Real Estate Returns by Strategy: Have Value‐Added and Opportunistic Funds Pulled Their Weight?
研究了核心、增值和机会型三类房地产策略的净回报，发现增值型基金在风险调整后表现明显不佳，机会型基金也弱于核心基金，并改进了标准资产定价模型以考虑杠杆成本。
Abstract Real estate strategies broadly fall into three categories: core, value‐added and opportunistic. This empirical examination of net returns from these three strategies indicates that, on a risk‐adjusted basis, the value‐added funds have strongly underperformed and the returns from opportunistic funds have weakly underperformed the returns available from core funds. In so concluding, this article departs from standard asset‐pricing models in two important respects: the total risk is used and the cost of borrowing increases as leverage increases. While the first departure has no substantive effect, the second departure lowers the estimate of the underperformance of noncore funds.