The Performance of Real Estate Portfolios: A Simulation Approach

26 Pages Posted: 19 Apr 2005  

Jeffrey D. Fisher

Indiana University - Kelley School of Business - Department of Finance

William N. Goetzmann

Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

Date Written: April 13, 2005

Abstract

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.

Keywords: Asset Allocation, Real Estate

JEL Classification: G11, R33

Suggested Citation

Fisher, Jeffrey D. and Goetzmann, William N., The Performance of Real Estate Portfolios: A Simulation Approach (April 13, 2005). Yale ICF Working Paper No. 05-07. Available at SSRN: https://ssrn.com/abstract=705303

Jeffrey D. Fisher

Indiana University - Kelley School of Business - Department of Finance ( email )

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William N. Goetzmann (Contact Author)

Yale School of Management - International Center for Finance ( email )

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