Differentiating CREF Performance
研究了1985-2002年间65只混合房地产基金的绩效差异，发现基金表现差异主要源于物业选择而非行业配置，流动性受限的基金风险更低，且小基金表现优于大基金。
We examine factors underlying the differences in commingled real estate fund (CREF) performance using a sample of 65 CREFs during 1985–2002. More than half of the individual CREFs underperformed the employed benchmark. However, portfolios of CREFs performed well in both up and down markets, smaller CREFs outperformed larger CREFs, and top performing CREFs continued to outperform. Differential CREF performance appears to be attributable to property selection, rather than allocation across real estate sectors. Liquidity‐constrained CREFs exhibited lower risk. CREFs with large benchmark tracking error experienced inferior performance. These findings indicate important cross‐sectional differences among CREFs and diversification opportunities for pensions employing multiple CREF investment strategies.