Alpha and Persistence in Real Estate Fund Performance

21-05-2011 Alpha and Persistence in Real Estate F…
Scribd
Upload a Document
Search Books, Presentatio Search Documents
Explore
Documents
Books - Fiction
Books - Non-fiction
Health & Medicine
Brochures/Catalogs
Government Docs
How-To Guides/Manuals
Magazines/Newspapers
Recipes/Menus
School Work
+ all categories
Featured
Recent
People
Authors
Students
Researchers
Publishers
Government & Nonprofits
Businesses
Musicians
Artists & Designers
Teachers
+ all categories
Most Followed
Popular
Sign Up
|
Log In
scribd.com/…/Alpha-and-Persistence-… 1/37
6 \` XQkQ^TkEUbcYcdU^SUkY^kGUQ\k: cdQdUk; e^TkEUbV_b] Q^SU
= _g Uf Ub#kdXUkcU\USdY_^k_Vk] _TU\ckV_bkS_^cYTUbQdY_^kYck\Y] YdUTkRi kdXUk\_g kV

_VkdXUkTQdQkcUdk Y^kdXYckSQcUkQ^êQ\kbUdeb^c!%
I g _k] UdX_TckT_] Y^QdUkdXUk\YdUbQdebUk_^kRU^SX] Qb[ Y^W#kSXQbQSdUbYcdYSc
$
RU^SX] Qb[ ckQ^TkbUWbUccY_^$RQcUTkRU^SX] Qb[ c% = _g Uf Ub#kdXUkQ̀ ` \YSQdY_^
Q̀ ` b_QSXkd_kQccUccY^WkbYc[ $QTZecdUTk` UbV_b] Q^SUkV_bkbUQ\kUcdQdUkVe^Tk] Q^
RUU^k\Y] YdUT% kI XUk_ÛkUhSU` dY_^kd_kdXYckXQckRUU^kdXUkUhdU^cYf UkbUcUQbSX
] _TU\ckV_bkbUQ\kUcdQdUk] edeQ\kVe^TckTYcSeccUTkY^kdXUk\YdUbQdebUkbUf YUg kQR_f
6 kSXQbQSdUbYcdYSc$] QdSXUTkQ̀ ` b_QSX#kg XY\UkdXU_bUdYSQ\\i kY^dUbUcdY^W#kYck^_d
g YdXkdXUk` b_` bYUdQbi kTQdQkcUdkQf QY\QR\UkV_bkdXYckcdeTi % k6 \c_kYdkYck^_dkS\
SXQbU
_^kb QW
Sd
bU
UbccY
Ycd_^$
YSckR
cX_e\Tk
QcUTk] R_TU
UkecU Tk
\ckd Y^kccU
_kQ dXUcckb
kc_bYd
c[Y^W
$QkTZ
` becd
_SU
UTeb
Tk` U
U%
bkV
=_b
U]^S
QUkY^k
^S U%dXYckcdeTi k
; _bkdXUk` UbY_Tk( 0/ ( ! ) ' ' - #kdXbUUk] _TU\ck_VkdXUkbUdeb^kY^kUhSUcck_VkdXU
Y^dUbUcdkbQdU% g UbUkY^f UcdYWQdUTkecY^Wk` UbV_b] Q^SUkaeQbdY\UckS_] ` bYcY^WkUQ
S_bbUc` _^TY^WkVe^Tc% k: QSXk_VkdXUcUk] _TU\ckYckTUcSbYRUTkRU\_g 1
( % 6 kcY^W\UkY^TUhk] _TU\k ecY^WkdXUk>E9 kJ ^Yf UbcUkUhSUcckd_dQ\kbUdeb^ckY^
RU^SX] Qb[ !%kI XUGJXFkY^kdXYck] _TU\kcY] ` \i k] UQcebUckdXUkcU^cYdYf Ydi k_Vkd
&
bUdeb^k Y^kUhSUcck_VkdXUkbYc[ $VbUUkbQdU!kd_kdXQdk_VkdXUk>E9 kJ ^Yf UbcU%
)% 6
>E9f UbcY
k_V _^k_V
VYSU#kbkHXQ
UdQY\#bkY
` UckY^TU
^TecdbYQhk] _TU
\kQ^Tkd\k HXQ
XU b` b
_dXU U (k̀00)
b_` !kecY ^WkU
Ubdi kcU hSc%
Sd_b Uk>
cckbUXY
^kddeb
c
Ve^Tk] Q^QWUbckSQ^^_dkW_kcX_bdkY^kdXUk` b_` Ubdi k] Qb[ UdkQ^TkdXUkcUSd_bc
Y^f UcdkY^kQbUkbUQc_^QR\i kTUVYÛT#kdXUkS_UVVYSYU^dck_VkdXUkHXQb` UkY^TUhk]
S_^cdbQYÛTkd_kRUk` _cYdYf UkQ^TkQ\c_kd_kce] kd_k_Û#kdXUbURi kU^cebY^WkdXQd
YckVe\\i kY^f UcdUT%
$. ' 54+ 6=1 3* +0=) ' 2=( +=: 5/77+2=' 6"

