1. Property investment results of Dutch pension funds (2004-2008):
International diversification is disappointing
Jan-Willem Dijkhuis
Managing Director
Lymos Real Estate Capital Advisors

2. Main questions for pension funds are
Pension funds experiences
Main questions for pension funds are
Does a international focused RE investment strategy generate higher returns and a lower risk profile
Is a domestic investment approach a too high risk for pension funds

3. Pension funds experiences 2004-2008
Relevant Data
# Dutch Pension funds 30
AuM in real estate 2008 (€ bln) 58
Industry pension funds 19
Corporate pensionfunds 11
interesting period in terms of volatility
The analyses is based on returns as published in annual reports of pension funds instead of using market data

4. Pension funds experiences 2004-2008
First question
What have been the results of pension funds in real estate investing over the last five years
Second question
What can we learn form these findings

7. Higher risk has not led to higher returns over the years 2004-2008
The 15 low volatile funds have mainly invested in Dutch real estate
The 15 high volatile funds have mainly constructed a Global real estate portfolio

8. The usefulness of international diversification.
International diversification over the years has not led to a lower risk profile
 Period
Return
Risk
Pension funds that mainly (>50%) invest in the Netherlands
7.9%
5.9%
Pension funds that mainly (>50%) invest internationally
6.7%
19.3%
But from the above it is not possible to conclude that international diversification does not work.

9. The usefulness of international diversification.

10. The usefulness of international diversification.
A comparison between risk return profile of pension funds and benchmarks

11. Final Observations over the years 2004-2008
Risk return profile of pension funds that invested mainly internationally in has been less favorable compared to pension funds that invested mainly in the Netherlands
Risk return profile of pension funds that invested mainly internationally in has been less favorable than might be expected on the basis of the global index.  Implementation problem?
Further research is needed