The Pricing of Non-Core Real Estate Ventures

Pagliari, Jr. Joseph L.

doi:10.3905/jpm.2007.698911

Cited by 5 publications

(1 citation statement)

References 6 publications

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“…On average, the difference between gross and net returns was approximately 105 basis points for core funds, 165 basis points for value‐added funds and 350 basis points for opportunity funds . The horizontal difference between the gross and net returns (by strategy) represents the observed reduction in volatility due to incentive fees; however, as noted in Pagliari () and Kritzman (), this reduction is largely a statistical illusion—as the investor essentially retains all of the downside risk.…”

Section: The Performance Datamentioning

confidence: 99%

Real Estate Returns by Strategy: Have Value‐Added and Opportunistic Funds Pulled Their Weight?

Pagliari

2017

Real Estate Economics

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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.

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Section: The Performance Datamentioning

confidence: 99%