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Non-listed real estate funds: leverage and macroeconomic effects

Franz Fuerst, Wayne T Lim and George Matysiak

Chapter 13 in Papers presented during the Narodowy Bank Polski Workshop: Recent trends in the real estate market and its analysis, 2013, 2013, pp 73-95 from Narodowy Bank Polski, Economic Research Department

Abstract: This research investigates the key drivers of European non-listed real estate funds performance. In particular, it seeks to understand the extent to which stock-selection, management skills, gearing, fund size, competing asset classes and macroeconomic performance contribute to a fund’s total return. Our attribution of fund performance is primarily based on average r eturn data in the m arkets t o w hich t he fund is exposed. Using a proprietary database compiled by INREV covering the period 2001-2012, we analyse the performance characteristics of non-listed funds. Tracking fund performance and its drivers through the years of rapid expansion of the sector, followed by the sharp contraction during the global financial crisis, allows us to establish whether performance drivers have a differential impact during market upturns and downturns. We find that fund performance d uring t he s tudy p eriod w as predominantly driven by the underlying market and sector exposure of a fund, gearing, fund size, GDP growth, and competing asset classes.

Keywords: real estate; private equity; non-listed funds; leverage; macroeconomic effect (search for similar items in EconPapers)
Date: 2013
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