Testing the statistical significance of real estate in an international mixed asset portfolio

Simon Stevenson (Graduate School of Business, University College Dublin, Blackrock, County Dublin, Ireland)

Journal of Property Investment & Finance

ISSN: 1463-578X

Publication date: 1 February 2004


This study re‐examines the potential role that direct real estate can play in institutional mixed‐asset portfolios. The paper examines the statistical improvement in performance that can result from the inclusion of real estate in an international mixed asset portfolio, using both in‐sample and out‐of‐sample data. Using US real estate data the results provide evidence that in most cases real estate does not lead to a significant improvement in portfolio performance in sample. However, out‐of‐sample tests indicate that the asset does provide a valuable diversification asset, with significant improvements in performance relative to a base capital market only portfolio.



Stevenson, S. (2004), "Testing the statistical significance of real estate in an international mixed asset portfolio", Journal of Property Investment & Finance, Vol. 22 No. 1, pp. 11-24. https://doi.org/10.1108/14635780410525126

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