Return Attribution for Commercial Real Estate Investment Management

Youguo Liang, Robert Hess, David Bradford and Willard McIntosh

Journal of Real Estate Portfolio Management, 1999, vol. 5, issue 1, 23-30

Abstract: Executive Summary. In this study, we offer a refinement to a return attribution method proposed by the pioneers of return attribution analysis. Returns for the aggregate portfolio are decomposed into selection and allocation contributions as originally presented. We introduce the use of a neutral effect, which aggregates to zero at the portfolio level, that insures proper interpretation of the decomposition of the sector returns of the portfolio into selection and allocation contributions. This refinement is particularly relevant to private real estate investment, where portfolio performance is measured against both an aggregate benchmark and benchmarks for sub-sectors. In addition, we suggest a methodology for performing multi-period attribution analysis. Further, we offer a new presentation format to report both single and multi-period return attributes.

Date: 1999
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DOI: 10.1080/10835547.1999.12089564

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