International Real Estate Volatility: A Tactical Investment Strategy

Glenn Mueller, Vaneesha Boney and Andrew Mueller

Journal of Real Estate Portfolio Management, 2008, vol. 14, issue 4, 415-424

Abstract: Executive Summary.In the last few years public real estate vehicles and the REIT concept have expanded into many countries including the United Kingdom in January 2007 and Germany in March 2007. With more investment opportunities, many new international real estate investment funds have sprung up around the world. Therefore new investment strategies to help international real estate investors are needed. Much new research on international real estate returns and country correlations have been performed, but few if any new investment strategies have been developed. This paper looks at a long-term real estate return series collected by Global Property Research (GPR) and finds that the long-term correlations between the three continental regions— North America, Asia, and Europe—are relatively low, thus providing valuable return and diversification benefits. An active allocation strategy is developed for high, medium, and low volatility periods in each region. The findings indicate that investors could have received excess returns by adjusting their regional portfolio allocation weights during different volatility periods in each region.

Date: 2008
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DOI: 10.1080/10835547.2008.12089826

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