IPD/MSCI Asset Owner Survey: Real Estate Insights ERES conference Bucharest June 2014
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1 IPD/MSCI Asset Owner Survey: Real Estate Insights ERES conference Bucharest June 2014 Bert Teuben & Peter Hobbs, IPD research 2013 Investment Property Databank Ltd. All rights reserved. ipd.com 1
2 Agenda Investment process Asset Owner Survey Approach AO Real Estate exposure AO Real Estate Risk Management 2014 Investment Property Databank Ltd. All rights reserved. ipd.com 2
3 IPD/MSCI Asset Owner Survey: Shining a Light on Misalignments through the Investment Process Objectives and execution options can create a disjointed investment process Board of Trustees/CIO Real Estate Dept Real Estate Managers Theory Allocation Strategy Implementation $ $ Reality Limited clarity on Real Estate Risks Misaligned policy benchmarks Cannot see impact of property - specific factors Source: IPD 2014 Investment Property Databank Ltd. All rights reserved. ipd.com 3
4 Challenges Exist Through the Real Estate Investment Process Board of Trustees CIO Office Managers Allocation Strategy Implementation Investment Process: Reality Limited clarity on Real Estate Risks Misaligned policy benchmarks Cannot see impact of property - specific factors Potential Challenges: Allocating to real estate Limited clarity on the role for real estate, and allocations to the asset class Weak integration with multi-asset-class risk analysis Real Estate Strategy Inappropriate strategy for real estate mandate (style, geography) Weak oversight and governance of real estate strategy Fund, portfolio, and asset performance Limited oversight of portfolio and assetspecific risks Potential for style drift in implementation of strategy Source: IPD 2014 Investment Property Databank Ltd. All rights reserved. ipd.com 4
5 Agenda Investment process Asset Owner Survey Approach AO Real Estate exposure AO Real Estate Risk Management 2014 Investment Property Databank Ltd. All rights reserved. ipd.com 5
6 Survey Approach MSCI conduct AO surveys every 18 months or so. On this occasion, the survey focused on Multi-Asset-Class Allocation issues, and Real Estate Three main data sources: 40 in-person interviews during Q with Risk Managers/CIO s at organizations with $3.2 T in assets Supplemented by 44 responses to an online version, with another $0.7 T in assets Data from the annual reports and public sources of 138 organizations, with combined assets of $10.3 T Conducted jointly by: MSCI Neil Gilfedder, Zita Marossy, Thomas Verbraken IPD Peter Hobbs, Bert Teuben, Bridget Bruss 2014 Investment Property Databank Ltd. All rights reserved. ipd.com 6
7 Australia USA Canada Benelux UK Other DE, AT, CH Asia Nordic Multi-asset-class Allocations: 40:40:20 has Replaced 60:40, but Wide Variations Across Markets 38% Global 2% 19% 41% Asset Class Allocations Across Regions Alternatives Fixed Income Equity Cash % 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Alternatives Equity AUM ($tn) Regional Fixed Income Cash AUM $tn Note: Based on 138 asset owners in Survey Universe. Calculated on % of assets in each category, not number of asset owners. Sources: IPD; MSCI 2013 Investment Property Databank Ltd. All rights reserved. ipd.com 7
8 Real Estate is the Favoured Alternative Asset Class, Globally and in all Markets Except USA Global Alternative Allocations Across Regions % 30 Regional 24% 35% Real Estate Infrastructure Hedge Funds 15 21% 15% 5% Private Equity Other Note: Based on 138 asset owners in Survey Universe. Calculated on % of real estate assets in each category, not number of asset owners. Sources: IPD; MSCI 2013 Investment Property Databank Ltd. All rights reserved. ipd.com 8
9 Survey was based on 138 AO s with over $10tn assets and $696bn in Real Estate 127 AOs with real estate $8.8 tn Total assets under management 9 AOs without real estate $1.5 tn Total assets under management $696 bn Total real estate assets 8% average real estate allocation Note: Asset Owners included in the survey including Pension Funds and SWFs, but excluding Insurance companies and HNW Source: IPD; MSCI 2013 Investment Property Databank Ltd. All rights reserved. ipd.com 9
10 Real estate represents 8-12% of exposure for most mature investment markets, with significant variations across regions Lowest allocations in Asia and Nordics due to Legacy of early-1990s crisis (Japan and Sweden) Emergence of new AO s ramping up Real Estate (Nordics and Asia) Allocations set to grow across all markets Total assets and real estate exposure across regions 2014 Investment Property Databank Ltd. All rights reserved. ipd.com 10
11 Exposure Varies Within Regions as Much as Between Them No relationship between size and allocation to real estate Group of global asset owners with >$15bn each, increasingly internalizing % Real Estate holdings across regions 2014 Investment Property Databank Ltd. All rights reserved. ipd.com 11
12 Core Dominates Investment Style, but 45% Playing Other Roles Especially U.S., Asia and ME Global Allocations to Investment styles of real estate across regions Regional Note: Based on 138 asset owners in Survey Universe. Calculated on % of real estate assets in each category, not number of asset owners. Sources: IPD; MSCI 2013 Investment Property Databank Ltd. All rights reserved. ipd.com 12
