Article
Risk-Adjusted Attribution Analysis of Real Estate Portfolios
Jeffrey D. Fisher and Joseph D’Alessandro
The Journal of Portfolio Management Real Estate Special Issue 2019, jpm.2019.1.102; DOI: https://doi.org/10.3905/jpm.2019.1.102
Jeffrey D. Fisher
is professor emeritus in the Kelley School of Business at Indiana University in Bloomington, IN
Joseph D’Alessandro
is director of performance measurement at the National Council of Real Estate Investment Fiduciaries in Chicago, IL
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The Journal of Portfolio Management
Vol. 49, Issue 4
Multi-Asset Special Issue 2023
Risk-Adjusted Attribution Analysis of Real Estate Portfolios
Jeffrey D. Fisher, Joseph D’Alessandro
The Journal of Portfolio Management Aug 2019, jpm.2019.1.102; DOI: 10.3905/jpm.2019.1.102
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- Article
- Abstract
- BRINSON ATTRIBUTION
- RISK-ADJUSTED PERFORMANCE EXAMPLE
- PRACTICAL APPLICATION OF RISK-ADJUSTED PERFORMANCE ATTRIBUTION
- RISK ADJUSTMENTS
- ADJUSTING ALPHA FOR DIVERSIFICATION
- EXAMPLE EXTENDED FOR UNSYSTEMATIC (STANDARD DEVIATION) RISK
- A NOTE ON INTERACTION
- RELIABILITY OF RISK MEASURES
- CONCLUSION
- ACKNOWLEDGMENTS
- ADDITIONAL READING
- ENDNOTES
- REFERENCES
- Info & Metrics
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