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How Active Is Your Real Estate Fund Manager?

27 Pages Posted: 7 Dec 2013  

Martijn Cremers

University of Notre Dame

Colin Lizieri

University of Cambridge - Department of Land Economy

Date Written: December 1, 2013

Abstract

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

Cremers, Martijn and Lizieri, Colin, How Active Is Your Real Estate Fund Manager? (December 1, 2013). Available at SSRN: https://ssrn.com/abstract=2364143 or http://dx.doi.org/10.2139/ssrn.2364143

K. J. Martijn Cremers (Contact Author)

University of Notre Dame ( email )

P.O. Box 399
Notre Dame, IN 46556-0399
United States

Colin M. Lizieri

University of Cambridge - Department of Land Economy ( email )

19 Silver Street
Cambridge, CB3 9EP
United Kingdom

HOME PAGE: http://www.landecon.cam.ac.uk/staff/profiles/clizieri.htm

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