Subjective Beliefs and the Portfolio Allocations of Institutional Investors

SSRN Electronic Journal · 2026-01-01

A First Look at the Historical Performance of the New NAV REITs

The Journal of Real Estate Finance and Economics · 2025-07-12

Abstract Private Commercial Real Estate (CRE) funds offer institutional investors access to CRE markets, but most remain inaccessible to retail investors. This paper examines the early performance (2016–2024) of a growing class of non-listed CRE funds available to retail investors, such as Blackstone REIT (BREIT). Known as Net Asset Value (NAV) REITs, these funds have become a major alternative to publicly traded REITs, offering indirect CRE exposure. We find that NAV REIT returns exhibit smoothness due to lagged pricing updates, making unsmoothing essential for risk-adjusted performance analysis. While NAV REITs delivered positive alphas relative to public indices historically, we cannot reject the hypothesis that these alphas stemmed from unexpected positive returns to NAV REITs over our sample. Lastly, we highlight limitations in traditional alpha analysis for short samples and propose an alternative approach, suggesting that NAV REITs’ alphas were economically meaningful but substantially lower than traditional alpha estimates.

A Theory of Managing the Liquidity Transformation Risks from Stale Pricing

SSRN Electronic Journal · 2025-01-01 · 2 citations

Liquidity transformation risks and stabilization tools: Evidence from open‐end private equity real estate funds

Real Estate Economics · 2025-04-03 · 4 citations

Abstract Open‐end funds provide a liquidity transformation service when they issue and redeem shares that are more liquid than their underlying assets. However, because these assets are illiquid, their returns are stale and predictable. This makes them susceptible to Net Asset Value‐timing (NAV‐timing) strategies which could transfer significant wealth from buy‐and‐hold investors and creates fund fragility risks. I show that NAV‐timing strategies appear profitable on paper and that investor behavior is consistent with these strategies. I also show that discretionary liquidity restrictions (queues) protect against these wealth transfer and fund fragility risks while liquidity buffers do not. In fact, liquidity buffers amplify them when added to queues.

Real Estate Private Equity Performance: Recent Evidence and Its Implications

The Journal of Portfolio Management · 2025-09-30

This article reviews some of the recent academic research on the performance of real estate private equity (REPE) funds. In doing so, it emphasizes the findings of those papers as well as the implications those findings have for investors. The article focuses on three central themes. First, it examines new evidence on the implications of return smoothing (including the NAV-timing and fund fragility risks created by smoothing) and the importance of recently developed unsmoothing techniques. Second, it explores the role of managerial choices in shaping the performance outcomes investors actually experience (including the effects of managerial discretion on the timing of capital funding, the impact of specialization, and the consequences of style drift). Third, it evaluates the evidence related to the performance of REPE vehicles designed for retail investors. In addition to summarizing this research, the article also identifies important limitations that should be considered when interpreting these findings.

Valuation Estimates and Return Smoothing: Evidence from Private Equity Real Estate Assets

SSRN Electronic Journal · 2024-01-01 · 3 citations

A First Look at the Historical Performance of the New NAV REITs

SSRN Electronic Journal · 2024-01-01 · 2 citations

Unsmoothing Returns of Illiquid Funds

Review of Financial Studies · 2024-03-07 · 15 citations

Abstract Funds investing in illiquid assets report returns with spurious autocorrelation. Consequently, investors need to unsmooth these funds’ returns when evaluating their risk exposures. We show that funds with similar investments share a common source of spurious autocorrelation not fully resolved by traditional unsmoothing methods and thereby leading to underestimation of systematic risk. Thus, we propose a generalized unsmoothing technique and apply it to hedge funds and private commercial real estate funds. Our method significantly improves the measurement of funds’ risk exposures and risk-adjusted performance, especially for highly illiquid funds. Overall, the average illiquid fund alpha is lower than previously thought. (JEL G11, G12, G23)

Institutional Investors' Subjective Risk Premia: Time Variation and Disagreement

SSRN Electronic Journal · 2024-01-01 · 3 citations

The Subjective Risk and Return Expectations of Institutional Investors

SSRN Electronic Journal · 2023 · 20 citations

• Economics
• Actuarial science
• Econometrics