Real estate opportunity funds : past fund performance as an indicator of subsequent fund performance
Name
54755601-MIT.pdf
Description
Full printable version
Size
6.51 MB
Format
Adobe PDF
Checksum (MD5)
e6791d9128b4fdccebaa18210a5bc492
Author(s)
Hahn, Cathy C. (Cathy Celia), 1968-
Advisor(s)
David Geltner.
Date Issued
2003
Publisher
Massachusetts Institute of Technology
Abstract
The returns of opportunistic real estate private equity investment funds were tested for evidence of performance persistence between subsequent funds by the same manager. Tests include regression analysis, construction of contingency tables, and calculation of rank correlation coefficients. Tests were based on return data from the period 1991 to 2001 and were similar to those used to analyze performance persistence in other investment vehicles such as mutual funds and hedge funds. Results indicate that manager performance in a given fund is a significant indicator of performance in subsequent funds, but that this persistence accounts for only a limited portion of fund return Gross fund returns exhibit a higher degree of serial correlation than net returns. Other fund characteristics, analyzed in conjunction with previous fund performance, are not shown to be significant indicators of performance.
Description
Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Architecture, 2003.
Includes bibliographical references (leaves 64-66).
Subjects
Architecture.
MIT Department
Massachusetts Institute of Technology. Department of Architecture
Terms of Use
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