisions, which could form the basis for a welfare-enhancing open architecture multi-management approach to investment in unlisted real estate investment trusts.
TOPICS: Real estate, developed markets, portfolio construction, performance measurement
Béatrice Guedj is Head of Research & Innovation at Swiss Life Asset Managers (SLAM). She holds a PhD in Quantitative Economics from Centre Recherche Economie et Statistiques. Béatrice has been in the real estate research and strategy fields in Europe for more than 20 years, involved in Real Estate Asset Allocation and Quantitative Research for Institutional Investors and Sovereign Wealth Funds. She was Managing Director of Grosvenor Fund Management in Continental Europe for 12 years. Béatrice remains highly involved in key professional bodies; she is a senior advisor at the Institut de l’Epargne Immobilière et Foncière and a co-manager of the REFINE network of academic research on commercial real estate hosted at Institut Louis Bachelier to promote quantitative research in the property industry
Lionel Martellini is Professor of Finance at EDHEC Business School and Director of EDHECRisk Institute. He has graduate degrees in economics, statistics, and mathematics, as well as a PhD in finance from the University of California at Berkeley. Lionel is a member of the editorial board of the Journal of Portfolio Management and the Journal of Alternative Investments. An expert in quantitative asset management and derivatives valuation, his work has been widely published in academic and practitioner journals and he has co-authored textbooks on alternative investment strategies and fixed-income securities.
Shahyar Safaee is a research director and the head of business development at EDHEC-Risk Institute. He holds master’s degrees in engineering (Ecole des Mines de Saint-Etienne) and financial mathematics (Université Claude Bernard in Lyon). Before joining EDHEC-Risk Institute in 2020, Shahyar was a capital markets professional with a 20-year track record in both sellside and buy-side roles, notably spending 18 years in J.P. Morgan’s Global Equities division in London, Paris, and New York, serving institutional clients in various capacities including quantitative research, trading, fund management, and structuring