22 research outputs found
New International Evidence on Real Estate as a Portfolio Diversifier
No full textThis paper provides an international comparison of the benefits of including real estate assets in mixed-asset portfolios. Real estate returns are desmoothed using a variant of the Geltner (1993) approach, and Bayes-Stein estimators are used to increase the stability of portfolio weight estimations. Both unhedged and hedged analyses are conducted. Real estate is found to be an effective portfolio diversifier, and even more so when both domestic and international real estate assets are considered. The optimal allocation to real estate is 15% to 25%, and remains stable when the level of the standard deviation of real estate is altered. Real estate allocation between domestic and nondomestic assets, however, varies substantially across countries, depending on whether returns are hedged or not.
Institutional Real Investments : Real Estate in a Multi-Asset Portfolio
No full textThe purpose of this thesis is to analyze real estate investments from the vantage point of an institutional multi asset investor perspective, both in terms of the potential benefits real estate can bring as well as the challenges it can pose. The thesis consists of six papers and approaches the research question from three distinct perspectives. The quantitative papers consists of paper 1 and 5. Paper 1 analyses the portfolio characteristics of domestic and international real estate in a mean variance framework over seven investor domiciles. It is found that the optimal allocation to real estate is in the range of 15-25 percent depending on domicile of the investor. The fifth paper expands the analysis in paper one by expanding the data. Furthermore, the analysis is extended to investigate how the structure of the real estate portfolio can support a diversification objectives best. Papers 2, 3 and 4 are the market related papers. Paper 2 compares the suggested allocation weights with the allocation to real estate of institutions in four countries, and finds that the actual allocation is significantly lower and that all investor domiciles have a significant home bias. The third paper discusses changes in the institutional framework of real estate markets and the size of the investment universe. Paper 4 discusses various entry points to the real estate market, and how an investor can utilize these in order to adjust the characteristics of the real estate portfolio. The sixth and last paper is qualitative, and investigates how institutions managing pension capital handle real estate. QC 20161115</p
Real estate portfolio strategy and product innovation in Europe
No full textPurpose – This paper aims to review major changes on real estate markets in Europe and to analyse the impacts of such changes.Design/methodology/approach – The paper provides an overview of the various equity real estate investment vehicles available to investors, with particular focus on the pros and cons of each type of vehicle. The paper also includes an analysis of the impacts of product innovation on real estate markets and on portfolio strategy.Findings – The changes on real estate markets have led to considerable amounts of capital being allocated to the asset class. Portfolio strategies should be substantially more flexible.Research limitations/implications – As many of the new products have been created in bullish real estate markets, it is important to assess the impacts of a market downturn on portfolio performance.Practical implications – A good understanding of available products with their pros and cons is necessary for a sound investment strategy.Originality/value – The paper is one of the very few papers that discuss the major institutional changes that have occurred on European real estate markets.</p
Suggested Versus Actual Institutional Allocations to Real Estate in Europe
No full textThe allocation to real estate by institutional investors has increased in recent years and as a result the gap between suggested and actual allocations has narrowed. The increased inflow of capital to the real estate market is suggested to be a function of two factors: An increased focus on absolute return target investments among institutional investors and an increased target allocation to real estate. This article argues that the increased target allocation is made possible mainly by the development of new investment vehicles, in particular private real estate funds, the growing integration of economic regions, and other factors such as the development of investment benchmarks. The flows needed for the actual allocation by European institutional investors to match the suggested allocation requires that at least 31% of the real estate equity universe be held by owner occupiers. The authors estimate that seven years would be needed to reach the target allocation, but it is unlikely that sufficient investment opportunities will arise unless the willingness of owner-occupiers to outsource their real estate assets increases.</p
Real estate portfolio construction for a multi-asset portfolio
