Real estate, alternative real assets and other diversions

Consilia Capital Real Estate Funds Monitor Period end - November 2018

The Economist

The report is divided into the following sections:

1) A summary of November performance
As can be seen from the table below, (which is ranked by average November 2018 returns for each main mandate) the last month was positive for most mandates, although average YTD returns remain negative.

2) Fund Flows

November saw outflows across all mandates, most notably for Income Funds and active Global real estate funds.

3) Focus: Risk metrics for funds

This month we take another look at the various risk metrics that can be used for real estate and infrastructure funds, and reprise the work that we first published in March 2013 on the various metrics available and their definitions. In summary we would suggest that the traditional measures such as the Sharpe ratio and the Information ratio are most appropriate and commonly used for dedicated real estate securities funds but market perception of “risk” now encompasses an appreciation of maximum drawdown as well as maximum and minimum monthly returns as appropriate measures.

Having established the principles and uses of each in the theory, we then look at their practical applications and establish:

1) How they have moved over time, and
2) How they vary between mandates

4) Detailed performance statistics by mandate for November 2018

This month we look at the data for November 2018. For each mandate we show: the dispersion of returns by Fund AUM, aggregate performance by size, active vs passive performance, Benchmark Index returns, and the best performing active funds above an AuM threshold for each mandate. For consistency, all returns are rebased in US$.

Finally, it is important to note that there are no recommendations or investment advice contained in this publication, and that it is not intended for retail investors. This report represents only a very small summary of the outputs of our database, and the bespoke research and advisory service work we undertake for clients. For further details of our work please contact us.

The Economist

About Alex Moss

Alex Moss

Alex is responsible for developing the newly created Centre for Real Estate Research at Cass Business School. He also runs Consilia Capital, a research and advisory firm, which specialises in the performance and strategies of real estate, infrastructure and real asset funds, work that combines academic research with practical applications. He has been involved in research and transactions in the global real estate sector for over 30 years. His career has encompassed sell side research (BZW, Macquarie), investment banking (CSFB), private equity (Apax Partners Capital), and fund management (M&G and Investec). He is Chairman of the EPRA Research Committee, a member of the EPRA Advisory Board, and Chairman of the Investment Committee for the Investec Global Real Estate Securities Fund, where he acts as a consultant. Alex is best known for his academic and commercial work in the area of Global REITs, and their use in investment strategies. In 2013, with Professor Andrew Baum they produced two innovative papers for EPRA which received wide acclaim, looking at whether listed real estate was managed as part of the real estate allocation, and the wider use and applications of listed real estate securities in asset management. His work with Kieran Farrelly on combining direct and listed property for Defined Contribution Pension schemes won a Best Paper award at the 2014 ERES conference. A particular area of interest is the use of Smart Beta and automated trading strategies, most notably Trend Following and Momentum, and his work in this area with Professor Andrew Clare and Professor Steve Thomas has been widely cited. In 2017, with Reitsmarket he produced two multifactor Global REIT Smart Beta indices, which are listed on Euronext, and marketed by Goldman Sachs. Most recently he has been concentrating on the use of listed real estate within real asset strategies.

Articles by Alex Moss

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