13 Home Bias Remains but Appetite for Non-Domestic is Growing Across all Markets Geographic exposure for real estate portfolios Global Regional Note: Based on 138 asset owners in Survey Universe. Calculated on % of real estate assets in each category, not number of asset owners. Sources: IPD; MSCI 2013 Investment Property Databank Ltd. All rights reserved. ipd.com 13
14 Wetighting in Real estate direct global index Home Bias Remains but Appetite for Non-Domestic is Growing Across all Markets 40% 35% 30% 25% 20% 15% 10% Australia Canada Netherlands Sweden Switzerland UK us 5% 0% 0% 20% 40% 60% 80% 100% Domestic Real estate allocation of asset owners Note: Weighting in IPD global index. Sources: IPD; MSCI 2013 Investment Property Databank Ltd. All rights reserved. ipd.com 14
15 MORE DOMESTIC MORE GLOBAL AO Survey Reveals a Range of Options for Investing Within Real Estate: Risk/Return and Geography Schematic representation of role of real estate for major Asset Owners GLOBAL low risk GLOBAL return seeking DOMESTIC inflation hedging DOMESTIC return seeking Note: Each dot represents a specific Asset Owner. Source: IPD; MSCI INFLATION/RISK HEDGING RETURN SEEKING 2013 Investment Property Databank Ltd. All rights reserved. ipd.com 15
16 External Management Dominates, Although this Conceals a Drive for Greater Control by the AO s Global Allocations to different modes of execution Regional Note: Based on 138 asset owners in Survey Universe. Calculated on % of real estate assets in each category, not number of asset owners. Sources: IPD; MSCI 2013 Investment Property Databank Ltd. All rights reserved. ipd.com 16
17 Real Estate Risk Management: Within the Multi-Asset portfolio, and Within the Real Estate exposure Multi-asset class portfolio Real estate market Board of Trustees Real estate reference portfolio CIO Office Strategic real estate allocations Managers (internal & external) Portfolio & asset specific 1. Allocation TO REAL ESTATE 2. Allocation WITHIN REAL ESTATE 3. Selection OF PORTFOLIO & ASSETS EQUITY Core Geography Manager 1 DEVELOPED, EMERGING, ETC. Manager 2 DEBT Real estate Opportunistic Property type ESTABLISHED, ALTERNATIVES, ETC. Manager 3 Manager 4 Real estate OTHER ALTERNATIVES REITs Real estate debt Style CORE, OPPORTUNISTIC, REIT, DEBT, ETC. Manager 5 etc Are risks aligned to allocation and selection decisions? 2013 Investment Property Databank Ltd. All rights reserved. ipd.com 17
18 Real Estate Risk management on two important dimensions: 1. Within the Multi-Asset portfolio, and 2. Within the Real Estate exposure Equity Debt Real Estate Other Alternatives AO RE Investment Process Real Estate Allocation To Real Estate Core Opportunistic REITS RE Debt Allocation Within Real Estate Geography Manager 1 (Developed ; Emerging) Manager 2 Property Type (Established; Alternatives) Style (Core; Opportunistic; REIT; Debt) Portfolio & Asset Selection Manager 3 Manager 4 Manager 5 etc 1. Role of RE in the overall portfolio : Risk/Return Objectives for RE Are differences of behaviour within real estate recognized in the allocation process? Is RE behaviour and exposure integrated with multi asset allocation studies? Is real estate pricing recognized in allocation process? 2014 Investment Property Databank Ltd. All rights reserved. ipd.com 18
19 MORE DOMESTIC MORE GLOBAL 1.1 The Role for Real Estate in a Multi-Asset-Class Context 60% 50% 40% 30% 20% 10% 0% Clarity of risk/return objectives for real estate in overall allocations Role of real estate for major Asset Owners GLOBAL low risk GLOBAL return seeking Note: Based on the rating of the strength of approach on each dimensions (0 = very weak, 5 = very strong) for the 40 asset owners interviewed. Sources: IPD; MSCI DOMESTIC inflation hedging DOMESTIC return seeking INFLATION/RISK HEDGING RETURN SEEKING Real estate characteristics are not well understood and not well integrated into the overall allocation and risk process. We want to better understand the inflation and interest rate sensitivity of real estate; how this varies according to the quality, vacancy rates and discount rates. US Pension Fund, IPD/MSCI Survey Feb Investment Property Databank Ltd. All rights reserved. ipd.com 19
20 1.2 Differences of Behaviour In the Allocation Process Real estate volatility measured by transactions" and valuations" % 30 Valuation Based Index Volatility Transaction Linked Index Volatility Note: Based on the rating of the strength of approach on each dimensions (0 = very weak, 5 = very strong) for the 40 asset owners interviewed. Sources: IPD; MSCI Source: IPD Note: Based on annual volatility over 10 years with quarterly observations, to end 2011 we have struggled to get the right real estate data to use in our ALM process. Nordic Pension Fund, IPD/MSCI Survey Feb 2014 We have good understanding of real estate in the return space, but not in the risk space. US Pension Fund, IPD/MSCI Survey Feb Investment Property Databank Ltd. All rights reserved. ipd.com 20