No full textPurpose – The purpose of this paper is to explore how tenant end demand dependence and investment market segmentation, as estimated through sector type, impacts real estate portfolio strategy in the context of the multi-asset portfolio. Design/methodology/approach – The analysis is performed for six investor domeciles, for domestic and international investments over several cycles. The analysis is performed in a mean variance framework. Findings – The findings are consistent with the hypothesis that an investor benefits from investing in real estate assets where end demand is dependent on local factors rather than global factors. Practical implications – The efficiency of the overall multi-asset portfolio benefits from a deeper understanding of how the real estate portfolio is constructed. Locally dependent real estate, i.e. real estate that is dependent on local economic factors, tends to better support the overall portfolio than do real estate that is dependent upon global factors. Originality/value – The paper contributes to the broader knowledge through extending earlier studies using similar methodology by extending the data series to cover the impact of the latest global financial crises, as well through extending the knowledge how the real estate portfolio should be constructed to better support the overall objectives of the multi-asset portfolio.</p
Institutional Real Investments [Elektronisk resurs] : Real Estate in a Multi-Asset Portfolio
No full textThe purpose of this thesis is to analyze real estate investments from the vantage point of an institutional multi asset investor perspective, both in terms of the potential benefits real estate can bring as well as the challenges it can pose. The thesis consists of six papers and approaches the research question from three distinct perspectives.The quantitative papers consists of paper 1 and 5. Paper 1 analyses the portfolio characteristics of domestic and international real estate in a mean variance framework over seven investor domiciles. It is found that the optimal allocation to real estate is in the range of 15-25 percent depending on domicile of the investor. The fifth paper expands the analysis in paper one by expanding the data. Furthermore, the analysis is extended to investigate how the structure of the real estate portfolio can support a diversification objectives best.Papers 2, 3 and 4 are the market related papers. Paper 2 compares the suggested allocation weights with the allocation to real estate of institutions in four countries, and finds that the actual allocation is significantly lower and that all investor domiciles have a significant home bias. The third paper discusses changes in the institutional framework of real estate markets and the size of the investment universe. Paper 4 discusses various entry points to the real estate market, and how an investor can utilize these in order to adjust the characteristics of the real estate portfolio.The sixth and last paper is qualitative, and investigates how institutions managing pension capital handle real estate. </p
International Evidence on Real Estate as a Portfolio Diversifier
No full textThis paper provides an international comparison of the benefits of including real estate assets – both domestic and international – in mixed-asset portfolios. Data from seven countries on three continents are considered for a common time period (1987-2001) to facilitate comparisons. Real estate returns are desmoothed using a variant of the Geltner (1993) approach, and Bayes-Stein estimators are used to increase the stability of portfolio weight estimations. Both unhedged and hedged analyses are conducted. Real estate is found to be an effective portfolio diversifier, and even more so when both domestic and international real estate assets are considered. The optimal allocation to real estate is in the 15 to 25% range, and remains remarkably constant in the various analyses. The breakdown of the real estate allocation between domestic and non-domestic assets, however, is found to vary substantially across countries and depending on whether returns are hedged or not.
The Role of Multi-Family Properties in Hedging Pension Liability Risk : Long-Run Evidence
No full textThe authors thank Daniel Waldenström, Dmitry Kuvshinov, and MSCI for providing data. The comments of Jan Bohlin, Stephen Lee, Zongyuan Li, Bryan MacGregor, Rainer Schulz as well as of two anonymous reviewers are gratefully acknowledged. The participants at the 28th annual European Real Estate Society (ERES) conference, the 14th ReCapNet conference, the 39th annual American Real Estate Society (ARES), the University of Aberdeen real estate research seminar and the Skye real estate conference also provided many valuable comments. Any errors are the authors'.Peer reviewe
Real estate in the institutional portfolio: a comparison of suggested and actual weights
No full textThe main objective of this study is to provide international evidence on the discrepancy between suggested and actual allocations to real estate in institutional portfolios, and also to discuss possible reasons for the discrepancy. We use data for the U.S., U.K., Sweden, and Switzerland to investigate the benefits of including real estate assets? both domestic and international? in institutional portfolios. The optimal allocation to real estate is found to be 15% to 20%, and is remarkably stable across countries. The suggested allocations to real estate in institutional portfolios are then compared with the actual institutional holdings in these four countries. The latter are found to be much less than the former, and some possible explanations for the discrepancy are given. The study also reports a substantial home bias in institutional real estate portfolios.</p
Multimodal neuroimaging of pain and inflammation in the central nervous system in patients with fibromyalgia and rheumatoid arthritis
