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| The Effect of Benchmark Choice on
Risk-Adjusted Performance Measures for Commingled Real Estate Funds Author: F.C. Neil Myer and James R. Webb Start Page: 189 Abstract: This study examines
the portfolio performance for forty-seven commingled real estate funds using several
different sets of real estate benchmarks and the multifactor Jensen alpha measure. The
results indicate that the choice of a specific aggregate real estate market index makes
very little difference in the performance results. Adding an inflation index, or
disaggregating the market index into regional subindices, produces alphas that are less
correlated with the single-index model alphas and produces a large reduction in the amount
of abnormal performance detected. In addition, disaggregating the single-market index into
property types produces alphas that are the least correlated with those from the other
models and also produces a reduction in the amount of abnormal performance detected,
similar to the results for the inflation and regional models. |
