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CRE Finance World, Winter 2014

Should All Real Estate Investors Be Value Investors? Appendix 2 — Sub-Period Returns 1 See Time Series Momentum (Moskowitz, Ooi, Pedersen), Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes (Blitz and van Vliet), etc. 2 Assumed public market transaction costs for the REIT index, higher hard asset transaction costs for the NCREIF and Green Street private market indices 3 Sharpe Ratio as defined by annual return / annual standard deviation 4 Culminating with its landmark acquisition of Equity Office Properties 5 Per company website (http://www.blackstone.com/businesses/aam/ real-estate) 6 Data from Cambridge Associates, June 30, 2013 CRE Finance World Winter 2014 92


CRE Finance World, Winter 2014
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