Real Estate in Mixed-Asset Portfolios for Various Investment Horizons

Jean-Christophe Delfim and Martin Hoesli

ERES from European Real Estate Society (ERES)

Abstract: This research investigates the role of real estate in a mixed-asset portfolio for various investment horizons. Using U.S. data spanning almost three decades, we report that medium to long term investors should allocate 20% of their portfolio to direct real estate. In contrast, short term investors should focus on open-end core funds, which are found to be good substitutes for direct investments. REITs are usually of limited interest as a substitute for direct real estate, but they could be used in conjunction with direct investments for medium and long term horizons, as they partly substitute for stocks. Value-added and opportunistic closed-end funds are found to be imperfect substitutes for direct investments. Finally, we find that including commodities, private equity, and hedge funds in a portfolio enhances its performance but the allocation to real estate barely changes.

Keywords: Alternative Investments; Investments Horizon; Real Estate Investments; Real Estate Private Equity; VAR Models (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2019-01-01
New Economics Papers: this item is included in nep-ure
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2019_174

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