Post by Sapphire Capital on Jan 13, 2009 3:30:11 GMT 4
Global Securitized Real Estate Benchmarks and Performance
Camilo Serrano Moreno
University of Geneva - Graduate School of Business (HEC-Geneva)
Martin Hoesli
University of Geneva - Graduate School of Business (HEC-Geneva); University of Aberdeen - Business School; Swiss Finance Institute
November 4, 2008
Swiss Finance Institute Research Paper No. 08-39
Abstract:
Choosing an appropriate benchmark is not unproblematic for academics or practitioners. Index construction methodologies vary from index to index as tradeoffs are made between the breadth of market coverage and the investability of the securities in the index. This paper examines the nuances between the most commonly used global securitized real estate benchmarks. A comparison of their construction methodologies, returns, and risk is performed, and the correlations between the various benchmarks are assessed. The composition of global securitized real estate markets is also analyzed. We conclude that the GPR General Property Share Index and the S&P/Citigroup World Property Index are more appropriate to examine the performance of the market as a whole, while the GPR 250 Property Share Index and the FTSE EPRA/NAREIT Global Real Estate Index are better suited to evaluate portfolio performance.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1304565_code623849.pdf?abstractid=1304565&mirid=3
Camilo Serrano Moreno
University of Geneva - Graduate School of Business (HEC-Geneva)
Martin Hoesli
University of Geneva - Graduate School of Business (HEC-Geneva); University of Aberdeen - Business School; Swiss Finance Institute
November 4, 2008
Swiss Finance Institute Research Paper No. 08-39
Abstract:
Choosing an appropriate benchmark is not unproblematic for academics or practitioners. Index construction methodologies vary from index to index as tradeoffs are made between the breadth of market coverage and the investability of the securities in the index. This paper examines the nuances between the most commonly used global securitized real estate benchmarks. A comparison of their construction methodologies, returns, and risk is performed, and the correlations between the various benchmarks are assessed. The composition of global securitized real estate markets is also analyzed. We conclude that the GPR General Property Share Index and the S&P/Citigroup World Property Index are more appropriate to examine the performance of the market as a whole, while the GPR 250 Property Share Index and the FTSE EPRA/NAREIT Global Real Estate Index are better suited to evaluate portfolio performance.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1304565_code623849.pdf?abstractid=1304565&mirid=3
