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Real Estate in Mixed-Asset Portfolios for Various Investment Horizons

Author

Listed:
  • Jean-Christophe Delfim
  • Martin Hoesli

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.

Suggested Citation

  • Jean-Christophe Delfim & Martin Hoesli, 2019. "Real Estate in Mixed-Asset Portfolios for Various Investment Horizons," ERES eres2019_174, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2019_174
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    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2019-174
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    Citations

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    Cited by:

    1. Chin Tiong Cheng & Gabriel Hoh Teck Ling & Yee-Siang Gan & Wai Fang Wong & Kong Seng Lai, 2021. "Revisiting Investability of Heritage Properties through Indexation and Portfolio Frontier Analysis," Risks, MDPI, vol. 9(5), pages 1-16, May.
    2. Douglas Cumming & Satish Kumar & Weng Marc Lim & Nitesh Pandey, 2023. "Mapping the venture capital and private equity research: a bibliometric review and future research agenda," Small Business Economics, Springer, vol. 61(1), pages 173-221, June.
    3. Alfonso Valero, 2024. "Diversification strategies for indirect real estate. Intersection of business, economics, and society in shanghai mixed-use developments," SN Business & Economics, Springer, vol. 4(10), pages 1-26, October.
    4. Martin Hoesli & Richard Malle, 2021. "Commercial Real Estate Prices and Covid-19," Working Papers hal-03186131, HAL.
    5. Martin Hoesli & Richard Malle, 2022. "Commercial real estate prices and COVID-19," Post-Print hal-03611776, HAL.
    6. Martin Hoesli & Graeme Newell & Muhammad Jufri Bin Marzuki & Rose Neng Lai, 2022. "The Performance and Diversification Potential of Non-Listed Value-Add Real Estate Funds in Japan," JRFM, MDPI, vol. 15(5), pages 1-16, April.
    7. Fuerst, Franz & Mansley, Nick & Wang, Zilong, 2021. "Do specialist funds outperform? Evidence from European non-listed real estate funds," Research in International Business and Finance, Elsevier, vol. 58(C).

    More about this item

    Keywords

    Alternative Investments; Investments Horizon; Real Estate Investments; Real Estate Private Equity; VAR Models;
    All these keywords.

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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