8
VUX # U'' & $ UO6OX& "! UX

O#(
& . +5+
UO ' O' # ( ! 8

# 8
O# ( UO# (
Q^T ! YckcUbYQ\\i ke^S_bbU\QdUTkQ^TkTYcdbYRedUTkQckC ' )! %

# 228' 0=+; ) +66=5+78526=32=,82* U=/2=<+' 5 X=' 5+=5 +45+6+27+* =( <=7. +=9' 5
# 228' 0=+; ) +66=5+78526=32=7. +=,385=1 ' /2=5+' 0=+67' 7+=6+) 7356=3,,/) + =5+7' /0=/
' 2* =37. +5=/2=<+' 5 X=' 5+=6. 3: 2=( <=7. +=9' 5/' ( 0+ 6! : . +5+ O=/2* +; +6=6+) 735=7
7. +=737' 0=281 ( +5=3,=6+) 7356!=%. +=,385=+67/1 ' 7+* =) 3+,,/) /+276=,35=,82* U= O
/2=7. /6=1 3* +0=5+45+6+27=' 9+5' - +=4357,30/3=+; 43685+6=,35=7. +=,82* =1 ' 2' - +5
+67/1 ' 7/32=4+5/3* =73=7. +=5+64+) 7/9+=6+) 7356!
$
HUUk 8 XQ^k Udk Q\% k ) ' ' - !k V_bk Qk TUdQY\UTk cebf Ui k _Vk bYc[ $QTZecdUTk RU^SX] Qb[ Y^Wk _Vk Ve^
` UbV_b] Q^SU%
%
I XUkbYc[ $VbUUkbQdUkV_bkUQSXki UQbkYckTUdUb] YÛTkRi kdXUkaeQbdUb\i kQf UbQWUkdXbUU$] _^dXkI bUQceb
&
6 ckUh` \QYÛTkY^ I XUk9 QdQ #kdXUk>E9 kY^TYSUckQbUkTUbYf UTkVb_] kTUdQY\ckf _\e^dQbY\i kceR] YddUTkd_
Ve^TckV_bkRU^SX] Qb[ Y^WkQ^Tk` UbV_b] Q^SUk] UQcebU] U^dkQ^TkQddbYRedY_^%
www.greenwood-management.com Ads by Google
-' H%
6%k7 _^T#
* % 6 k] _TU\kecY^WkbUdeb^ck_^k` eR\YS\i kdbQTUTkcUSebYdYUck dXUk: eb_` UQ^kEe

: cdQdUk6 cc_SYQdY_^kO: EG6 PkY^TUhkQ^TkQkS_b` _bQdUkR_^TkY^TUh!#kQckVQS
] e\dYVQSd_bk ] _TU\%k >^k dXYck SQcUk dXUk S_UVVYSYU^dck _Vk dXUk VQSd_bck
S_^cdbQYÛTkY^kdXUkg Qi kdXUi kg UbUkV_bkdXUkHXQb` UkY^TUhk] _TU\%
>^kQ\\kdXbUUk] _TU\c#kQ\` XQkbU` bUcU^dckdXUk Uh` USdUT!kUhSUcckbUdeb^#kdX

_f UbQ\\kbUdeb^k _f UbkdXUkbYc[ $VbUUkbQdU!k\UcckdXQdkTeUkd_kbYc[ %
k= _g Uf Ub#kRUSQec
VQSd_bckQbUkTYVVUbU^d#kYdckf Q\eUkYck\Y[ U\i kd_kTYVVUbkQSb_cckdXUkdXbUUk] _TU\c%
>^kQ̀ ` \i Y^WkdXUk] _TU\ckYdkYckV_e^TkdXQdkdXUkHXQb` UkY^TUhk] _TU\k e
` b_` Ubdi kcUSd_bc!k` b_f YTUckdXUkXYWXUcdk\Uf U\k_VkUh` \Q^Qd_bi k` _g Ub% kI XYck
QT_` dUTkV_bkdXUkQ^Q\i cYck_VkY^TYf YTeQ\kVe^TkbUdeb^ck_f UbkdU^$i UQbkX_bYj _^c% k=
V_bkVYf U$i UQbkX_bYj _^c#kdXUbUkQbUkY^ceVVYSYU^dkTUWbUUck_VkVbUUT_] kd_kQ̀ ` \i kdX
>^TUhk] _TU\#kc_kg UkecUkdXUkcY^W\U$Y^TUhk] _TU!\#kg XYSXkg Qck^Qbb_g \i kR
V_eb$VQSd_bk] _TU\kY^kdUb] ck_VkW__TÛcck_VkVYdk G di ` YSQ\\i kWbUQdUbkdXQ^k' %
.
Y^YdYQ\kY^f UcdYWQdY_^c%
6 ddbYRedUck_VkEUbV_b] Q^SUkQ^TkEUbcYcdU^SU
6 ckQkVY^Q\kUf Q\eQdY_^k] UQcebUkg UkU] ` \_i kdXUk` UbcYcdU^SUkdUcdk_Vk= U^TbYS
( 00* !kd_kTUdUb] YÛkg XUdXUbkbYc[ $QTZecdUTk` UbV_b] Q^SUkV_bkUQSXkVe^TkY^kdX
` UbY_TkYckQk` bUTYSd_bk_VkbYc[ $QTZecdUTk` UbV_b] Q^SUkY^kdXUkUf Q\eQdY_^k` UbY_
dXYckdUcdkXQckRUU^kSbYdYSYj UTkRi k8 QbXQbdk ( 00. !kRUSQecUk_VkdXUk` _dU^dYQ\kUS_
` b_R\U] ck_VkecY^WkQk` bUf Y_ec\i kUcdY] QdUTkf QbYQR\UkY^kQkcUS_^TQbi kbUWbUccY_
c_] Uk Y^deYdYf Uk Q̀ ` UQ\k Q^Tk Yck Y^S\eTUTk Q\_^Wk g YdXk Qk bQ^WUk _Vk _dX
SXQbQSdUbYcdYSc% kI XYckbUWbUccY_^kYckY^dU^TUTkd_kY^f UcdYWQdUkg XUdXUbkQî k[ ^_
SXQbQSdUbYcdYSckSQ^kRUkecUTkd_k` bUTYSdkceRcUaeU^dkVe^Tk` UbV_b] Q^SU% k>
bUWbUccY_^k XQTk cdb_^Wk Uh` \Q^Qd_bi k ` _g Ub#k Ydk ] Qi k RUk ` _ccYR\Uk d_k T
` b_VYdQR\UkdbQTY^WkcdbQdUWi kV_bk` YS[ Y^Wkd_` k` UbV_b] Y^WkVe^Tc%kB _bUkTYcSe
dXYckQ̀ ` b_QSXkYckY^S\eTUTkY^ EUbV_b] Q^SU#k6 \` XQkQ^TkEUbcYcdU^SUkY^kJ @
; e^TkB Q^QWU] U^d %
8 A>Q- : K:
I XYckcUSdY_^kY^db_TeSUckdXUkc_ebSUk_VkdXUkTQdQkecUTkY^ EUbV_b] Q^SU#k6

