Risk classification of Asian real estate funds and their performance

Mansley, Nick; Tse, Tiffany Ching Man; Wang, Zilong

doi:10.1016/j.pacfin.2020.101400

Cited by 6 publications

(12 citation statements)

References 32 publications

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“…Based on US private real estate funds from Burgiss, Fisher and Hartzell (2016) showed that there is no performance difference between value-added and opportunistic funds on average. Using Asian private real estate funds from ANREV, Mansley et al (2020) analysed the performance differences among core, value-added and opportunistic funds. They found no significant difference in returns and systematic risk across funds with different investment strategies but increased specific risk in more opportunistic funds.…”

Section: Related Literaturementioning

confidence: 99%

“…Hence, analysing the difference between these two types of funds allows us to understand the return and risk characteristics of long lease real estate compared to shorter lease real estate. The literature (see, among others, Delfim and Hoesli, 2016;Fuerst et al, 2021;Mansley et al, 2020) typically uses regression analysis to analyse the drivers of performance of real estate funds. Thus, we use the following regression model to examine the difference in performance between long lease funds and balanced funds:…”

Section: Regression Analysismentioning

confidence: 99%

“…All the variable definitions are listed in Appendix. Following Mansley et al (2020) and Fuerst et al (2021), we use ordinary least squares (OLS) regression to estimate the model. Alternative estimation method results and discussion are presented in the robustness check section (Section 6.3).…”

Section: Regression Analysismentioning

confidence: 99%

Section: Related Literaturementioning

confidence: 99%

“…The literature (see, among others, Delfim and Hoesli, 2016; Fuerst et al. , 2021; Mansley et al. , 2020) typically uses regression analysis to analyse the drivers of performance of real estate funds.…”

Section: Performance Drivers Of Long Lease Real Estate and Empirical ...mentioning

confidence: 99%

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Long lease real estate – a revised role for real estate in pension fund portfolios

Mansley

Wang

2021

JPIF

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PurposeLong lease real estate funds (over £15bn in Q3 2020) have emerged as an increasingly important part of UK pension fund real estate portfolios. This paper explores the reasons for their dramatic growth, their characteristics and performance.Design/methodology/approachThis study uses data for the period 2004–2020 collected directly from fund managers and from AREF/MSCI and empirical analysis to explore their characteristics and performance.FindingsPension fund de-risking and regulatory guidance have supported the dramatic growth of long lease real estate funds. Long lease real estate funds have delivered strong risk-adjusted returns relative to both balanced property funds (with shorter lease terms) and the wider property market. This relative performance has been particularly strong when wider property market performance has been weak. Long lease funds have objectives aligned with liability matching and their performance suggests they are lower risk (more bond-like) investments. In addition, our analysis highlights they are far less responsive to the wider property market than balanced funds. However, they are not significantly different from balanced property funds in terms of their short-term relationship with gilt yield movements.Practical implicationsFor pension funds and other investors the paper highlights that long lease real estate funds offer a different exposure than balanced property funds. Long lease funds have objectives more closely aligned to the overall objectives for pension fund investment but are not significantly more reliable than balanced property funds in the short-term as a liability hedge. For real estate fund managers, occupiers, developers and others active in the real estate market, the paper highlights why these funds have been (and are likely to remain) attractive to investors leading to substantial demand for long lease real estate investments.Originality/valueThis is the first study to review this increasingly important part of the UK real estate fund universe.

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Section: Related Literaturementioning

confidence: 99%

Section: Regression Analysismentioning

confidence: 99%