27 Pages Posted: 7 Dec 2013
Date Written: December 1, 2013
Using a holdings-based measure of active management termed the ‘Segment Active Share,’ the paper documents that commercial real estate portfolios that are more active – i.e., have segment weights which are least like those of the index – have outperformed. Employing proprietary IPD data for 256 U.K. real estate funds over 2002-2011, we find that funds with high Segment Active Share on average outperformed the real estate market by 1.9% per year. These funds do not seem to take increased risk and their outperformance cannot be explained by fund size alone, though on average they are smaller funds.
Keywords: Commercial real estate portfolios, Segment Active Share, holdings
JEL Classification: G11, G12, G20
Suggested Citation: Suggested Citation