Measuring the Value Added of REIT Managers Using MSA Benchmarks: A Return-Based Attribution Analysis Approach
Loading...
No Access Until
Permanent Link(s)
Collections
Other Titles
Abstract
An interesting, important, and challenging financial question both in academic research and in practice is how to determine asset managers’ investment performance. That is, how much can be attributed to luck or serendipitous timing and how much is skill? In this paper we demonstrate how return-based style analysis, known as attribution analysis, can be used to ascertain the extent to which managers of REITs add value to their firm’s stock returns. Developed by William F. Sharpe, a Nobel Laureate, the attribution analysis technique was originally used to analyze a manager’s investment style based on the individual’s equity portfolio (e.g., large cap growth versus large cap value) by comparing returns on various indices.1 The manager’s style would be inferred according to the extent to which a weighted combination of indices most closely replicated the actual performance of the manager’s portfolio over a specified time period. In this way, a fund manager’s style is determined by finding the mix of indices that provides returns that are the most similar to the manager’s portfolio’s returns. The manager’s performance can then be assessed from the resulting benchmark portfolio, which is constructed using the various indices. The unmanaged benchmark reflects how an investor would do if he or she owned a portfolio comprising the same indices but didn’t have the manager.
Journal / Series
Volume & Issue
Description
Sponsorship
Date Issued
2013-01-01
Publisher
Keywords
Cornell; real estate; finance; REIT; portfolio
Location
Effective Date
Expiration Date
Sector
Employer
Union
Union Local
NAICS
Number of Workers
Committee Chair
Committee Co-Chair
Committee Member
Degree Discipline
Degree Name
Degree Level
Related Version
Related DOI
Related To
Related Part
Based on Related Item
Has Other Format(s)
Part of Related Item
Related To
Related Publication(s)
Boudry, Walter I.; Green, Matthew C.; Liu, Crocker H.; Ukhov, Andrey D.. 2013. "Attribution Analysis Tool".
Link(s) to Related Publication(s)
https://hdl.handle.net/1813/72547
References
Link(s) to Reference(s)
Previously Published As
Government Document
ISBN
ISMN
ISSN
Other Identifiers
Rights
Required Publisher Statement: © Cornell University. This report may not be reproduced or distributed without the express permission of the publisher.
Rights URI
Types
article