Using a variation of the Nelson-Siegel term structure model we examine the sensitivity of real estate securities in six key global markets to unexpected changes in the level, slop and curvature of the yield curve. Our results confirm the time-sensitive nature of the exposure and sensitivity to interest rates and highlight the importance of considering the entire term structure of interest rates. One issue that is of particular of interest is that despite the 2007-9 financial crisis the importance of unanticipated interest rate risk weakens post 2003. Although the analysis does examine a range of markets the empirical analysis is unable to provide definitive evidence as to whether REIT and property-company markets display heightened or reduced exposure. Keywords securitised real estate, interest rate risk, yield curve modeling * The authors greatly appreciate the comments of the anonymous referees whose comments substantially improved the paper.
Active portfolios can be more concentrated or more diversified than the market portfolio. In the latter case, the result is likely to be a tilt toward equal weights, which has been shown to have a systematic impact on portfolio returns. To capture this tilt, we use the difference between returns on equal-weighted and value-weighted portfolios for the relevant universe; we call this difference Equal-Minus-Value, or EMV. Despite EMV's simplicity, its ability to explain mutual fund returns compares very favorably with that of the most popular performance evaluation factors. We therefore argue that EMV should be used in performance evaluation of broad market equity portfolios.
In this paper, we compare returns contained in two widely used databases of UK unit trusts: Morningstar and S&P Micropal. Considering funds for which both sources have data, differences in returns between the databases are considerable and often of sufficient magnitude that they should be of significant concern to researchers. Such data inconsistencies frequently lead to material differences in performance measurement results. We believe that the observed differences raise serious issues with regard to the comparability of results and conclusions of performance studies of UK funds that use different data sets.
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