EUbcYcdU^SUkY^kJ @kEb_` Ubdi k; e^TkB Q^QWU] U^d d_kQ^Q\i cUkdXUk` UbcYcdU^SUk_
` UbV_b] Q^SUkQ^TkdXUkSXQbQSdUbYcdYSck_VkdXUkcQ] ` \Uk_VkTQdQkecUT%k>dkQ\c_kS_^
UhdU^dk_VkQî kRYQckQcc_SYQdUTkg YdXkdXUkTQdQ%
I XUk>E9 k; e^Tk9 QdQRQcU
>^kS ] ] ^kg YdXk] cdkcdeTYUck VkdXYckdi ` U#k ebkQ^Q\i cYckV SecUck ^kdXUk` Ub
> kS_] ] _ kg YdXk] _cdkcdeTYUck_VkdXYckdi U#k_ebkQ Q\i cYckV_SecUck_ kdXUk Ub
_Vkc` USYVYSkVe^TckbQdXUbkdXQ^kVe^Tk] Q^QWU] U^dkX_ecUck_bkY^TYf YTeQ\kVe^Tk]
>^kT_Y^WkdXYc#kYdkTbQg ck_^kdXUkbUS_bTckS_\\QdUTkRi kdXUk>^f Ucd] U^dkEb_` Ubdi k
>E9 !kcY^SUk( 0/ ( %
k; e^Tckf _\e^dQbY\i kceR] YdkdXUYbkTUdQY\ckd_kdXUk>E9 kV_bkY^T
` UbV_b] Q^SUk] UQcebU] U^dkQ^TkRU^SX] Qb[ Y^W% kI XUk>E9 k ) ' ' . !kUcdY] QdU
bUS_bTckS_f Ubk, , k_Vk` b_VUccY_^Q\\i k] Q^QWUTkY^f Ucd] U^dk` b_` Ubdi kY^kdXUk
TUVY^YdY_^k UhS\eTUc#k Q] _^Wcdk _dXUbc#k c] Q\\k ` bYf QdUk \Q^T\_bTc#k _g Ûb$

