Real Estate Risk and Hedge Fund Returns
Posted: 4 Mar 2016
Date Written: March 1, 2016
Abstract
We explore a new investment dimension relating hedge fund exposure to the real estate market. Using fund level data from 1994 to 2012 from a major hedge fund data vendor, we identify 1,321 hedge funds as having significant exposure to direct or securitized real estate. We test for the economic impact of real estate exposure. Our analysis shows that real estate exposure does not increase fund performance.
Keywords: Hedge funds; Real estate; Perofrmance analysis; Portfolio theory
JEL Classification: G11, G12, R30
Suggested Citation: Suggested Citation
Ambrose, Brent W. and Cao, Charles and D'Lima, Walter, Real Estate Risk and Hedge Fund Returns (March 1, 2016). Journal of Real Estate Finance and Economics, Vol. 52, No. 3, 2016, Available at SSRN: https://ssrn.com/abstract=2740555
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