Determinants of private real estate fund performance, 2004-2010 : the roller coaster ride
Author(s)Gallinaro, Andrew (Andrew Joseph)
Massachusetts Institute of Technology. Center for Real Estate. Program in Real Estate Development.
David M. Geltner.
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The National Council of Real Estate Investment Fiduciaries (NCREIF) real estate fund database was analyzed for the time period 2004-2010. Real Estate funds were grouped in to three categories: core, value-add and opportunistic. The thesis explores several possible determinants of fund performance during the time period which was examined. Ultimately, the analysis indicates that there was generally no systematic indication that a given fund's characteristic(s) would portend either better or worse performance. The analysis did however yield the conclusion that in general core funds displayed a negative correlation between returns and leverage ratio. Finally, the thesis demonstrates the material difference in measured absolute and relative performance of opportunity funds when two different metrics are used: Time Weighted Return (TWR) and Internal Rate of Return (IRR).
Thesis (S.M. in Real Estate Development)--Massachusetts Institute of Technology, Program in Real Estate Development in Conjunction with the Center for Real Estate , 2010.Cataloged from PDF version of thesis.Includes bibliographical references (p. 39).
DepartmentMassachusetts Institute of Technology. Center for Real Estate. Program in Real Estate Development.
Massachusetts Institute of Technology
Center for Real Estate. Program in Real Estate Development.