The Attributes of Performance

This article conducts an attribution analysis for German real estate funds. The performance of real estate funds within Germany is dissected into property returns, liquidity returns, leverage and expenses. Furthermore a model is set up to explain annual fund returns using the factors investor type, region, sector, status, and leverage.The analysis shows that leverage strongly increases fund performance and at the same time return volatility. The variable with the highest explanatory power is status. Funds that have entered liquidation performed significantly worse. Attribution analyses are important tools to determine why some funds' mangers are able to deliver an outperformance and can live up to their own convictions and the investors' expectations