21 1.3 Real Estate Exposure Integrated in M-A-C Analysis Integration of real estate within multi-asset-class risk analysis tools Note: Based on the rating of the strength of approach on each dimensions (0 = very weak, 5 = very strong) for the 40 asset owners interviewed. Sources: IPD; MSCI asset managers think like fixed income managers 30 years ago when there was little regard to investment-specific risks. The risk team struggles to drill through to the real estate risks and boil these down to six or seven numbers. SWF, IPD/MSCI Survey Feb Investment Property Databank Ltd. All rights reserved. ipd.com 21
22 Q Q Q Q Real Estate Pricing in a Multi-Asset-Class context Average yield spread over 10-yr government bonds 10 9 New York London Paris Sydney Note: Based on the rating of the strength of approach on each dimensions (0 = very weak, 5 = very strong) for the 40 asset owners interviewed. Sources: IPD; MSCI 1 0 We do not have explicit allocations to real estate as this tends to encourage teams to fill up the allocation bucket rather than make investments that are appropriate for the portfolio as a whole. Australian Pension Fund, IPD/MSCI Survey Feb Investment Property Databank Ltd. All rights reserved. ipd.com 22
23 Real Estate Risk management within the Real Estate exposure AO RE Investment Process Equity Allocation To Real Estate Allocation Within Real Estate Portfolio & Asset Selection Debt Real Estate Other Alternatives Real Estate Core Opportunistic REITS RE Debt Geography Manager 1 (Developed ; Emerging) Manager 2 Property Type (Established; Alternatives) Style (Core; Opportunistic; REIT; Debt) Manager 3 Manager 4 Manager 5 etc 2. Risk management of the RE exposure: Extent of Board oversight/involvement in RE activities Are benchmark(s) adopted for the overall RE exposure specific RE mandates/portfolios? Are RE risks monitored at the level of the Asset/lease Portfolio? 2013 Investment Property Databank Ltd. All rights reserved. ipd.com 23
24 Real Estate Risk Management is Starting to Improve, But Challenges Remain: The Case of Benchmarks Global Use of Benchmarks for AO Real Estate Exposure Regional Note: Based on % of asset owners in each category, not value of real estate, and for the 110 AO s for which benchmark information is available Sources: IPD; MSCI 2013 Investment Property Databank Ltd. All rights reserved. ipd.com 24
25 80% of Asset Owners have Some Benchmark Misalignment Alignment of real estate benchmarks with investment strategy Global Regional Note: Based on % of asset owners in each category, not value of real estate. Benchmark alignment based on those for which a Policy benchmark is in place Sources: IPD; MSCI 2013 Investment Property Databank Ltd. All rights reserved. ipd.com 25
26 Total return % Total return % Potential impact of Benchmark Misalignment Effect on benchmark return due to misalignment 20 Geographic misalignment Global direct portfolio with strong home-bias (60% domestic) Local direct index -5 8 Execution misalignment Local direct portfolio with some unlisted fund exposure (25%) Local direct index Investment Property Databank Ltd. All rights reserved. ipd.com 26
27 L E S S E R STRATEGIC ROLE OF REAL ESTATE G R E A T E R Huge variations in approach to Real Estate Risk management Real estate within the multiasset portfolio Understanding of RE Behavior & clarity of objectives Integration with SAA Recognition of pricing Real Estate risk monitoring CIO drill-through insight Benchmarks strategic & mandate Portfolio and asset specific risk metrics Sophistication of approach to Real Estate risk management LAGGARDS THEORISTS LEADERS INDUSTRY NORM L E S S RISK MONITORING M O R E Note: Positioning of individual asset owners on two key dimensions of risk management Source: MSCI/IPD 2014 Investment Property Databank Ltd. All rights reserved. ipd.com 27
28 Key messages from the survey Real estate is a favoured asset class. Home bias remains but there is a trend to increase non-domestic exposure. Significant variations in the role of real estate from low return inflation-hedging through high absolute return seeking. It is precisely this combination that can create significant challenges for asset owners, since it is difficult for risk managers to understand the risks of real estate exposure and integrate with other asset classes. This lack of clarity over the role of real estate creates the potential for misalignment through the real estate investment process. Most fundamentally, this misalignment can occur between the strategic role for real estate and the actual exposure of the real estate portfolio. This potential for strategic misalignment is often created by more tactical mismatches such as the use of inappropriate benchmarks or limited strategic monitoring of portfolio and asset specific risks. Both these mismatches can lead to style drift in the actual real estate exposure. Risk managers are working hard to overcome these challenges, by better integrating real estate with other asset classes, and tightening up the formal risk management of the real estate exposure 2014 Investment Property Databank Ltd. All rights reserved. ipd.com 28
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