` b_` UbdYUc#kQ^TkVe^TckdXQdk_g ^kdXUk_` UbQdY^WkRecYÛcckQckg U\\kQckdXUk` b_`
X_dU\c#kX_c` YdQ\c!%
E_dU^dYQ\kRYQcUckY^kceSX ] Q^QWUbke^Yf UbcU kY^TYSUckQbUkg YTU\i k^_d
` bQSdYdY_ÛbkQ^TkQSQTU] YSk\YdUbQdebU% k>^kdXUk>E9 ckTQdQRQcU#kceSXkRYQcUck] Q
` _cYdYf UkQ^TkÛWQdYf U" V_bkUhQ] ` \U#kbUce\dY^WkVb_] kc_] UkS_\\USdYf Uk
` b_VUccY_^Q\\i k] Q^QWUTkVe^TckQTTk_b#kQ\dUb^QdYf U\i #kVb_] kdX_cUkg X_
RU^SX] Qb[ Y^Wk ceSXkQck_` ` _bde^YcdYSk_bkQRc_\edUkbUdeb^kVe^Tc!% k>^kdXYck\Qd
= QX^kUdkQ\ ck ) ' ' , !kS_^S\ecY_^kdXQdkc_] UkJ HkbUQ\kUcdQdUk_` ` _bde^Ydi kVe^T
` UbcYcdU^d\i k_ed$` UbV_b] kYck^_dQR\U%
I XUkXYcd_bYUck_VkVe^TckÛg \i kU^dUbY^WkdXUkTQdQRQcUk] Qi kRUkbUdb_c` USdYf U
HY] Y\Qb\i #kdXUkXYcd_bYSkbUS_bTck_VkVe^TckUh` YbY^WkQbUkQ\c_kbUdQYÛTke` kd_kdXUY
SQ\U^TQbki UQb% k; e^Tc Uh` YbU k^_dk_^\i kg XU^kdXUi kg Y^Tke` kRedkQ\c_kg XU^kdX
_bkc` \Yd#kdXUk` _bdV_\Y_k] Q^QWU] U^dkS_] ` Qî kSXQ^WUc#k_bkg XU^kdXUbUkYckQkc
SXQ^WUkd_kdXUk^Q] Uk_VkdXUkVe^T% kJ ^V_bde^QdU\i kdXUkTQdQRQcUkT_Uck^_dkYT
bUQc_^kg Xi kVe^Tckg Y^Tke` %
I XUk>E9 k` UbV_b] Q^SUkTQdQkbU\QdUkd_kdXUke^TUb\i Y^Wk` b_` Ubdi kQccUdckQ^
bUc` USdkQbUke^WUQbUTk e^\Uf UbUT!%k= _g Uf Ub#kVe^Tc kUh` _cebUckd_kY^TYbUSdk
g XYSXk] Qi kRUkWUQbUTk \Uf UbUT!#kceSXkQck` b_` Ubdi ke^Ydkdbecdc#kG: >I ckUdS#
Y
Y^S
^S\eTU
\eTUT%
TkY kEb
^kd_` UbdidQ
XUkTQ ke^Ydkd
RQcUkRbecd
ed c#
#kY kG:
^kd >I ]ckQ
XUkcQ ^Tk_d
Ukg Qi kQXUbk\Y
ck_dXUcd
UTk`
bk` _bdVb_\Y
_`_c#
Ubdkd
i kS_] d`Q
XUkTQ
dXUke^\Uf UbUTk` UbV_b] Q^SUck_VkdXUke^TUb\i Y^Wk` b_` Ubdi kQccUdc%
GUdeb^ckQbUk] UQcebUTkÛdk_Vk` b_` Ubdi k] Q^QWU] U^dkS_cdck \UddY^W#kbU^
Q^TkWUÛbQ\k` b_` Ubdi k] Q^QWU] U^dkS_cdc!% k= _g Uf Ub#kdXUi kT_k^_dkdQ[ UkQS
Ve^Tk] Q^QWU] U^dkS_cdc#kV_bkg XYSXk^_kUcdY] QdUckQbUkQf QY\QR\U% k; _bkQ
RQ\Q^SUTkVe^T#kY^dUbf YUg ckg YdXkY^f Ucd_bckQ^TkY^f Ucd] U^dkS_^ce\dQ^dckceW
Ve^Tk ] Q^QWU] U^dk S_cdck QbUk di ` YSQ\\i k Y^k dXUk bQ^WUk ) , ! +' k RQcYck ` _Y
` UbV_b] Q^SU$bU\QdUTk VUUck Y^SbUQcY^Wk Q^Tk \Ucck S_] ] _^\i !k bUTeSY^Wk dX
] QbWY^Q\\i % kDdXUbkdXQ^kdXYck] QbWY^Q\kUVVUSdkVb ] k` UbV b] Q^SU$bU\QdU12/37
scribd.com/…/Alpha-and-Persistence-…
TkVU
] QbWY^Q\\i %kDdXUbkdXQ^kdXYck] QbWY^Q\kUVVUSdkVb_] k UbV_b] Q^SU$bU\QdUTkVU
f YUg ckg YdXkY^f Ucd_bckceWWUcdkdXQdkdXUkRUcdkVe^Tk] Q^QWUbckSXQbWUk_^\i k]
XYWXUbkVUUck , ! ( ' kR` c!%
I XUkWb_g Y^Wkê] RUbk_Vkc` USYQ\Ycdkf UXYS\UckQ^Tkf Q\eU$QTTUTkVe^Tck
QSS_e^dY^WkV_bkQR_edk( + k_VkVe^Tc#kcdY\\kY^kdXUk] Y^_bYdi !kdU^Tkd_kSXQbW
XYWXUbkRQcUkVUUckdXQ^kdXUkWUÛbQ\kVe^Tc2k` UbV_b] Q^SU$bU\QdUTkVUUckQbUkQ\c_ke^
d_kRUkXYWXUb%kHebf Ui ckRi kdXUk: eb_` UQ^k6 cc_SYQdY_^kV_bk>^f Ucd_bckY^kC_^$\Y
: cdQdUkKUXYS\Uck >CG: K!#kceWWUcdkdXQdkVe^Tk] Q^QWU] U^dkVUUckV_bkf Q\e
Ve^TckQ
< Yf Ub^kd
Uk]XYQbWY^Q
ckc] \\i kXY
Q\\kf W
QXU
QbY bkQd^kV
dY_^kY kQbU
_e^Tk- ' kR`cd
UckQ] _^W c%
kdXUkdi ` Uk_VkVe^TckY^kdXUk>E9 k
g UkT_k^_dkRU\YUf UkdXUkY^QRY\Ydi kd_kÛdkVe^Tk] Q^QWU] U^dkVUUck_edk_Vk_ebkUcd
bU\QdYf Uk` UbV_b] Q^SUkQ^TkQ\` XQkg Y\\kcYW^YVYSQ^d\i kQ\dUbk_ebkS_^S\ecY_^c%
F eQ^dYVi Y^Wk; e^TkQ^Tk7 U^SX] Qb[ kEUbV_b] Q^SU
>^kS_^dbQcdkd_k>E9 k` bQSdYSU#kY^kdXYckcdeTi kVe^TckQbUkS_] RYÛTk_^kQ^ke^g UYWX

