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How Active Is Your Real Estate Fund Manager?

Martijn Cremers and Colin Lizieri
The Journal of Alternative Investments Summer 2015, 18 (1) 22-36; DOI: https://doi.org/10.3905/jai.2015.18.1.022
Martijn Cremers
is a professor of finance at Mendoza College of Business, University of Notre Dame in Notre Dame, IN.
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  • For correspondence: mcremers@nd.edu
Colin Lizieri
is the Grosvenor Professor of Real Estate Finance at the University of Cambridge in Cambridge, England.
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  • For correspondence: cml49@cam.ac.uk
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Abstract

Using a holdings-based measure of active management termed the Segment Active Share, this article demonstrates the outperformance of more active commercial real estate portfolios; i.e., those with segment weights least like the index. Employing proprietary IPD data for 256 U.K. real estate funds over the period 2002–2011, we find that funds with high Segment Active Share on average outperformed the real estate market by 1.9% per year. These funds do not seem to take increased risk, and their outperformance cannot be explained by fund size alone, though on average they are smaller funds.

TOPICS: Real estate, developed, performance measurement

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The Journal of Alternative Investments: 18 (1)
The Journal of Alternative Investments
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How Active Is Your Real Estate Fund Manager?
Martijn Cremers, Colin Lizieri
The Journal of Alternative Investments Jun 2015, 18 (1) 22-36; DOI: 10.3905/jai.2015.18.1.022

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How Active Is Your Real Estate Fund Manager?
Martijn Cremers, Colin Lizieri
The Journal of Alternative Investments Jun 2015, 18 (1) 22-36; DOI: 10.3905/jai.2015.18.1.022
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