timberland investments in an institutional portfolio - Iwc.dk

TIMBERLAND INVESTMENTS IN AN INSTITUTIONAL PORTFOLIO 2EXECUTIVE SUMMARY..................................................................................................31 INTRODUCTION .......................................................................................................52 TIMBERLAND RETURN CHARACTERISTICS...........................................................62.1 RETURN DRIVERS...........................................................................................62.2 RETURN STRUCTURE .....................................................................................82.3 DISTRIBUTION OF TIMBERLAND RETURNS ................................................103 HISTORICAL TIMBERLAND PERFORMANCE........................................................113.1 THE NCREIF TIMBERLAND INDEX ............................................................123.2 RETURN CHARACTERISTICS FOR TIMBERLAND AND OTHER ASSETS......153.3 CORRELATIONS OF TIMBERLAND RETURNS TO OTHER ASSETS..............173.4 PERFORMANCE MEASUREMENTS ...............................................................184 IWC’S ASSET ALLOCATION MODEL...................................................................214.1 RISK, RETURN AND CORRELATION ............................................................214.2 EFFICIENT FRONTIER ANALYSIS ................................................................224.3 THRESHOLD ANALYSIS................................................................................23REFERENCES................................................................................................................24