IDEAS home Printed from https://ideas.repec.org/p/arz/wpaper/eres2011_283.html
   My bibliography  Save this paper

The impact of real estate portfolio composition on the Italian real estate funds performance

Author

Listed:
  • Marisa Gigante

Abstract

In Italy the criteria for selecting real estate investments are subjects of discussion between practitioners and academics, also because the Italian real estate funds have grown considerably in recent years in terms of both asset under management size and of number of funds. The aim of paper is to investigate the investment policies and composition choices of Italian retail funds portfolio, looking at the impact on funds performance measured through the Sharpe ratio, widely used in real estate literature. In literature there are a large number of studies that deal with portfolio composition choices and how these have an impact on real estate funds performance (Morri and Erbanni 2008, Baum and Steffan 2009), measured with several Risk adjusted performance indicators such as Sharpe ratio, Treynor ratio, etc. ( Plantinga and de Groot 2001, Scholz and Wilkens 2005, Bacon, 2010 ). The theme of real estate vehicles performance has been widely dealt with at European level (Otten and Bams 2002, Grau-Carles et al. 2009, Giannotti and Mattarocci 2010, Lee and Morri 2009). This paper collocates in these studies, in particular it has drawn on from this latter, since it takes into account the main components of the investment (properties), but differs with reference to the existing literature in considering only patrimonial aspect related to funds investment policies, and the residual investment, trying to prove whether this may affect the fundís performance examined. By using a data set with annual and half-yearly data provided by ìReport of Scenari Immobiliariî, it has been examined a sample of 19 Italian retail funds over the period 2006-2009. The trend of the estimated coefficients has been studied using a multiple cross-section analysis in order to verify whether the weight of several variables changed over time. It has been possible to extract useful information about the relationships between real estate portfolio composition choices and Italian retail funds performance. Indeed, analyzing the geographical and sectorial portfolio composition, the Italian funds tend to the specialization and not to the diversification, mainly investing in properties with target use in office and retail which are located in Northwest and Central areas rather than in the South and in the Islands. The study on the portfolio composition choices has been completed with the analysis of liquidity and bonds that appear to have a lower incidence in the investment policies of the retail funds and then on their performance.

Suggested Citation

  • Marisa Gigante, 2011. "The impact of real estate portfolio composition on the Italian real estate funds performance," ERES eres2011_283, European Real Estate Society (ERES).
  • Handle: RePEc:arz:wpaper:eres2011_283
    as

    Download full text from publisher

    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2011-283
    Download Restriction: no

