Sources of Alpha and Beta in Property Funds

Andrew Baum () and Kieran Farrelly
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Andrew Baum: Department of Real Estate & Planning, University of Reading Business School

Real Estate & Planning Working Papers from Henley Business School, University of Reading

Abstract: This paper examines issues related to potential analytical performance systems for global property funds. These will include traditional attribution methods but will also cover the performance concepts of alpha and beta widely used in other asset classes. We look at issues including...what creates beta, and what drives alpha in real estate investment? How can it be measured and isolated? How do these concepts relate to traditional attribution systems? Can performance records and performance fees adequately distinguish between these drivers? In this paper we illustrate these issues by reference to a case study addressing the complete performance record of a single unlisted fund.

Keywords: unlisted property funds; performance attribution (search for similar items in EconPapers)
Pages: 22 pages
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:rdg:repxwp:rep-wp2008-06

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