d_kV_b] kcQ] ` \UkQf UbQWUc%kI XYckYckS_^cYcdU^dkg YdXkdXUkQ̀ ` b_QSXUckQT_` dUTkY^kc
_dXUbkQccUdkS\QccUckQ^TkdbUQdckUQSXkVe^TkUaeQ\\i #kQf _YTY^WkRYQcUckRb_eWXdk
TYVVUbU^SUckY^kcYj U%
www.greenwood-management.com Ads by Google
-) H%
6%k7 _^T#
6 \\kVe^TckY^kdXUk>E9 kTQdQRQcUkQbUkY^S\eTUTkY^kdXUkQ^Q\i cYcke^dY\kdXUi kUh` Y

dXUkS_^TYdY_^kdXQdkdXUi kQbUkY^kUhYcdU^SUkV_bkdXUkTebQdY_^k_VkQkaeQ\YVi Y^Wk` U
dXUkbQ^[ Y^Wk` UbY_TkTUVYÛTkRU\_g !%
GU\QdYf Uk` UbV_b] Q^SUck_VkVe^TckQWQY^cdkdXUkRU^SX] Qb[ kQbUkSQ\Se\QdUTkY^k
dXUk>E9 ck] UdX_T_\_Wi #kY% U%kQckdXUkbQdY_k_VkdXUkVe^TkbUdeb^kd_kdXUkRU^SX] Q
GQ^[ Y^WkQ^Tk: f Q\eQdY_^kEUbY_Tc
I XYckQ^Q\i cYckYckRQcUTk_^kVe^Tk` UbV_b] Q^SUk_f UbkdXbUU#kVYf UkQ^TkdU^$i UQb

EUbV_b] Q^SUk_f Ubk_Ûk` QbdYSe\Qbk` UbY_TkYckdXU^kS_] ` QbUTkg YdXkdXUkV_\\_g Y^
I XUkY^YdYQ\k` UbY_TkYckdUb] UTkdXU VFSPNSLÛJVNTI kdXUkV_\\_g Y^Wk_ÛkdXU J
UJVNTI ! >^kd_dQ\#k( ) kcUdck_VkTQdQkQbUkUhQ] YÛT1
Ûk Udk VkdU^$i
scribd.com/…/Alpha-and-Persistence-… UQbkTQdQk ( 0/ ( 00 kbQ^[ Y^Wk` UbY Tkf k( 00 ) ' '13/37
kU
_ÛkcUdk_VkdU^$i UQbkTQdQk ( 0/ . ! ( 00- kbQ^[ Y^Wk` UbY_Tkf ck( 00. ! ) ' ' - kU
` UbY_T!2
V_ebkcUdck_VkVYf U$i UQbkTQdQk ( 0/ ) ! ( 0/ - kf ck( 0/ . ! ( 00( #k( 0/ . ! ( 00( kf ck( 0
( 00) ! ( 00- kf ck( 00. ! ) ' ' ( #k( 00. ! ) ' ' ( kf ck) ' ' ) ! ) ' ' - !2kQ^T#
cUf U^kcUdck_VkdXbUU$i UQbkTQdQk ( 0/ * ! ( 0/ , kf ck( 0/ - ! ( 0/ / #k( 0/ - ! ( 0/ / k
( 00( #k( 0/ 0! ( 00( kf ck( 00) ! ( 00+#k( 00) ! ( 00+kf ck( 00, ! ( 00. #k( 00,
( 00/ ! ) ' ' ' #k( 00/ ! ) ' ' ' kf ck) ' ' ( ! ) ' ' * #kQ^Tk) ' ' ( ! ) ' ' * kf ck) ' ' +! ) ' ' -
; e^TckQbUkbQ^[ UTkY^d_kaeQ^dY\Uck c` USYVYSQ\\i kaeQbdY\UckQ^TkTUSY\Uc!kQSS
dXUYbk` UbV_b] Q^SUk_f UbkUQSXkbQ^[ Y^Wk` UbY_TkQ^TkUQSXkUf Q\eQdY_^k` UbY_T%
kEUb
_VkdXUkcUdk_VkVe^TckY^kUQSXkaeQ^dY\UkYckSQ\Se\QdUTkQckdXUke^g UYWXdUTkVe^TkQ
6 kRU^SX] Qb[ kbUdeb^kV_bkQ\\kdXUkdXbUU#kVYf U#kQ^TkdU^$i UQbk` UbY_TckYckSQ\Se\Qd
Q^êQ\k Qf UbQWUk _Vk dXUk e^g UYWXdUTk Qf UbQWUk _Vk Q\\k Ve^Tck Y^k dXUk cQ] `
Y^f UcdYWQdY_^%
kHeSXkRU^SX] Qb[ ckg Y\\kTYVVUbkd_kdXUk>E9 kJ ^Yf UbcU#k` bY] QbY\i
dXYckcdeTi kT_Uck^_dkY^S\eTUkQ\\kVe^TckY^kUQSXk` UbY_TkQ^TkRUSQecUkVe^TkbU
e^g UYWXdUT%
; e^TkCe] RUbc#k6 ddbYdY_^#k8 bUQdY_^kQ^Tk7 YQc
EbUf Y_eckcdeTYUck_Vk` UbcYcdU^SUkY^k_dXUbkQccUdkS\QccUck cUU#kV_bkUhQ] ` \Uk8 QbX

