Research


Global Real Estate in September 2018

Global Real Estate slowed down as yields across major regions have increased and the 3% US 10-Year Yield barrier has been reached again. [...]

Consilia Capital: Real Assets Fund Monitor Aug-2018

This month's Real Assets Fund Monitor paper is divided into the following sections: (1) a summary of August performance, (2) Fund Flows, (3) All Change in REIT Land – Thoughts from the EPRA conference, (4) Focus : Listed and Unlisted Real Estate Performance in European Pension Funds and (5) Detailed performance statistics by mandate for August 2018 [...]

Consilia Capital: Real Assets Fund Monitor Nov-2017

This month's Real Assets Fund Monitor paper is divided into the following sections: (1) a summary of November performance by fund mandate and size, (2) a summary of YTD 2017 performance by fund mandate and size, (3) focus: Sustainable Real Estate Indices and (4) detailed performance statistics by mandate for November 2017. [...]

Reitsmarket: Q3 Quantitative Research Report

Reitsmarket released its Q3 Quantitative Research Report. This report provides quantitative analyses of the REITS market globally. Reitsmarket shares performance and risk figures but also focuses on factor analysis in particular. We hope the information is useful. All comments are welcome via info@rego-partners.com. [...]

Consilia Capital: Real Assets Fund Monitor Sep-2017

This month's Real Assets Fund Monitor paper is divided into the following sections: (1) a summary of September performance by fund mandate and size, (2) a summary of Q3 2017 performance by fund mandate and size, (3) focus: Smart Beta/Multi-factor Strategies for REIT Funds and (4) detailed performance statistics by region for September 2017. [...]

Consilia Capital: Research Compendium 2016

This paper packages the research element of the monthly research papers provided by Consilia Capital into a separate document, which can be used as a standalone reference piece. Consilia Capital has produced this document upon client's requests which highlights the key papers featured in 2016, and groups them into topic areas, so that they can be easily read and referenced. [...]

Liquidity in global real estate securities markets: A cyclical and regional analysis pre, during and post GFC

The purpose of this paper is to test the relationship between liquidity in listed real estate markets, company size and geography during different market cycles, specifically pre-crisis (2002-2006) and post-crisis (2010-2014). Further, the study analyses the impact of stock liquidity on stock performance. Findings confirm previous studies that market liquidity factors are correlated globally over time indicating markets interdependence. [...]

Can sector specific REIT strategies outperform a diversified benchmark?

There have been a lot of attempts by both practitioners and academics to develop a repeatable and consistent investment strategy that can outperform a relevant benchmark in absolute terms, whilst minimising the associated risk measures, be it volatility or maximum drawdown, to deliver superior risk-adjusted returns. In this paper two specific elements have been examined relating to the performance of portfolios of specialist REITs compared to that of a diversified benchmark. [...]

Real Estate Company Reactions to Financial Market Regulation

This study investigates the impact of international financial regulation on listed real estate companies. In particular, we look at how three regulatory reforms undertaken in the aftermath of the global financial crisis have affected returns and credit default swap (CDS) spreads of real estate companies. The results show that, on average, market participants trading real estate equities and CDSs respond significantly to announcements about Basel III, AIFMD and EMIR, however, we observe differences across the countries, the types of companies and across the regulations. [...]

Blending spezialfonds and global listed real estate

This paper seeks to increase the understanding of the performance implications for investors who choose to combine an unlisted real estate portfolio (in this case German Spezialfonds) with a (global) listed real estate element. We call this a “blended” approach to real estate allocations. Findings are that by blending a 30% global listed portfolio with a 70% allocation (versus a 100% weighting) to Spezialfonds, the real estate allocation returns increase. Also volatility increases, but there is a noticeable impact on maximum drawdown. [...]

Trend Following And Momentum Strategies For Global REITs

This study investigates whether the risk-adjusted returns of a global REIT portfolio would be enhanced by adopting a trend following global strategy, a momentum-based strategy, or a combination of the two. The paper concludes that a combined momentum and trend following global REIT strategy can be beneficial for both a dedicated REIT portfolio and adding REITs to a multi-asset portfolio. [...]

The performance of a blended real estate portfolio for UK DC investors

The purpose of this paper is to provide a better understanding of the performance implications for UK DC pension fund investors who choose to combine global listed and UK unlisted real estate in a blended allocation relative to a pure unlisted solution. A UK DC pension fund investor choosing to construct a blended global listed and UK unlisted real estate portfolio would have experienced material return enhancement relative to a pure unlisted solution. [...]

Blending public and private real estate allocations for defined contribution pension funds: a UK case study

This paper analyzes the implications of combining public real estate with a direct real estate allocation. Using an actual fund rather than index data, the historic performance of blended portfolios has been simulated and the resulting risk and return characteristics analyzed. The results show that the public real estate component has been accretive to performance in blended real estate portfolios. [...]

Asia Pacific Listed Real Estate: A Conceptual Performance Analysis

This paper seeks to provide a better understanding of the performance of listed Asia Pacific real estate, the factors which determine this performance and current and potential roles and applications within portfolio management. Throughout this paper we focus primarily on the Asia Pacific region, that is Asia plus Australia and New Zealand. [...]

The performance implications of adding global listed real estate to an unlisted real estate portfolio: A case study for UK Defined Contribution funds

This paper seeks to provide a better understanding of the performance implications for investors who choose to combine listed real estate with an unlisted real estate allocation. Specifically, it provides a detailed investor level analysis of the impact of combining UK unlisted fund and global listed real estate fund exposures to satisfy the requirements of a real estate allocation in a UK DC Pension fund. [...]

The impact of liquidity on the valuation of European real estate securities

The purpose of this paper is to test the hypothesis that the valuations of European real estate securities are, in part, determined by the relative liquidity in the companies’ shares. Tests have shown that the key discriminating variable that drives companies’ liquidity and valuations is market capitalisation. [...]

Are listed real estate stocks managed as part of the real estate allocation?

Until now, there has been little work published regarding the behavioural or institutional aspects of incorporating listed real estate into an investment strategy. To rectify this gap, two pieces of research have been undertaken for EPRA. The first paper was published in March 2013. This second piece of work is a logical extension and concentrates on survey evidence examining whether or not listed real estate is managed as part of the overall institutional real estate allocation. [...]

The use of listed real estate securities in asset management

The purpose of this study is twofold: (i) to conduct a review of academic literature and evidence on the use and performance of listed real estate, both as a separate asset class and in multi-asset portfolios, and (ii) to examine in detail how institutions are using listed real estate to achieve their investment objectives, and the role listed real estate is playing in the new fund structures they are creating to meet investor objectives. [...]