Samenvatting

SUMMARYDuring the last centuries real estate became an important asset within mixed-asset investment portfolios. The importance of real estate in a mixed-asset portfolio is based on Markowitz (1959) modern portfolio theory. The important message of the modern portfolio theory was that different assets in a mixed-asset portfolio could not only be selected on the features of the different assets but rather on the movements of the different assets opposed to each other. Many studies conclude that real estate in a mixed-asset portfolio offered diversification benefits because of the low or even negative correlation with other asset classes. According to Lizieri (2013) are the diversification benefits that real estate offered before the economic crisis of 2007 not present during the economic crisis. Lizieri (2013) stated that real estate, even more than other financial products, performed extremely poorly across different types of property, different location and in many countries since the beginning of the economic crisis. In the absence of calculations about the differences in correlation of real estate with other assets, this thesis covers the gap between the assumptions that real estate has a higher correlation with other assets during the economic crisis and the actual facts about the correlation. The research question that covers the gap in knowledge and forms the basis of this research is:
To what extent are diversification benefits of direct and indirect real estate investments in a mixed-asset portfolio of Dutch pension funds present during the economic crisis (since 2007)?
To what extent are diversification benefits of direct and indirect real estate investments in a mixed-asset portfolio of Dutch pension funds present during the economic crisis (since 2007)?To answer the research question this research contains analyses of qualitative and quantitative data. To test the correlation between real estate and other assets in a mixed-asset portfolio before and during the economic crisis a quantitative approach is used. The data sets that have been collected during the quantitative contains information about the return and invested capital of different assets of the ten biggest pension funds before and during the economic crisis. These figures are combined to an annual return per asset for the whole portfolio. With this information the correlation coefficient between real estate and other asset is calculated for the periods 2001-2007 and 2008-2014, which is used to clarify the differences in correlation between the periods before and during the economic crisis. The interviews during the qualitative research are used to gain more information about the topic and to understand the motives of real estate managers concerning their real estate portfolio. The qualitative research, quantitative data and the literature review together are used to make a final conclusion concerning the research question.
The conducted research shows that the correlation between real estate and other assets before the crisis has a low correlation with each other, which support the statements of Craft (2001), Hoesli, et al. (2004), and van Gool, et al. (2013), that real estate in a mixed-asset portfolio has a low of even negative correlation with other assets, which make real estate a good diversification asset in the portfolio. During the economic crisis the correlation between real estate and other assets increased in all cases. The increased correlation between real estate and the other assets implies that Lizieri (2013) is right with the statement that the diversification benefits of real estate do not hold in years of economic crisis. With this information, the hypotheses that ‘Diversification benefits of direct and indirect real estate investments in a mixed-asset portfolio of Dutch pension funds are lower during the recent economic crises than during the preceding period’ is confirmed.