) ' ' ) !kXQf UkYTU^dYVYUTkdXUkcebf Yf _bcXỲ kRYQckWUÛbQdUTkRi kUhS\eTY^WkVe^
ceRcUaeU^d\i TYU % kI XYckcdeTi k\Y] Ydckcebf Yf _bcXỲ kRYQckRi kY^S\eTY^Wkc_
g XYSXkceRcUaeU^d\i kUh` YbU% k= _g Uf Ub#kc_] UkRYQckcdY\\k] Qi kUhYcdk_^kQSS_e
V_\\_g Y^W1
( % ; e^TckQbUkUhS\eTUTkQdkdXUk_edcUdkYVkdXUi kT_k^_dkcebf Yf UkdXb_eWX_edkdXU

dXUkbQ^[ Y^Wk` UbY_T%
k6 ckI QR\U( kcX_g c#kdXUkê] RUbk_VkVe^TckQVVUSdUTkYck
c] Q\\k e` k e^dY\k dXUk ] YT$( 00' ck Redk dXYck Y^SbUQcUck Q^Tk Yck ] _bUk ce
bU` bUcU^dY^WkQR_edk* , k_VkdXUkê] RUbk_VkVe^Tc!kVb_] kdXUk\QdUk(
WUÛbQ\#kdXUkg _bcdk` UbV_b] Y^WkVe^TckXQf UkQkWbUQdUbk` b_RQRY\Ydi k_VkUh` YbY^
RU^SX] Qb[ kbUdeb^kecUTkg Y\\kRUk] QbWY^Q\\i kY^V\QdUTkQ^TkdXUkbQ^[ Y^Wk_Vk
Y^kdXYckcdeTi ckcQ] ` \UkS_e\TkRUk_f UbcdQdUT%
) % ; e^Tck^_dkY^kUhYcdU^SUkQdkdXUkRUWY^^Y^Wk_VkUQSXk` UbY_T ckQ^Q\i cYckQbUk
Vb_] kdXUkQ^Q\i cYc%
kI QR\U( kcX_g ckdXQdkdXUkê] RUbk_VkVe^TckUhS\eTUTkY^
Yck\QbWU#kS_] ` QbQR\Ukd_kdXUkd_dQ\kê] RUbkg XYSXkaeQ\YVi kV_bkY^S\ecY_
8 : ; D>Q! Ce] RUbk_VkVe^TckY^kdXUkcQ] ` \UkS_] ` QbUTkd_kê] RUbkY^kdXUk>E9 kJ ^Yf UbcU
( ' $i UQbkX_bYj _^ , $i UQbkX_bYj _^c
( 0/ . ! ) ' ' - (( 0/
00() ! (( 0/
00-. ! )( '00
'
; e^TckUhYcdY^WkQdkcdQbdk_VkQ^Q\i cYc )' ' ( +( )' ' )+

; e^Tckg YdX_edkVe\\kbQ^[ Y^Wk` UbY_TkXYcd_bi *' ' , )
; e^TckY^kcdQbdY^WkcQ] ` \U (.' ( +( ( 0, )(
; e^TckSUQcY^Wkd_kUhYcdkTebY^WkUf Q\eQdY_^k` UbY_T /, + ), .
Hebf Yf Y^WkVe^TckQdkU^Tk_VkQ^Q\i cYc /, ( *. (.' (*
; e^TckcdQbdY^WkTebY^WkdXUkU^dYbUkQ^Q\i cYck` UbY_T ( 0, (' , (' . (*
Ûdk_VkTUQdXc!
; e^TckY^kUhYcdU^SUkQdkU^Tk_VkQ^Q\i cYc )/' ) +) ).. ).
I XUkVYbcdkb_g k_VkdXUkdQR\UkcX_g c#kV_bkUQSXkg Y^T_g k_VkQ^Q\i cYc#kdXUkê] RUbk_Vk` _ccYR\UkVe^Tck

