Determinants of private real estate fund performance, 2004-2010 : the roller coaster ride

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).

Department dc:contributor.department

Massachusetts Institute of Technology. Center for Real Estate. Program in Real Estate Development.

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

2010

Author dc:creator

• Gallinaro, Andrew (Andrew Joseph)

Advisor dc:contributor.advisor

• David M. Geltner.

• Center for Real Estate. Program in Real Estate Development.

Statement dc:rights

• M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.

Licence dc:rights.uri

• http://dspace.mit.edu/handle/1721.1/7582

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/1721.1/62124

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/62124