Risk reduction and diversification in UK commercial property portfolios

Mark Callender, Steven Patrick Devaney, Angela Sheahan, Tony Key

    Research output: Working paper

    13 Citations (Scopus)

    Abstract

    The issue of diversification in direct real estate investment portfolios has been one of the most widely studied topics in academic and practitioner literature. Most work, however, has been done using mean returns and risks for broad market segments as inputs to asset allocation models, or in a few cases using data from small sets of individual properties. This paper reports results from a comprehensive testing of asset allocation modelling drawing on records of 10,000+ UK properties tracked by Investment Property Databank. It provides for the first time robust estimates of the diversification gains attainable given return, risk and cross-correlations across individual properties actually available to fund managers. The discussion of results covers implications for the number of assets and amount of money needed to construct “balanced” portfolios by direct investment, or via indirect specialist vehicles.
    Original languageEnglish
    Place of PublicationAberdeen
    PublisherUniversity of Aberdeen Business School
    Pages355-375
    Number of pages21
    Publication statusPublished - Aug 2007

    Publication series

    NameUniversity of Aberdeen Business School Working Paper Series
    PublisherUniversity of Aberdeen Business School
    Volume24
    ISSN (Print)0143-4543

    Fingerprint

    Risk diversification
    Risk reduction
    Risk and return
    Asset allocation
    Diversification
    Market segments
    Cross-correlation
    Testing
    Fund managers
    Investment portfolio
    Assets
    Modeling
    Direct investment
    Real estate investment

    Cite this

    Callender, M., Devaney, S. P., Sheahan, A., & Key, T. (2007). Risk reduction and diversification in UK commercial property portfolios. (pp. 355-375). (University of Aberdeen Business School Working Paper Series; Vol. 24). Aberdeen: University of Aberdeen Business School.

    Risk reduction and diversification in UK commercial property portfolios. / Callender, Mark; Devaney, Steven Patrick; Sheahan, Angela; Key, Tony.

    Aberdeen : University of Aberdeen Business School, 2007. p. 355-375 (University of Aberdeen Business School Working Paper Series; Vol. 24).

    Research output: Working paper

    Callender, M, Devaney, SP, Sheahan, A & Key, T 2007 'Risk reduction and diversification in UK commercial property portfolios' University of Aberdeen Business School Working Paper Series, vol. 24, University of Aberdeen Business School, Aberdeen, pp. 355-375.
    Callender M, Devaney SP, Sheahan A, Key T. Risk reduction and diversification in UK commercial property portfolios. Aberdeen: University of Aberdeen Business School. 2007 Aug, p. 355-375. (University of Aberdeen Business School Working Paper Series).
    Callender, Mark ; Devaney, Steven Patrick ; Sheahan, Angela ; Key, Tony. / Risk reduction and diversification in UK commercial property portfolios. Aberdeen : University of Aberdeen Business School, 2007. pp. 355-375 (University of Aberdeen Business School Working Paper Series).
    @techreport{0723fe459e6341a3851a68dc39170a42,
    title = "Risk reduction and diversification in UK commercial property portfolios",
    abstract = "The issue of diversification in direct real estate investment portfolios has been one of the most widely studied topics in academic and practitioner literature. Most work, however, has been done using mean returns and risks for broad market segments as inputs to asset allocation models, or in a few cases using data from small sets of individual properties. This paper reports results from a comprehensive testing of asset allocation modelling drawing on records of 10,000+ UK properties tracked by Investment Property Databank. It provides for the first time robust estimates of the diversification gains attainable given return, risk and cross-correlations across individual properties actually available to fund managers. The discussion of results covers implications for the number of assets and amount of money needed to construct “balanced” portfolios by direct investment, or via indirect specialist vehicles.",
    author = "Mark Callender and Devaney, {Steven Patrick} and Angela Sheahan and Tony Key",
    year = "2007",
    month = "8",
    language = "English",
    series = "University of Aberdeen Business School Working Paper Series",
    publisher = "University of Aberdeen Business School",
    pages = "355--375",
    type = "WorkingPaper",
    institution = "University of Aberdeen Business School",

    }

    TY - UNPB

    T1 - Risk reduction and diversification in UK commercial property portfolios

    AU - Callender, Mark

    AU - Devaney, Steven Patrick

    AU - Sheahan, Angela

    AU - Key, Tony

    PY - 2007/8

    Y1 - 2007/8

    N2 - The issue of diversification in direct real estate investment portfolios has been one of the most widely studied topics in academic and practitioner literature. Most work, however, has been done using mean returns and risks for broad market segments as inputs to asset allocation models, or in a few cases using data from small sets of individual properties. This paper reports results from a comprehensive testing of asset allocation modelling drawing on records of 10,000+ UK properties tracked by Investment Property Databank. It provides for the first time robust estimates of the diversification gains attainable given return, risk and cross-correlations across individual properties actually available to fund managers. The discussion of results covers implications for the number of assets and amount of money needed to construct “balanced” portfolios by direct investment, or via indirect specialist vehicles.

    AB - The issue of diversification in direct real estate investment portfolios has been one of the most widely studied topics in academic and practitioner literature. Most work, however, has been done using mean returns and risks for broad market segments as inputs to asset allocation models, or in a few cases using data from small sets of individual properties. This paper reports results from a comprehensive testing of asset allocation modelling drawing on records of 10,000+ UK properties tracked by Investment Property Databank. It provides for the first time robust estimates of the diversification gains attainable given return, risk and cross-correlations across individual properties actually available to fund managers. The discussion of results covers implications for the number of assets and amount of money needed to construct “balanced” portfolios by direct investment, or via indirect specialist vehicles.

    M3 - Working paper

    T3 - University of Aberdeen Business School Working Paper Series

    SP - 355

    EP - 375

    BT - Risk reduction and diversification in UK commercial property portfolios

    PB - University of Aberdeen Business School

    CY - Aberdeen

    ER -