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Real Estate Investment Funds: Performance and Portfolio Considerations
Author(s) -
Brueggeman W. B.,
Chen A. H.,
Thibodeau T. G.
Publication year - 1984
Publication title -
real estate economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.064
H-Index - 61
eISSN - 1540-6229
pISSN - 1080-8620
DOI - 10.1111/1540-6229.00326
Subject(s) - real estate , diversification (marketing strategy) , portfolio , economics , capital asset pricing model , financial economics , investment performance , alternative asset , real estate investment trust , capitalization rate , cost approach , arbitrage , bond , investment (military) , asset allocation , finance , business , microeconomics , return on investment , marketing , production (economics) , politics , political science , law
This paper presents the results of a study dealing with a number of issues regarding real estate investment. Utilizing a data set consisting of returns from two of the oldest, continuously operating commingled real estate funds (CREFs), questions relative to investment performance, inflation hedging attributes and diversification benefits are addressed. The methodology used in exploring these issues are variants of the traditional capital asset pricing model (CAPM), extended to consider uncertain inflation (CAPMUI) and an arbitrage pricing model in which real estate performance is judged relative to a more inclusive market index representing larger numbers of substitute investments. Finally, issues relative to portfolio performance are considered by constructing portfolios containing all possible combinations of real estate, stocks and bonds to assess the potential for diversification benefits and portfolio performance.