CEM Benchmarking’s 2020 study sponsored by Nareit, provides a comprehensive look at realized investment performance across asset classes over a 21-year period (1998–2018) using a unique dataset covering more than 200 public and private sector pensions with nearly $3.9 trillion in combined assets under management. One of the unique benefits of the CEM dataset is that it provides the actual realized performance of the assets chosen by plan managers and trustees.
The study compares gross and net average annual total returns as well as correlations and volatilities for 12 asset classes with appropriate adjustments for reporting lags associated with illiquid asset classes (unlisted real estate and private equity).
The 2020 study also compares the performance of different styles of unlisted real estate, including internally managed, core, value-added/opportunistic, and fund of funds.
Highlights
REITs had the second highest average annual return of t
