RT Journal Article
SR Electronic
T1 Direct Investment in Real Estate
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 55
OP 69
DO 10.3905/jpm.2005.593888
VO 31
IS 5
A1 Gianluca Marcato
A1 Tony Key
YR 2005
UL https://pm-research.com/content/31/5/55.abstract
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.