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Some Additional Evidence on the Performance of Commingled Real Estate Investment Funds

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Abstract

This paper examines the investment performance of two commingled real estate investment funds (CREFs) over the past twenty years. Results indicate that these funds: (1) offered very good portfolio diversification potential by reducing risk and increasing return; and (2) provided a good hedge against (anticipated) inflation over the entire period of study. Risk-adjusted performance for these CREFs generally remained superior to stock and bond performance because of the lower volatility in CREF returns. While CREFs provided a significant hedge against inflation during the 1972-1991 period, this hedge was significantly diminished during the 1984-1991 period, a period when the rate of inflation was relatively low.

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File URL: http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/past/vol07n04/v07p433.pdf
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Article provided by American Real Estate Society in its journal Journal of Real Estate Research.

Volume (Year): 7 (1992)
Issue (Month): 4 ()
Pages: 433-448

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Handle: RePEc:jre:issued:v:7:n:4:1992:p:433-448

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Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
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Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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Web: http://aux.zicklin.baruch.cuny.edu/jrer/about/get.htm

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  1. K. C. Chan & Patric H. Hendershott & Anthony B. Sanders, 1990. "Risk and Return on Real Estate: Evidence from Equity REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(4), pages 431-452.
  2. Friend, Irwin & Landskroner, Yoram & Losq, Etienne, 1976. "The Demand for Risky Assets under Uncertain Inflation," Journal of Finance, American Finance Association, vol. 31(5), pages 1287-97, December.
  3. George W. Gau & Ko Wang, 1990. "A Further Examination of Appraisal Data and the Potential Bias in Real Estate Return Indexes," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(1), pages 40-48.
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Cited by:
  1. Ewing, Bradley T. & Payne, James E., 2005. "The response of real estate investment trust returns to macroeconomic shocks," Journal of Business Research, Elsevier, vol. 58(3), pages 293-300, March.

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