Flow-induced redemption costs in funds of funds

Stein, Michael; Rachev, Svetlozar T.

doi:10.1057/jdhf.2011.12

Cited by 7 publications

(4 citation statements)

References 15 publications

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“…Based on the methodology outlined above, all calculations provide a performance picture that is free from survivorship-biases. We contrast our findings with the results one would obtain when using only NAVs and when using NAVs corrected for redemption 13 .…”

Section: Vi) Institutionalcontrasting

confidence: 79%

See 1 more Smart Citation

German Open Ended Real Estate Fund Performance

Stein¹,

Woltering²,

Sebastian³

et al. 2013

Proceedings of the 20th Annual European Real Estate Society Conference - Vienna, Austria

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The liquidity crisis in the German Open-Ended Real Estate Funds (GOEREFs) industry was characterized by large outflows of money in several funds. Large and ongoing redemptions of fund shares held by both institutional and private/retail investors led to suspensions of redemptions, termination of funds and, ultimately, a new law. This study provides the most comprehensive overview of how the funds performed and how pronounced the differences between classes of funds in the €80bn+ industry are. Using not only the net asset values of the funds as reported by the fund management companies, but the prices obtained at the secondary market when redemptions are suspended, indexes are constructed in order to provide a clear view of the performance of GOEREFs when the most relevant prices are used-those that may be achieved directly, rather than using book values. In this sense, the indexes provide a liquidity-corrected picture of fund returns.

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Section: Vi) Institutionalcontrasting

confidence: 79%

“…Credit Suisse WV Immofonds and Aberdeen ECT German Property 1 were therefore left out in the calculations. 13 Comparisons with indexes using secondary market prices only are not informative, as prices quickly adjust to values near the NAV when funds are re-opened for redemptions.…”

Section: Datamentioning

confidence: 99%

German Open Ended Real Estate Fund Performance

Stein¹,

Woltering²,

Sebastian³

et al. 2013

Proceedings of the 20th Annual European Real Estate Society Conference - Vienna, Austria

View full text Add to dashboard Cite

show abstract

“…The United States has spent over 6 billion dollars on discretionary projects in Iraq and Afghanistan via Commander Emergency Response Program (CERP) funds since 2004 (Stein, 2011). While this is not the primary source of reconstruction funds, commanders believe that winning the hearts and minds of the people may be the key to counterinsurgency.…”

Section: Problem Statementmentioning

confidence: 99%

“…Counterinsurgency is a primary motivation for deployment of sustainable infrastructure in Afghanistan (Stein, 2011). Improving public health and safety is a top priority for ISAF.…”

Section: Problem Statementmentioning

confidence: 99%

Agent-Based Simulation Optimization for Infrastructure Project Portfolio Selection

Warner¹

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German real estate funds: changes in return distributions and portfolio favourability

Stein

2014

Journal of European Real Estate Research

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show abstract

Flow-induced redemption costs in funds of funds

Cited by 7 publications

References 15 publications

German Open Ended Real Estate Fund Performance

German Open Ended Real Estate Fund Performance

Agent-Based Simulation Optimization for Infrastructure Project Portfolio Selection

German real estate funds: changes in return distributions and portfolio favourability

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