Return Attribution for Commercial Real Estate Investment Management

Posted: 21 Mar 1999

See all articles by Youguo Liang

Youguo Liang

Prudential Real Estate Investors

Robert Hess

Prudential Real Estate Investors

David Bradford

Prudential Real Estate Investors

Willard Mcintosh

Prudential Real Estate Investors

Abstract

In this study, we offer a refinement to a return attribution method proposed by the pioneers of return attribution analysis. Returns for the aggregate portfolio are decomposed into selection and allocation contributions as originally presented. We introduce the use of a neutral effect, which aggregates to zero at the portfolio level, that insures proper interpretation of the decomposition of the sector returns of the portfolio into selection and allocation contributions. This refinement is particularly relevant to private real estate investment, where portfolio performance is measured against both an aggregate benchmark and benchmarks for sub-sectors. In addition, we suggest a methodology for performing multi-period attribution analysis. Further, we offer a new presentation format to report both single and multi-period return attributes.

JEL Classification: R00

Suggested Citation

Liang, Youguo and Hess, Robert and Bradford, David and Mcintosh, Willard, Return Attribution for Commercial Real Estate Investment Management. Available at SSRN: https://ssrn.com/abstract=152930

Youguo Liang (Contact Author)

Prudential Real Estate Investors ( email )

8 Campus Drive, 4th Floor
Parsippany, NJ 07054
United States
973-683-1765 (Phone)
973-683-1788 (Fax)

Robert Hess

Prudential Real Estate Investors ( email )

8 Campus Drive, 4th Floor
Parsippany, NJ 07054
United States
973-683-1689 (Phone)
973-683-1788 (Fax)

David Bradford

Prudential Real Estate Investors ( email )

8 Campus Drive, 4th Floor
Parsippany, NJ 07054
United States
973-683-1698 (Phone)
973-683-1788 (Fax)

Willard Mcintosh

Prudential Real Estate Investors ( email )

8 Campus Drive, 4th Floor
Parsippany, NJ 07054
United States
973-683-1793 (Phone)
973-683-1788 (Fax)

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