New research on French nonlisted real estate investment funds - SCPI

Written on 22 Jun 2021.

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We are pleased to enclose an EDHEC-Risk Institute research article published in the Volume 47, Issue 7, July 2021 of The Journal of Portfolio Management- Non-US Financial Markets 2021 Special Edition

In this article "Benefits of Open Architecture and Multi-Management in Real Estate Markets—Evidence from French Nonlisted Investment Trusts", authors Béatrice Guedj, Lionel Martellini and Shahyar Safaee provide evidence that the French nonlisted real estate investment funds market exhibits a substantial level of dispersion in risk and return characteristics, using a unique dataset of Sociétés Civiles de Placement Immobilier (SCPIs).

The Journal of Portfolio Management Non-US Financial Markets 2021

The authors find several attributes to have meaningful explanatory power with respect to such differences in risk and performance. They also find that portfolios of nonlisted real estate investment funds exhibit a substantially lower level of volatility than the average fund in the panel and that 15 SCPIs are enough to capture over 90% of these diversification benefits. Taken together, these results suggest that substantial value can be added by selection and allocation decisions, which could form the basis for a welfare-enhancing open architecture multi-management approach to investment in unlisted real estate investment trusts.


TOPICS: Real estate, developed markets, portfolio construction, performance measurement



  • Open architecture and multi-management are untapped sources of added value in the French unlisted real estate fund market.
  • Through suitable selection and diversification decisions, investors in French real estate funds can achieve substantially higher risk-adjusted performance.
  • These insights can be of potential relevance for other unlisted real estate investment trust markets.


Béatrice Guedj is Head of Research & Innovation at Swiss Life Asset Managers (SLAM). She holds a PhD in Quantitative Economics from Centre Recherche Economie et Statistiques. Béatrice has been in the real estate research and strategy fields in Europe for more than 20 years, involved in Real Estate Asset Allocation and Quantitative Research for Institutional Investors and Sovereign Wealth Funds. She was Managing Director of Grosvenor Fund Management in Continental Europe for 12 years. Béatrice remains highly involved in key professional bodies; she is a senior advisor at the Institut de l’Epargne Immobilière et Foncière and a co-manager of the REFINE network of academic research on commercial real estate hosted at Institut Louis Bachelier to promote quantitative research in the property industry


Lionel Martellini is Professor of Finance at EDHEC Business School and Director of EDHECRisk Institute. He has graduate degrees in economics, statistics, and mathematics, as well as a PhD in finance from the University of California at Berkeley. Lionel is a member of the editorial board of the Journal of Portfolio Management and the Journal of Alternative Investments. An expert in quantitative asset management and derivatives valuation, his work has been widely published in academic and practitioner journals and he has co-authored textbooks on alternative investment strategies and fixed-income securities.


Shahyar Safaee is a research director and the head of business development at EDHEC-Risk Institute. He holds master’s degrees in engineering (Ecole des Mines de Saint-Etienne) and financial mathematics (Université Claude Bernard in Lyon). Before joining EDHEC-Risk Institute in 2020, Shahyar was a capital markets professional with a 20-year track record in both sellside and buy-side roles, notably spending 18 years in J.P. Morgan’s Global Equities division in London, Paris, and New York, serving institutional clients in various capacities including quantitative research, trading, fund management, and structuring