dXUk>E9 kVe^TkTQdQRQcU% kG_g kdg _k_VkdXUkdQR\UkcX_g ckX_g k] Qî kVe^TckQbUkUhS\eTUTkRUSQecUk
S_f U
_Û #kbdkd
XU
XU kU^dR
kê] YbU
UbkXYcd
kV_b
k_V i k_V
e^Tck Ykd
XU
^S kbQ^[
\eTU TkYY
^W
^k k` U
dXU bY_T%
kcQ] ` k=
\UkU^SkU
V_b #kgkbXU
dXU Q^[^kdXUkkTQ
Y^W ` UbdY
QkY^kb
_Tk Yck_g kdg^k
cX_g _kYckceR
Y^kb_g kddbXb
QSU
dU
U
b_g kTYc` \Qi ckdXUkê] RUbk_VkVe^TckdXQdkSUQcUkd_kUhYcdkTebY^WkdXUkUf Q\eQdY_^kQ^Tkb_g kVYVdXkcX_g c
Ve^TckQbUkcdY\\kY^kUhYcdU^SUkQdkdXUkU^Tk_VkdXUk` UbY_Tk_VkQ^Q\i cYc% kG_g kcYhkcX_g ckdXUkê] RUbk_VkV
_f UbkdXUk` UbY_Tk_VkQ^Q\i cYck dXYckY^S\eTUTkR_dXkdXUkbQ^[ Y^Wk` UbY_TkQ^TkdXUkUf Q\eQdY_^k` UbY_T!kQ^T
QTTUTkd_kb_g kVYf Ukd_kcX_g kX_g k] Qî kVe^TckUhYcdkY^kdXUk>E9 kVe^TkTQdQRQcUkQdkdXUkU^Tk_VkdX
Q^Q\i cYck cX_g ^kQdkdXUkd_` k_VkUQSXkS_\e] ^!% kC_dUkdXQdkg XY\UkVe^TckQbUk^_dkY^S\eTUTkYVkdXUi kcdQ
_Ûk` Qbdk_VkdXUkQ^Q\i cYc#kdXUkVe^Tk] Qi kRUkY^S\eTUTkY^kQkceRcUaeU^dkX_bYj _^kg Y^T_g
cQ] ` \U%k7 YQckS_e\TkQbYcUkRUSQecUkÛg \i kV_b] UTkVe^TckQ̀ ` UQbkY^YdYQ\\

` UbV_b] k] QdebUkVe^Tc' 2kXU^SUkYVkdXUkÛg \i kV_b] UTkVe^TckQbUkUhS\eTUT
Q^Q\i cYc#kYdkg Y\\kdU^Tkd_kV\QddUbkdXUkbQ^[ Y^WkQ^TkdXUkbU\QdYf Uk` UbV_b] Q^SUk_
Ve^TckY^kdXYckcdeTi ckcQ] ` \U% kDVkdX_cUkY^S\eTUTkY^kdXUkQ^Q\i cYc#kdXUk` b_`
Ve^TckY^kdXUke` ` UbkaeQbdY\UckYck\Y[ U\i kd_kRUkUhQWWUbQdUT#kQ^TkdXUk` b_` _bdY
\_g UbkaeQbdY\Ucke^TUbcdQdUT2kdXUkUcdY] QdUck_Vk` UbcYcdU^SUkg Y\\kRUkS_bbUc`
QVVUSdUT%
6 kTUdQY\UTkTYcSeccY_^k_^kdXUkY] ` QSdk_VkdXUcUk_] YccY_^ck_^kdXUkTQdQkec
cdeTi kYckS_^dQYÛTkY^kdXUkQ̀ ` U^TYh%

8 XQbQSdUbYcdYSck_Vk; e^Tc
I XUk>E9 kJ ^Yf UbcUkU^S_] ` QccUckQkbQ^WUk_VkVe^Tkdi ` Uc% kI QR\U ) k̀ bUcU^dck

dXUcUkV_bkQkê] RUbk_VkdXUkcQ] ` \UckecUTkY^kdXUkQ^Q\i cYc%kHUWbUWQdUTk` U^cY_^
\QbWUcdk Ve^Tk di ` Uk dXb_eWX_ed#k Q^Tk XQf Uk Rb_QT\i k ] QY^dQYÛTk dXUYbk g
= _g Uf Ub#kdXUkg UYWXdk_VkdXUkcUS_^TkQ^TkdXYbTk\QbWUcdkVe^Tkdi ` UckY^kdXUk( 0
\YVUkVe^TckQ^TkdXUke^Yd$\Y^[ UTk\YVUkQ^Tk` U^cY_^kVe^Tc" XQckTY] Y^YcXUTk_f U
TUSQTUk bkc % kI XUk` \UTk` U^cY ^kVe^TckXQf UkQ\c kTUS\YÛTkY^kcYW^YVYS15/37
scribd.com/…/Alpha-and-Persistence-…
Q^SU
TUSQTUk_bkc_%
kI XUk __\UTk U^cY_^kVe^TckXQf UkQ\c_kTUS\YÛTkY^kcYW^YVYSQ^SU
'
I XYckYckY^VUbbUTkRi kS_] ` QbY^WkdXUk` UbV_b] Q^SUck_VkdXUkUf Q\eQdY_^kQ^TkbQ^[ Y^Wk` UbY_Tck_VkdXUkc
U%W%kdXUkcUdk_VkVe^TckY^kdXUkUf Q\eQdY_^k` UbY_Tk( 00) ! ( 00. kg YdXkdX_cUk_VkdXUkbQ^[ Y^Wk` UbY_Tk( 00
dXUk\QddUbkY^S\eTUckdXUkVe^TckSbUQdUTkTebY^WkdXUk` bUf Y_eckbQ^[ Y^Wk` UbY_T%
Upload a Document
Search Books, Presentatio Search Documents
Follow Us!
scribd.com/scribd
twitter.com/scribd
facebook.com/scribd
About
Press
Blog
Partners
Scribd 101
Web Stuff
Scribd Store
Support
FAQ
Developers / API
Jobs
Terms
Copyright
Privacy
Copyright © 2011 Scribd Inc.

