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西红柿面 · 2025年05月09日

REITS如果去除了杠杆,它就相当于直接投资于房地产,因此回报率和标准差都类似。

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NO.PZ202405210200000303

问题如下:

Pat Esposito is a senior analyst at Horizon Capital, a registered investment advisor. Esposito specializes in analyzing real estate asset class managers from the perspective of capital market expectations. While understanding the overall risk-adjusted performance of a manager versus their peers is important, he believes it is also critical to know the sector(s) the manager focuses on, how much leverage they typically use, and how long have they been doing these types of deals to properly assess a manager.

In the previous week, Esposito met with a new client of Horizon Capital to educate them on real estate investing, including some of the aspects to consider when evaluating a real estate investment. In their meeting, Esposito made the following statements.

Statement 1: Real estate will typically go through “boom-bust cycles.” However, a recent study suggests that the commercial real estate market crash that occurred during the global financial crisis was unique, as it was driven by capital markets factors and not an imbalance of supply and demand.

Statement 2: Real estate is typically a good asset to own in inflationary environments, as property owners can usually adjust lease/rental rates to current market dynamics, supporting property values. This is a key aspect as to why real estate is generally considered as an inflation-resistant asset.

Statement 3: The capitalization rate is a standard metric for evaluating how expensive or cheap a commercial real estate property is. It is analogous to the earnings yield (E/P) for equities. Over the long term, it is typical for this rate on high-quality commercial real estate assets within a specific country to exceed the GDP growth rate for that country.

Esposito is meeting with two real estate asset managers, Albertson Capital and Forest Capital. Albertson Capital invests in apartments and industrial assets in gateway cities. Forest Capital invests in specialty hotels and skilled nursing centers in secondary cities. Albertson states that their ability to liquidate investments is generally high, whereas Forest typically holds investments for 7 to 10 years, due in part to low liquidity.

At Horizon Capital’s last investment committee meeting, the topic of private vs. public real estate was discussed. To capture higher returns, some members of the committee are advocating an increase in the allocation of private real estate. To help the other members of Horizon Capital’s investment committee understand the impact of increasing their target allocation to private real estate, Esposito made the following statements.

Statement 4: Private real estate assets are not liquid and typically are valued only on a quarterly basis. On an aggregate basis, this will result in private real estate return series that are “smoothed” versus public real estate assets, which are traded daily. This “smoothing” will tend to make private real estate assets look less volatile than public real estate assets.

Statement 5: When evaluating the returns and volatility of public real estate against direct private real estate, it is important to adjust both for leverage and property type. Analysis has shown that when adjusted for leverage, REITs have delivered a similar return and standard deviation across most property types as direct real estate.

Statement 6: Private real estate is expected to earn a “liquidity premium” over public real estate. The degree of this premium is naturally connected to how often an investor can liquidate their holdings. For commercial real estate assets, a liquidity premium of 2% to 4% is to be expected.

Esposito is analyzing a direct private real estate investment in an office building. He estimates that the net operating income of the property is $1 million and will grow at 3.5% annually. The building is for sale at $12 million. Esposito requires an expected return of at least 13% to consider investing in this type of property and assumes stable cap rates over the near term.


Regarding Esposito’s Statement 4 and Statement 5 to the investment committee, which statement is most likely incorrect?

选项:

A.Statement 4 B.Statement 5 C.Neither Statement 4 nor Statement 5

解释:

Both statements are correct.

Private real estate assets are typically valued on a quarterly basis versus daily for public market assets. This results in a “smoothed” return series. An understanding of the impact of this dynamic is important, as it will impact how diversifying private real estate appears to be versus public real estate within a multi-asset portfolio.

Another item to consider, beyond “smoothed” return series, is whether the return series for private and public real estate assets are a fair comparison. REITs own direct real estate and typically apply leverage within the REIT structure, which may not equal the leverage used in private real estate deals. Additionally, it is important to understand if the different return series have similar sub-sector (e.g., office vs. multi-family housing) and geographic exposures.

Investors expect to be compensated for illiquidity. When all else is held equal (e.g., property type and quality), if a real estate asset is not liquid for multiple years, the market will typically demand a liquidity premium of at least 2% versus a similar asset with high liquidity. If the illiquidity stretches to around 10 years or more, the liquidity premium may exceed 4%.


私募房地产资产通常按季度估值,而公共市场资产则按日估值。这导致了 “平滑” 的回报序列。理解这一动态的影响至关重要,因为它会影响在多资产组合中私募房地产与公共房地产的多元化效果。


除 “平滑回报序列” 外,另一个需要考虑的问题是私募与公共房地产资产的回报序列是否具有公平可比性。房地产投资信托基金(REITs)持有直接房地产,且通常在 REIT 结构内使用杠杆,而这可能与私募房地产交易中使用的杠杆不同。此外,了解不同回报序列是否具有相似的子行业(如写字楼 vs 多户住宅)和地理风险敞口也很重要。


投资者期望为流动性不足获得补偿。在其他条件相同的情况下(如物业类型和质量),若某房地产资产多年缺乏流动性,市场通常会要求其相比高流动性的同类资产提供至少 2% 的流动性溢价。若流动性不足持续约 10 年或更久,流动性溢价可能超过 4%。

这句话为啥是对的?即使我是调整了杠杆,但是reit运用的是真实交易数据,而直投是用的appriasal data,所以为啥回报率就相似了?

西红柿面 · 2025年05月09日

抱歉再追问一个问题:Deleveraging降低了Mean Return和Volatility是吗?这个也麻烦老师讲解一下可以吗谢谢

1 个答案

笛子_品职助教 · 2025年05月10日

嗨,爱思考的PZer你好:


REITS可以用杠杆投资房产。

例如1000万的REITS,投资了3000万的房产。

如果3000万房产,涨30%,则1000万的REITS,收益率900万,收益率90%。

房子只涨30%,而REITS涨90%,两者收益不相等。

因此,只有把REITS去除杠杆后,直接投资房产与投资REITS,两者收益才可对比。


这里并不涉及到真实数据和评估数据,也不涉及到降杠杆后与降杠杆前的对比。

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