Real Estate Fund Dispersion and Market Dispersion

Stephen Lee

ERES from European Real Estate Society (ERES)

Abstract: This paper investigates the relationship between the return dispersion of two types of real estate funds (Balanced and Specialist) and the return dispersion of the UK commercial real estate market. Using quarterly data over the period from 2002:Q1 to 2022:Q4, we draw a number of conclusions. First, we find that market dispersion is time varying and dominated by non-market risk. Second, Specialist funds show greater fund dispersion than Balanced funds. Third, when we regress Balanced fund dispersion against market dispersion and the two types of risk, we find that Balanced fund dispersion is significant related to beta risk. In contrast, Specialist display a significant relationship with non-market risk. In other words, Balanced funds offer “beta” performance while Specialist funds offer “alpha” performance. Lastly, the empirical results show that the relationship between market dispersion and real estate fund dispersion is not straight forward, it depends on the type of fund and type of dispersion.

Keywords: Beta risk; Dispersion; Non-market risk; Real Esate Funds (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2024-01-01
New Economics Papers: this item is included in nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2024-022

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