Language:
English

Alpha and Persistence in Real Estate Fund Performance

Uploaded by

Document Information

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Alpha and Persistence in Real Estate Fund Performance

Uploaded by

Copyright:

Available Formats

21-05-2011 Alpha and Persistence in Real Estate F…

6 \` XQkQ^TkEUbcYcdU^SUkY^kGUQ\k: cdQdUk; e^TkEUbV_b] Q^SU

= _g Uf Ub#kdXUkcU\USdY_^k_Vk] _TU\ckV_bkS_^cYTUbQdY_^kYck\Y] YdUTkRi kdXUk\_g kV

$. ' 54+ 6=1 3* +0=) ' 2=( +=: 5/77+2=' 6"

VUX # U'' & $ UO6OX& "! UX

UO ' O' # ( ! 8

Q^T ! YckcUbYQ\\i ke^S_bbU\QdUTkQ^TkTYcdbYRedUTkQckC ' )! %

www.greenwood-management.com Ads by Google

* % 6 k] _TU\kecY^WkbUdeb^ck_^k` eR\YS\i kdbQTUTkcUSebYdYUck dXUk: eb_` UQ^kEe

>^kQ\\kdXbUUk] _TU\c#kQ\` XQkbU` bUcU^dckdXUk Uh` USdUT!kUhSUcckbUdeb^#kdX

I XYckcUSdY_^kY^db_TeSUckdXUkc_ebSUk_VkdXUkTQdQkecUTkY^ EUbV_b] Q^SU#k6

I XUk>E9 k; e^Tk9 QdQRQcU

6 \` XQkQ^TkEUbcYcdU^SUkY^kGUQ\k: cdQdUk; e^TkEUbV_b] Q^SU

TUVY^YdY_^k UhS\eTUc#k Q] _^Wcdk _dXUbc#k c] Q\\k ` bYf QdUk \Q^T\_bTc#k _g ^Ub$

F eQ^dYVi Y^Wk; e^TkQ^Tk7 U^SX] Qb[ kEUbV_b] Q^SU

>^kS_^dbQcdkd_k>E9 k` bQSdYSU#kY^kdXYckcdeTi kVe^TckQbUkS_] RY^UTk_^kQ^ke^g UYWX

www.greenwood-management.com Ads by Google

6 \\kVe^TckY^kdXUk>E9 kTQdQRQcUkQbUkY^S\eTUTkY^kdXUkQ^Q\i cYcke^dY\kdXUi kUh` Y

GQ^[ Y^WkQ^Tk: f Q\eQdY_^kEUbY_Tc

I XYckQ^Q\i cYckYckRQcUTk_^kVe^Tk` UbV_b] Q^SUk_f UbkdXbUU#kVYf UkQ^TkdU^$i UQb

; e^TkCe] RUbc#k6 ddbYdY_^#k8 bUQdY_^kQ^Tk7 YQc

EbUf Y_eckcdeTYUck_Vk` UbcYcdU^SUkY^k_dXUbkQccUdkS\QccUck cUU#kV_bkUhQ] ` \Uk8 QbX

( % ; e^TckQbUkUhS\eTUTkQdkdXUk_edcUdkYVkdXUi kT_k^_dkcebf Yf UkdXb_eWX_edkdXU

6 \` XQkQ^TkEUbcYcdU^SUkY^kGUQ\k: cdQdUk; e^TkEUbV_b] Q^SU

( ' $i UQbkX_bYj _^ , $i UQbkX_bYj _^c

; e^TckUhYcdY^WkQdkcdQbdk_VkQ^Q\i cYc )' ' ( +( )' ' )+

I XUkVYbcdkb_g k_VkdXUkdQR\UkcX_g c#kV_bkUQSXkg Y^T_g k_VkQ^Q\i cYc#kdXUk^e] RUbk_Vk` _ccYR\UkVe^Tck

cQ] ` \U%k7 YQckS_e\TkQbYcUkRUSQecUk^Ug \i kV_b] UTkVe^TckQ̀ ` UQbkY^YdYQ\\

6 kTUdQY\UTkTYcSeccY_^k_^kdXUkY] ` QSdk_VkdXUcUk_] YccY_^ck_^kdXUkTQdQkec

cdeTi kYckS_^dQY^UTkY^kdXUkQ̀ ` U^TYh%

I XUk>E9 kJ ^Yf UbcUkU^S_] ` QccUckQkbQ^WUk_VkVe^Tkdi ` Uc% kI QR\U ) k̀ bUcU^dck

Copyright © 2011 Scribd Inc.

You might also like