Time-Varying Diversification Effect of Real Estate in Institutional Portfolios: When Alternative Assets Are Considered

This study examines the role of direct and indirect real estate in a multi-asset portfolio and the benefit of a dynamic asset allocation strategy for institutional investors. The diversification benefits of real estate are well documented in the literature. Nevertheless, as institutional investors i...

Full description

Saved in:
Bibliographic Details
Published in:The journal of real estate portfolio management 2008-10, Vol.14 (4), p.241-262
Main Authors: Hung, Kathy, Onayev, Zhan, Tu, Charles C.
Format: Article
Language:English
Subjects:
Asset allocation
Assets
Bond markets
Bond portfolios
Bull markets
Commodities
Data analysis
Diversification
Equity
Financial portfolios
Hedge funds
Index funds
Institutional investments
Investment
Portfolio analysis
Portfolio diversification
Portfolio management
Portfolio performance
Private equity
Real estate
Real estate indices
Real estate investment trusts
Real estate markets
REITs
Securities markets
Stock exchanges
Stock market indices
Studies
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:This study examines the role of direct and indirect real estate in a multi-asset portfolio and the benefit of a dynamic asset allocation strategy for institutional investors. The diversification benefits of real estate are well documented in the literature. Nevertheless, as institutional investors increase their allocations to other assets, the growing competition from alternative investments motivates the re-examination of the role of real estate in institutional portfolios. The analyses reveal that: (1) after including a wide range of alternative investments, REITs add value to portfolios only in bull markets; (2) mortgage and hybrid REITs provide diversification benefits, whereas equity REITs do not; and (3) direct real estate investments enhance portfolio performance, and the effect is not time-varying.
ISSN:1083-5547
2691-1205
DOI:10.1080/10835547.2008.12089813