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Spatial Filtering: Concentration or Dispersion of NCREIF Institutional Investment

Investors seeking to construct a portfolio of real estate properties wrestle with the trade-off between the benefits of wide-area spatial diversification versus the benefits of efficient management of properties within a small area. This study traces the acquisition and holding patterns of five types of unleveraged properties at the county level of NCREIF investors for the years 1985 and 1993. The results suggest that these investors believe they capture the systematic risk of the national real estate portfolio and sufficiently diversify away the unsystematic risk by concentrating their holdings within a small core of counties. In 1993 NCREIF investors had 45% of their holdings in fifteen counties that had 15% of the nation's population and employment.

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File URL: http://pages.jh.edu/jrer/papers/pdf/past/vol10n05/v10p569.pdf
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Article provided by American Real Estate Society in its journal Journal of Real Estate Research.

Volume (Year): 10 (1995)
Issue (Month): 5 ()
Pages: 569-582

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Handle: RePEc:jre:issued:v:10:n:5:1995:p:569-582
Contact details of provider: Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
Web page: http://www.aresnet.org/
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Order Information: Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
Web: http://pages.jh.edu/jrer/about/get.htm Email:


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  1. Emil E. Malizia & Robert A. Simons, 1991. "Comparing Regional Classifications for Real Estate Portfolio Diversification," Journal of Real Estate Research, American Real Estate Society, vol. 6(1), pages 53-78.
  2. Terrence M. Clauretie, 1988. "Regional Economic Diversification and Residential Mortgage Default Risk," Journal of Real Estate Research, American Real Estate Society, vol. 3(1), pages 87-97.
  3. Glenn R. Mueller, 1993. "Refining Economic Diversification Strategies for Real Estate Portfolios," Journal of Real Estate Research, American Real Estate Society, vol. 8(1), pages 55-68.
  4. David Hartzell & John Hekman & Mike Miles, 1986. "Diversification Categories in Investment Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 14(2), pages 230-254.
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