PT  - JOURNAL ARTICLE
AU  - Gianluca Marcato
AU  - Tony Key
TI  - Direct Investment in Real Estate
AID  - 10.3905/jpm.2005.593888
DP  - 2005 Sep 30
TA  - The Journal of Portfolio Management
PG  - 55--69
VI  - 31
IP  - 5
4099  - https://pm-research.com/content/31/5/55.short
4100  - https://pm-research.com/content/31/5/55.full
AB  - Momentum strategies have the potential to generate extra profits in private real estate markets. Tests of a variety of frequencies of portfolio reweighting identify periods of winner and loser performance. There are strong potential gains from momentum strategies that are based on prior returns over a 6- to 12-month period. Whether these gains are attainable for real-world investors depends on transaction costs, but some momentum strategies do produce net excess returns. The findings hold even if returns are unsmoothed to reflect underlying market prices.