    File URL: https://eres.architexturez.net/system/files/pdf/eres2011_283.content.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. repec:arz:wpaper:eres2010-129 is not listed on IDEAS
    2. Giacomo Morri & Stephen Lee, 2008. "The Performance Of Italian Real Estate Funds," ERES eres2008_212, European Real Estate Society (ERES).
    3. repec:dgr:rugsom:01e57 is not listed on IDEAS
    4. Plantinga, Auke & Groot, Sebastiaan de, 2001. "Risk-adjusted performance measures and implied risk-attitudes," Research Report 01E57, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    5. Claudio Giannotti & Gianluca Mattarocci, 2007. "Risk Diversification in a Real Estate Portfolio: Evidence from the Italian Market," ERES eres2007_286, European Real Estate Society (ERES).
    6. repec:arz:wpaper:eres2010-074 is not listed on IDEAS
    7. Peter Byrne & Stephen Lee, 2010. "Sector, Region Or Function? A Mad Reassessment Of Real Estate Diversification," ERES eres2010_074, European Real Estate Society (ERES).
    8. Claudio Giannotti & Gianluca Mattarocci, 2013. "The Role of Risk Measures Choices in Ranking Real Estate Funds: Evidence from the Italian Market," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Alessandro Carretta & Gianluca Mattarocci (ed.), Asset Pricing, Real Estate and Public Finance over the Crisis, chapter 10, pages 165-189, Palgrave Macmillan.
    9. John Glascock & Lynne Kelly, 2007. "The Relative Effect of Property Type and Country Factors in Reduction of Risk of Internationally Diversified Real Estate Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 34(3), pages 369-384, April.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Marisa Gigante, 2012. "The incidence of real estate portfolio composition choices on funds performance: Evicence from the Italian market," ERES eres2012_186, European Real Estate Society (ERES).
    2. Mansley, Nick & Tse, Tiffany Ching Man & Wang, Zilong, 2020. "Risk classification of Asian real estate funds and their performance," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
    3. Geoff Willcocks, 2009. "UK Housing Market: Time Series Processes with Independent and Identically Distributed Residuals," The Journal of Real Estate Finance and Economics, Springer, vol. 39(4), pages 403-414, November.
    4. Pierpaolo Pattitoni & Barbara Petracci & Massimo Spisni, 2011. "Fee Structure, Financing, and Investment Decisions: The Case of REITs," Working Paper series 30_11, Rimini Centre for Economic Analysis.
    5. Paul Gallimore & J. Andrew Hansz & Wikrom Prombutr & Ying Zhang, 2014. "Long-term Cointegrative and Short-term Causal Relations among U.S. Real Estate Sectors," International Real Estate Review, Global Social Science Institute, vol. 17(3), pages 359-394.
    6. Michele Leonardo Bianchi & Agostino Chiabrera, 2012. "Italian real estate investment funds: market structure and risk measurement," Questioni di Economia e Finanza (Occasional Papers) 120, Bank of Italy, Economic Research and International Relations Area.
    7. Pedram Sendi, 2021. "Dealing with Bad Risk in Cost-Effectiveness Analysis: The Cost-Effectiveness Risk-Aversion Curve," PharmacoEconomics, Springer, vol. 39(2), pages 161-169, February.
    8. Amporn SOONGSWANG & Yosawee SANOHDONTREE, 2011. "Equity Mutual Fund: Performances, Persistence and Fund Rankings," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, vol. 1(6), pages 1-27, October.
    9. Ricardo Pereira, 2007. "The Cost Of Equity Of Portuguese Public Firms: A Downside Risk Approach," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(1), pages 7-25.
    10. Claudio Giannotti & Gianluca Mattarocci, 2013. "The Role of Risk Measures Choices in Ranking Real Estate Funds: Evidence from the Italian Market," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Alessandro Carretta & Gianluca Mattarocci (ed.), Asset Pricing, Real Estate and Public Finance over the Crisis, chapter 10, pages 165-189, Palgrave Macmillan.
    11. Tumellano Sebehela, 2016. "Portfolio Formation Memory," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 1-16, June.
    12. Hammadi Zouari, 2022. "On the Effectiveness of Stock Index Futures for Tail Risk Protection," International Journal of Economics and Financial Issues, Econjournals, vol. 12(3), pages 38-52, May.
    13. Leonard Daniel Lin, 2013. "Do Specialised REITs Outperform Diversified REITs during the Credit Crunch?," ERES eres2013_3, European Real Estate Society (ERES).
    14. Hałaj, Grzegorz, 2013. "Optimal asset structure of a bank - bank reactions to stressful market conditions," Working Paper Series 1533, European Central Bank.
    15. Robert Edelstein & Wenlan Qian & Desmond Tsang, 2011. "How Do Institutional Factors Affect International Real Estate Returns?," The Journal of Real Estate Finance and Economics, Springer, vol. 43(1), pages 130-151, July.
    16. David Ho & Kwame Addae-Dapaah & John Glascock, 2015. "International Direct Real Estate Risk Premiums in a Multi-Factor Estimation Model," The Journal of Real Estate Finance and Economics, Springer, vol. 51(1), pages 52-85, July.
    17. Nafeesa Yunus, 2019. "Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis," The Journal of Real Estate Finance and Economics, Springer, vol. 58(2), pages 264-289, February.
    18. Kim Hiang Liow, 2010. "Integration among USA, UK, Japanese and Australian securitised real estate markets: an empirical exploration," Journal of Property Research, Taylor & Francis Journals, vol. 27(4), pages 289-308, February.
    19. Zhang, Hanxiong & Auer, Benjamin R. & Vortelinos, Dimitrios I., 2018. "Performance ranking (dis)similarities in commodity markets," Global Finance Journal, Elsevier, vol. 35(C), pages 115-137.
    20. Paul Gallimore & J. Andrew Hansz & Wikrom Prombutr & Ying Zhang, 2014. "Long-term Cointegrative and Short-term Causal Relations among U.S. Real Estate Sectors," International Real Estate Review, Asian Real Estate Society, vol. 17(3), pages 359-394.

    More about this item

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arz:wpaper:eres2011_283. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Architexturez Imprints (email available below). General contact details of provider: https://edirc.repec.org/data/eressea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.