A systematic study of real estate core funds : herd behavior and performance attribution analysis

Thesis (S.M. in Real Estate Development)--Massachusetts Institute of Technology, Dept. of Architecture, Center for Real Estate, 2005 [first author]; and, (S.M. in Real Estate Development)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, Center for Real Estate, 2005 [second author].This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.Includes bibliographical references (leaves 57-58).The returns and portfolio characteristics of core funds were tested for evidence of herd behavior and performance relative to the NCREIF Property Index (NPI), using a proprietary database that included data from 1985 to 2004. Tests performed include descriptive statistics, regression analysis, and attribution analysis. Results indicate that herd behavior tends to be somewhat correlated with the NPI return. Through our disaggregate (fund specific) analysis, we find that herd behavior, where managers base investment decisions on the collective actions of the market rather than their individual beliefs, may be present in the core fund industry. Regression analysis suggests that herding appears to be positively correlated with fund size and negatively correlated to leverage, fees, and persistence from the one-year lag of the deviation from the mean. Performance analysis results indicate that although fund leverage has increased significantly over time, the use of debt has produced little or no additional return to investors. We found that across funds, net returns to real estate fall short of the NPI, and that across time, there is a negative correlation between the performance of the index and fund performance relative to the index.(cont.) Attribution analysis revealed that property selection returns have produced the greatest amount of return deviation from the NPI over time, and that selection and strategy returns are negatively correlated. Regression analysis suggests there is persistence in fund performance in the short term, that a fund's fee is positively correlated with gross returns, although that does not necessarily translate into higher returns to the investor, and that larger funds are negatively correlated with performance.by Valerie Kwong and George Ryan Robison.S.M.in Real Estate Developmen

Detector Description and Performance for the First Coincidence Observations between LIGO and GEO

For 17 days in August and September 2002, the LIGO and GEO interferometer gravitational wave detectors were operated in coincidence to produce their first data for scientific analysis. Although the detectors were still far from their design sensitivity levels, the data can be used to place better upper limits on the flux of gravitational waves incident on the earth than previous direct measurements. This paper describes the instruments and the data in some detail, as a companion to analysis papers based on the first data.Comment: 41 pages, 9 figures 17 Sept 03: author list amended, minor editorial change

Exploring Cumulative Disadvantage, Telomere Length, and Breast Cancer among Black and White Women

Objectives: Cumulative disadvantage (CD) is a concept that recognizes the influence of social determinants on health over the lifecourse—emphasizing accumulated stressors as contributors to physiological damage. The shortening of telomeres has been found to have a direct relationship with increased cancer incidence and overall health. The purpose of this research is to develop a triangulated and biologically validated CD instrument to explore breast cancer disparities among Black and White women. Methods: We recruited a purposeful sample of 15 White and 15 Black pre-menopausal women (ages 25–50 years) who had donated normal tissue to the Susan G. Komen Tissue Bank. Semi-structured qualitative interviews, designed to investigate participants’ exposure to lifetime stressors, were conducted. Drawing from the qualitative interviews and previous research, a quantitative survey instrument was developed to capture the range of stressors experienced by our sample of women. All respondents completed the quantitative survey and their telomere length was assessed using DNA extracted from peripheral blood leukocytes. Results: Qualitative and quantitative assessments of CD were consistent across childhood, adult, and lifetime stressors. Black respondents reported more childhood stressors (t=-2.28, p=0.03), adult stressors (t=-1.87, p=0.07), and lifetime stressors (t=-2.17, p=0.04); however, there were no significant differences in subjective assessments of the perceived impact of stress on health. There was some evidence of shortened telomere length among Black respondents with more CD. Discussion: Preliminary analyses provide evidence of triangulation. Future research will further explore associations between CD and telomere length among a larger sample (N=100) of Black and White American women