Investment Policy for Securitized and Direct Real Estate

The Use of Listed Real Estate Securities In Asset Management

“…Both REITs and direct real estate improved the efficient frontier, but with direct real estate having a greater impact in the lower risk/return portfolios, whereas REITs provided some return enhancement across all risk/return spectrums. These findings confirm an earlier study by Feldman (2003) in which the US market was analysed over the period [1987][1988][1989][1990][1991][1992][1993][1994][1995][1996][1997][1998][1999][2000][2001]. In this study, the maximum direct and listed allocations in an optimal portfolio were 30% and 15% respectively.…”

Time-varying correlation between stock market returns and real estate returns

“…Nevertheless, there is a range of corrections available for these estimation issues (Byrne and Lee, 1995;Cho et al, 2003;Geltner and Goetzmann, 2000;Georgiev et al, 2003;MacGregor and Nanthakumaran, 1992;Newell and MacFarlane, 1996). Indirect investment offers a more liquid real estate investment but there is also some scepticism in the literature about the performance of this asset class (Brounen and Eichholtz, 2003;Byrne and Lee, 1995;Clayton and MacKinnon, 2001;Feldman, 2003;Georgiev et al, 2003). Estimation issues, arising from share market microstructure effects, could also affect returns calculated for this class of real estate investment (Brounen and Eichholtz, 2003;Georgiev et al, 2003).…”

Real Estate Investment Trusts

“…5 Our results are similar to those of an Ibbotson Associates study commissioned by NAREIT, which suggests that REITs offer an attractive risk-return trade-off and provide meaningful diversification benefits as an addition to many types of portfolios. Feldman [2003] also finds that investing in REITs leads to more efficient portfolios.…”