Direct investment in real estate

Marcato, G. ORCID: https://orcid.org/0000-0002-6266-4676 and Key, T. (2005) Direct investment in real estate. Journal of Portfolio Management, 31. pp. 55-69. ISSN 0095-4918 doi: 10.3905/jpm.2005.593888

Abstract/Summary

Momentum strategies have the potential to generate extra profits in private real estate markets. Tests of a variety of frequencies of portfolio reweighting identify periods of winner and loser performance. There are strong potential gains from momentum strategies that are based on prior returns over a 6- to 12-month period. Whether these gains are attainable for real-world investors depends on transaction costs, but some momentum strategies do produce net excess returns. The findings hold even if returns are unsmoothed to reflect underlying market prices.