No full textThe prevalence of concomitant fibromyalgia (FM) is puzzlingly high among rheumatoid arthritis (RA) patients and a contemporary challenge is to resolve why some RA patients continue to report pain despite adequate treatment of their peripheral inflammation. While recent literature has concentrated on the link between cerebral and inflammatory mechanisms in RA patients with concomitant FM, little attention has been directed towards commonalities and divergences among these two patient groups when they are well-characterized. The overarching aim of the current thesis was to identify and filling contemporary gaps of knowledge related to cerebral pain processing and associated mechanisms (i.e. contextual influences and neuroinflammation) in patients with well-characterized rheumatoid arthritis (nociceptive pain) and well-characterized fibromyalgia (nociplastic pain) condition.In study I, multi-ligand positron-emission tomography (PET) was used to investigate brain glial activation (i.e. neural inflammation) in FM patients compared to healthy controls (HC). The results supported a role for glial activation in FM pathophysiology, as FM vs. HC exhibited wide-spread cortical elevations of translocator protein (TSPO) binding, a sign of activated glia. Increased subjective ratings of fatigue in FM correlated with increased TSPO binding in the midcingulate cortex. In study II, functional magnetic resonance imaging (fMRI) was used to Investigate cerebral pain processing in RA patients at disease-affected (most inflamed finger joint) and nonaffected (thumb nail) sites. Corresponding sites were used in HC. The results indicated normal pain sensitivity and cerebral pain processing in RA for non-affected sites, while disease-relevant pain processing was marked by a failed initiation of cortical top-down regulation. In study III, combined behavioral and fMRI data suggested that FM subjects display a predisposition to form new pain-related associations while simultaneously maintaining high-pain associations that are no longer relevant. Study IV extended these findings, and revealed that FM vs. HC exhibited reduced prefrontal activation during repeatedly violated high pain associations. These results may help explain why ratings of high pain persist in FM subjects despite that the subsequent pressure stimulation had been lowered (i.e. high pain replaced by a lower mid-intensity painful pressure). In study V, fMRI was used to directly compare cerebral pain processing in well-characterized RA and FM patients without comorbidities. The results suggested that cerebral pain processing in RA was associated with dysfunction in the early initiation of the pain modulatory system, i.e. reduced activation of the dorsolateral prefrontal cortex. Whereas, cerebral pain processing in FM was associated with reduced engagement of more medial structures such as medial prefrontal cortex and rostral anterior cingulate cortex. In FM patients only, disruptions in pain-related cerebral activation correlated with higher degrees of clinical pain, which indicate more pronounced disruptions in patients suffering from nociplastic pain.In conclusion, the results from the above-mentioned studies in the current thesis noted distinct aberrations in cerebral pain modulation between well-characterized FM and well-characterized RA. Specifically, while cerebral pain modulatory aberrations were restricted to affected sites (i.e. most inflamed finger joint) in RA, cerebral pain processing in FM was found to be marked by notably complex cognitive processes and associated with overall clinical pain. These results may indicate more prominent pain-related cerebral disruptions in patients suffering from nociplastic pain. However, it remains elusive to which extent contextual factors and pain catastrophizing interact with cerebral pain modulation (independent of mood) in RA.List of scientific papersI. Daniel S. Albrecht#, Anton Forsberg#, Angelica Sandström, Courtney Bergan, Diana Kadetoff, Ekaterina Protsenko, Jon Lampa, Yvonne C. Lee, Caroline Olgart Höglund, Ciprian Catana, Simon Cervenka, Oluwaseun Akeju, Mats Lekander, George Cohen, Christer Halldin, Norman Taylor, Minhae Kim, Jacob M. Hooker, Robert R. Edwards, Vitaly Napadow, Eva Kosek*, Marco L. Loggia*. (2019). Brain glial activation in fibromyalgia – A multi-site positron emission tomography investigation. Brain, Behavior and Immunity. 75, 72-83. #Co-first authors, *Co-senior authors. https://doi.org/10.1016/j.bbi.2018.09.018 II. Angelica Sandström, Isabel Ellerbrock, Karin Jensen, Sofia Martinsen, Reem Altawil, Philip Hakeberg, Peter Fransson, Jon Lampa, Eva Kosek. (2019). Altered cerebral pain processing of noxious stimuli from inflamed joints in rheumatoid arthritis: An event-related fMRI study. Brain, Behavior and Immunity. 81,2 72-279. https://doi.org/10.1016/j.bbi.2019.06.024 III. Angelica Sandström, Isabel Ellerbrock, Jeanette Tour, Diana Kadetoff, Karin Jensen, Eva Kosek. (2020). Neural correlates of conditioned pain responses in fibromyalgia subjects indicate preferential formation of new pain associations rather than extinction of irrelevant ones. PAIN. 161, 2079-2088. https://doi.org/10.1097/j.pain.0000000000001907 IV. Angelica Sandström, Isabel Ellerbrock, Jeanette Tour, Diana Kadetoff, Karin Jensen, Eva Kosek. Dysfunctional activation of the dorsolateral prefrontal cortex during pain anticipation is associated with altered subsequent pain experience in fibromyalgia subjects. [Submitted]V. Angelica Sandström, Isabel Ellerbrock, Monica Löfgren, Reem Altawil, Indre Bileviciute-Ljungar, Jon Lampa, Eva Kosek. Distinct Aberrations in Cerebral Pain Processing Differentiating Fibromyalgia from Rheumatoid Arthritis Patients. [Submitted]</p
