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dc.contributor.advisorMarbacher, Josef
dc.contributor.authorBrodbeck, Tobias
dc.contributor.authorCampacci, Mattia
dc.contributor.otherFirma: Frenkenklinik AG| Kontakt: Roger Harr| PLZ/ Ort: Niederdorf
dc.date.accessioned2015-09-02T07:32:33Z
dc.date.available2015-09-02T07:32:33Z
dc.date.issued2014
dc.identifier.urihttp://hdl.handle.net/11654/4743
dc.description.abstractReal estate as an asset class has become increasingly popular for investors in recent decades. Especially its characteristics of uniqueness and its perception as real value make it a beneficial complement for investors aiming to diversify their portfolio. (Beitrag ist nur für FHNW Mitarbeitende sichtbar)
dc.language.isoen_UK
dc.accessRightsAnonymous
dc.subjectindirect real estate investments
dc.subjectportfolio optimisation
dc.subjectmodern portfolio theory
dc.subject.ddc330 - Wirtschaft
dc.subject.ddc330 - Wirtschaft
dc.titleRisk and Return of indirect Real Estate Investments: An empirical Analysis of Swiss Real Estate Funds and Shares in a Portfolio Optimisation Context
dc.type11 - Studentische Arbeit
dc.audienceSonstige
fhnw.StudentsWorkTypeBachelor
fhnw.publicationStateUnveröffentlicht
fhnw.ReviewTypeKein Peer Review
fhnw.InventedHereYes
fhnw.ConfidentLevelStaff
fhnw.leadReal estate as an asset class has become increasingly popular for investors in recent decades. Especially its characteristics of uniqueness and its perception as real value make it a beneficial complement for investors aiming to diversify their portfolio.
fhnw.initialPositionThe alternative asset class of real estate as a return generating real asset plays an ever greater role in the portfolios of investors. In Switzerland, investors are able to invest either directly or indirectly in real estate. Each way offers different advantages and disadvantages. There is however considerable uncertainty concerning risk and return of indirect real estate investments. The indirect way of investing is again very different depending on the investment vehicle selected. Real estate funds and shares invest both in real estate but differ strongly from an investment perspective.
fhnw.procedureAfter introducing the general topic, the sources of volatility for real estate funds and shares are analysed. Thereafter, the paper will include a numerical analysis of Swiss publicly listed indirect real estate investment vehicles. In a next step, an empirical analysis on three major Swiss real estate indices is conducted, which are put in a portfolio context where they are combined with a range of model portfolios. Thereby, the further step of the paper is to perform portfolio optimisations in order to illustrate the diversification potential of indirect real estate investments.
fhnw.resultsThe findings indicate that, despite the common underlying asset, indirect real estate investment vehicles differ significantly from each other with respect to risk and return. This is mainly due to different legal structures and strategies which determine the extent to which the investment form is depending on economic influences. All in all, the characteristics and differences can be simplified to the fact that real estate funds have a lower risk than real estate shares. On the other hand, shares offer an investor who is willing to take on more risk a higher return in exchange. Further, real estate funds and shares have considerably different, dynamic correlations to Swiss Performance Index and Swiss Bond Index. Moreover, the empirical results of the portfolio optimisations indicate that indirect real estate investments can be beneficial to regular portfolios, particularly in a long-term perspective, even though the dynamics in the correlations might lead to disadvantageous situations. The outcomes of this paper could be of value to investment advisors, fund managers, valuation companies and also index providers and it can further be applied in investment strategies.
fhnw.IsStudentsWorkYes


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