Real Estate Investment Funds: Performance and Portfolio Considerations

Authors: Brueggeman W.B.; Chen A.H.; Thihodeau T.G.

Source: Real Estate Economics, Volume 12, Number 3, September 1984 , pp. 333-354(22)

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Abstract:

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.

Document Type: Research article

DOI: http://dx.doi.org/10.1111/1540-6229.00326

Affiliations: 1: Edwin L. Cox School of Business, Southern Methodist University, Dallas, Texas 75275.

Publication date: 1984-09-01