Swiss Life Asset Managers France “Real Estate in Modern Investment Solution"
Presentation of the Partner
About Swiss Life Asset Managers
Swiss Life Asset Managers has more than 160 years of experience in managing the assets of the Swiss Life Group. This insurance background has exerted a key influence on the investment philosophy of Swiss Life Asset Managers, which is governed by such principles as value preservation, the generation of consistent and sustainable performance and a responsible approach to risks. That’s how we lay the groundwork for our clients to make solid, long-term plans – in self-determination and with financial confidence. Swiss Life Asset Managers offers this proven approach to third-party clients in Europe as well as in selected non-European countries.
As at 31 December 2020 assets under management for third-party clients amount to EUR 84.7 billion. Together with insurance assets for the Swiss Life Group, total assets under management at Swiss Life Asset Managers stood at EUR 249.2 billion. Swiss Life Asset Managers is a leading real estate manager in Europe1. Of the assets totaling EUR 249.2 billion, EUR 71.8 billion is invested in real estate. In addition, Swiss Life Asset Managers has real estate under administration of EUR 25.6 billion through its subsidiaries Livit and Corpus Sireo. Total real estate under management and administration at the end of December 2020 thus came to EUR 97.5 billion.
Swiss Life Asset Managers employs about 2300 people in Europe.
1 INREV Fund Manager Survey 2021(AuM as of 31.12.2020)
Presentation of the Partnership
Objectives
The Swiss Life Asset Managers France “Real Estate in Modern Investment Solutions” research chair will involve three years of academic research to analyse the role of real estate in investment solutions.
The aim of this research chair is to provide a comprehensive analysis of the role of listed and unlisted real estate investments in institutional portfolios, with a particular emphasis on how dedicated forms of real estate investments can prove to be key ingredients within the performance and hedging components of welfare-improving forms of retirement solutions.
An important part of this research effort will be dedicated to assessing the theoretical, empirical and practical challenges related to factor investing in real estate markets, with the ambition to facilitate the emergence of more efficient approaches to real estate risk premia harvesting.
As part of the research chair, we also expect to examine how dedicated forms of real estate investments can be used as part of goal hedging portfolios within improved retirement solutions, based on their ability to generate
inflation-linked replacement income cash flows.
We shall also analyse how insurance products can be integrated with real estate investments to provide a comprehensive retirement solution for all stages of retirement.
[Press release announcing the creation of the research chair (17/10/18)]
Research Outputs:
Replication of Real Estate Indices: Evidence From the French Property Investment Market
March 2022
Béatrice Guedj, Lionel Martellini, Shahyar Safaee
Authors find that it is possible to track the EDHEC IEIF Commercial Property (France) index with a satisfactory degree of accuracy (based on mean excess return and tracking error) over long-term horizons by constructing a buy-and-hold and cap-weighted portfolio of 10 to 15 SCPIs, thereby mitigating the liquidity constraints of the French non-listed real estate fund market. Our proposed replication method does not require any modelling or any data-intensive calculation and is therefore expected to be robust. Additionally, the analysis shows that a buy-and-hold and equal-weighted portfolio of 10 to 15 SCPIs can be seen as a reasonable proxy of the MSCI France Annual Property index. They also confirm that French listed real estate companies (SIICs) have the potential to complement SCPIs to further improve the replication of the MSCI France Annual Property index, although the exact portfolio implementation will likely require a model for the smoothing effect embedded in appraised valuations. Their work could naturally be extended by including more specific liquidity constraints and criteria in either the selection or the allocation process. In conclusion, it appears that investors looking for passive exposure to the French commercial real estate asset class, either to enhance the risk-adjusted return of their multi-asset portfolios or to construct a multi-asset retirement goal-hedging portfolio, can potentially gain access to a simple and investable solution.
Benefits of Open Architecture and Multi-Management in Real Estate Markets
Published in the special issue of The Journal of Portfolio Management on Investing in Non-US Financial Markets
July 2021
Béatrice Guedj, Lionel Martellini, Shahyar Safaee
Authors 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 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.
June 2021
Béatrice Guedj, Lionel Martellini, Shahyar Safaee
This publication reviews the risk and return characteristics of Sociétés Civiles de Placement Immobilier (SCPIs), a form of French non-listed real estate funds, to assess whether modern investment management techniques can be applied to this growing universe of investment vehicles. We find that the commercial SCPI market offers a significant amount of dispersion in risk and return, and portfolios of SCPIs exhibit a substantially lower level of volatility than the “average SCPI”. We also find several attributes to have explanatory power with respect to such differences in risk and performance. Both results suggest that value can be added by selection and allocation decisions, which could form the basis of a welfare-enhancing open architecture multi-management approach to investment in SCPIs.
[Press release announcing the publication of the research: 28/06/21]
[Communiqué de presse annonçant la publication de la recherche: 28/06/21]
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
