 Measuring the Stability of Performance by Means of the Volatility RatioWillem Keeris and Ruben Langbroek ERES from European Real Estate Society (ERES) Abstract: It is not only the average achieved return-performance that has to meet the demanded return/risk profile of the property and the enterprise goals, but also the underlying yearly returns must reveal a relative stable picture. The reliability of the results is a good indicator for the positioning of the property in the market and the quality of the management. Additionally, it can contribute to ALM-studies and financial engineering at fund level with property derivatives. Currently, the standard deviation is used as a measure for financial risks. Previously, objections were expressed against this measure. Beside these objections, it is proven that the standard deviation is merely a measure of dispersal of returns and not one of volatility. Nevertheless, the standard deviation is generally accepted and frequently used. It is apparent that increased insight in the volatility is necessary. The development of the Volatility ratio meets that need. The starting point of this ratio is the number of years with a confined difference in return between two successive years. The Volatility ratio illustrates to what extent the performance development is stable. This paper describes the theoretical framework on which this ratio is based and presents and explains the newly developed ratio. JEL-codes: R3 (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2007_135 Access Statistics for this paper More papers in ERES from European Real Estate Society (ERES) Contact information at EDIRC. |
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