The Performance of Real Estate Portfolios: A Simulation Approach
Jeffrey D. Fisher
William N. Goetzmann
Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)
April 13, 2005
Yale ICF Working Paper No. 05-07
In this paper we simulate the performance of real estate portfolios using cash flows from commercial properties over the period 1977 Q4 through 2004 Q2. Our methodology differs from analyses that rely upon historical time-weighted rates of return on property. We relax implicit rebalancing and mark to market assumptions inherent in time-series analysis. We use the distribution of internal rates of return to analyze the performance distribution of commercial property investment. We examine the performance of real estate in the context of portfolios of stocks and bonds over the same period.
Number of Pages in PDF File: 26
Keywords: Asset Allocation, Real Estate
JEL Classification: G11, R33working papers series
Date posted: April 19, 2005
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