How Active Is Your Real Estate Fund Manager?

Cremers, Martijn; Lizieri, Colin

doi:10.2139/ssrn.2364143

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How Active Is Your Real Estate Fund Manager?

https://doi.org/10.3905/jai.2015.18.1.022

Posted: 7 Dec 2013

See all articles by Martijn Cremers

Colin Lizieri

University of Cambridge - Department of Land Economy

Date Written: December 1, 2013

Abstract

Using a holdings-based measure of active management termed the ‘Segment Active Share,’ the paper documents that commercial real estate portfolios that are more active – i.e., have segment weights which are least like those of the index – have outperformed. Employing proprietary IPD data for 256 U.K. real estate funds over 2002-2011, we find that funds with high Segment Active Share on average outperformed the real estate market by 1.9% per year. These funds do not seem to take increased risk and their outperformance cannot be explained by fund size alone, though on average they are smaller funds.

Keywords: Commercial real estate portfolios, Segment Active Share, holdings

JEL Classification: G11, G12, G20

Suggested Citation: Suggested Citation

Cremers, K. J. Martijn and Lizieri, Colin M., How Active Is Your Real Estate Fund Manager? (December 1, 2013). https://doi.org/10.3905/jai.2015.18.1.022, Available at SSRN: https://ssrn.com/abstract=2364143 or http://dx.doi.org/10.2139/ssrn.2364143