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

Stein, Michael

doi:10.1108/jerer-10-2013-0024

Cited by 2 publications

References 36 publications

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The emergence and performance of German REITs

Newell

Marzuki

2018

JPIF

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Purpose German real estate investment trusts (REITs) are a small but important property investment vehicle in the European REIT landscape, offering German commercial property investment exposure in a liquid format, compared to the more property development-focused German listed property companies and the popular German open-ended property funds. The purpose of this paper is to assess the emergence of the German REIT market and the risk-adjusted performance and portfolio diversification benefits of German REITs in a mixed-asset portfolio over 2007-2015. The post-global financial crisis (GFC) recovery of German REITs is highlighted. Enabling strategies for the ongoing development of the German REIT market are also identified. Design/methodology/approach Using monthly total returns, the risk-adjusted performance and portfolio diversification benefits of German REITs over 2007-2015 are assessed. Efficient frontier and asset allocation diagrams are used to assess the role of German REITs (and German property companies) in a mixed-asset portfolio. Sub-period analysis is used to assess the post-GFC recovery of German REITs. Findings German REITs delivered lesser risk-adjusted returns compared to German stocks over 2007-2015, with limited portfolio diversification benefits. However, since the GFC, German REITs have delivered strong risk-adjusted returns, but with continued limited portfolio diversification benefits with German stocks. German REITs also out-performed German property companies. Importantly, this sees German REITs as strongly contributing to the German mixed-asset portfolio across the portfolio risk spectrum in the post-GFC environment. Practical implications German REITs are a small but important market at a local, European and global REIT level. The results highlight the major role of German REITs in a German mixed-asset portfolio in the post-GFC context. The strong risk-adjusted performance of German REITs compared to German stocks sees German REITs contributing to the mixed-asset portfolio across the portfolio risk spectrum. This is particularly important, as many investors (e.g. small pension funds) use German REITs (and German listed property companies) to obtain their German property exposure in a liquid format, as well as the increased importance of blended property portfolios of listed property and direct property. Originality/value This paper is the first published empirical research analysis of the risk-adjusted performance of German REITs, and the role of German REITs as a listed property vehicle in a mixed-asset portfolio. This research enables empirically validated, more informed and practical property investment decision making regarding the strategic role of German REITs in a portfolio.

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The emergence and performance of German REITs

Newell

Marzuki

2018

JPIF

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Transaction Prices of German Closed-End Real Estate Funds in the Secondary Market and Their Influencing Factors

Aryoubi

Bossauer

2022

Preprint

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This study is the first to assess and contribute to a better understanding of the factors affecting the prices of closed-end real estate funds (CEREFs) in Germany’s secondary market. The dataset is based on 16,718 observations of realized transaction prices from 412 different German CEREFs; the factors comprise macroeconomic, fund, property, and liquidity variables. We regress macroeconomic factors on benchmark variables, such as listed real estate assets and the stock market, to observe whether German CEREFs react differently from the overall economic state from a portfolio diversification perspective. The benchmark variables are homogeneously driven by stock market excess return, DAX volatility index (VDAX) growth, and, to a certain extent, the bond rate, while CEREFs are mainly affected by the unemployment rate and economic activity. Fund and property age have a significant impact on CEREFs. Additionally, they have optimal levels at which their respective impacts start to reverse. Initial fund leverage and rising liquidity in the secondary market also have a significant impact. However, the observed effects vary across the types of real estate held by CEREFs, and investors must consider this in their pricing policies. Finally, this study presents a comprehensive overview of the German secondary market environment for CEREFs and examines their development.

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

Cited by 2 publications

References 36 publications

The emergence and performance of German REITs

The emergence and performance of German REITs

Transaction Prices of German Closed-End Real Estate Funds in the Secondary Market and Their Influencing Factors

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