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What is the optimal portfolio composition for institutional investors given different commercial real estate indices
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Resumo(s)
Despite being essential investment tools for investors, the topic of choosing between
commercial real estate (CRE) indices in theory and practice has been severely under-discovered
in academic research. This study compares the nature and analyzes the return data of five CRE
indices to recommend to practitioners which index to apply in their academic studies and real life portfolios. The results show that the CoStar Commercial Repeat-Sale Index incorporates
information the most efficiently and represents a broad range of properties in the CRE market.
Furthermore, within the optimal portfolios, an allocation towards direct real estate indices of
around 57% or 66%, depending on the portfolio type, is recommended.
Descrição
Palavras-chave
Commercial real estate indices Index comparison Portfolio analysis Institutional investors