Investment research can utilize NCREIF data and analytical tools to support more informed decisions about real estate investment strategy, portfolio construction and asset positioning.
- Mark Roberts, Managing Director, Global Head of Research and Strategy, Deutsche Asset Management Alternatives Real Assets
Facilitating commercial real estate research is central to NCREIF’s mission as its provision of data products and analytical tools to the investment and academic community allows for improved understanding of the performance of this asset class. NCREIF supports the investment community with guidance on using its detailed property database and portfolio of fund indices to further thought leadership in the industry. Academics are encouraged to utilize NCREIF information to advance real estate research literature.
Traditional performance measures do not distinguish between “upside risk” and “downside risk.” Downside risk is based on returns that are either below a target rate, below zero, below average or below a benchmark and vice versa for upside risk. Downside risk measures and the “duality” of beta have been discussed extensively in literature related to public markets but have not been applied to the analysis of private equity real estate in the academic literature. This article examines the measures that can distinguish between upside and downside risk that are commonly used in public markets, such as upside and downside beta and the Sortino ratio for downside analysis and applies them to different property sectors and Core Based Statistical Areas (CBSAs) in the NCREIF Property Index (NPI). In addition, these measures are used to analyze gateway vs. non-gateway markets’ historical performance on both an upside and downside risk basis. The same techniques are applied to perform an attribution analysis of a portfolio’s alpha into upside and downside components.
Published Date: Jun 22, 2021Jeffrey D. Fisher, Ph.D., NCREIF Senior Consultant. Published in the First Quarter 2021 NCREIF Performance Report.
Published Date: Jun 03, 2021Commercial real estate investors prefer coastal, gateway, markets for liquidity, demand density, and durable returns. Yet, these areas are more vulnerable to the effects of climate change from more intense and frequent weather events such as hurricanes and typhoons as well as to gradual changes such as sea-level rise. Recognition is growing of the risks that these events pose to investment performance, but little is known about how this risk has impacted property values and returns when an event such as a hurricane occurs. This is the first study to analyze the impact on property values and returns from hurricanes causing the most significant damage by value over the past 30-plus years throughout the nation. Using individual property data from the National Council of Real Estate Investment Fiduciaries database, we find a significant impact on the value and rates of return, after accounting for any additional capital expenditures for repairs, for properties that are in areas impacted by a hurricane, relative to areas that were not impacted by a hurricane. These impacts vary by property type and can last for several years after the hurricane hit land in the area.
Published Date: Apr 05, 2021Lisa Strope, Vice President, Research, TA Realty. Published in the First Quarter 2021 NCREIF Performance Report.
Published Date: Jun 03, 2021Sabrina Unger, Managing Director, Head of Research and Strategy and Britteni Lupe, Research Analyst, American Realty Advisors. Published in the First Quarter 2021 NCREIF Performance Report.
Published Date: Jun 03, 2021Jamil Harkness, Research & Performance Associate - Real Estate, Bailard, Inc. Published in the First Quarter 2021 NCREIF Performance Report.
Published Date: Jun 03, 2021William H. Miller, Managing Director, Chicago, National Litigation Team, Integra Realty Resources. Published in the First Quarter 2021 NCREIF Performance Report.
Published Date: Jun 03, 2021Using simulation analysis and property-level data for the U.S., we compare performance metrics for portfolios containing varying proportions of gateway and non-gateway markets. By considering a large spectrum of performance metrics in a realistic investment setting, the results should provide investors with valuable information when allocating funds across gateway and non-gateway markets. The paper also provides insights regarding how best to define gateway markets.
Published Date: Aug 23, 2021Working paper. An empirical examination, based on the 17-year period examined, indicates that the net investment returns from indices of value-add and opportunistic funds have – on a risk-adjusted Basis – under-performed the net returns available from an index of core funds. Author Joseph L. Pagliari, University of Chicago Booth School of Business.
Published Date: Sep 06, 2016This paper introduces three new and refined series derived from NCREIF property data: the Market Value Index (MVI), Free Cash Flow Yield (FCFY), and Capital Expense Ratio (CXR). While the NPI was designed to measure the risk and returns of the real estate asset class, these series optimize the property-level data in the NCREIF database to provide better indications of real estate value changes and operating performance. Authors Michael S. Young, Jeffrey D. Fisher, and Joseph D’Alessandro.
Published Date: Aug 28, 2016