PT  - JOURNAL ARTICLE
AU  - S. Michael Giliberto
TI  - Assessing Real Estate Volatility
AID  - 10.3905/jpm.2003.319913
DP  - 2003 Aug 31
TA  - The Journal of Portfolio Management
PG  - 122--128
VI  - 29
IP  - 5
4099  - https://pm-research.com/content/29/5/122.short
4100  - https://pm-research.com/content/29/5/122.full
AB  - Several approaches to assessing the volatility of private market or direct real estate as an asset class are illustrated in this article. These approaches yield reasonably consistent estimates, falling in a range of 6.5%-9.0% annualized standard deviation of total return for a diversified portfolio of unleveraged, core properties. The estimates take into account the lack of statistical independence from quarter to quarter that is characteristic of private market real estate returns. The estimates provide useful guidance for quantifying the risk of direct real estate for purposes of evaluating real estate's potential role in a multi-asset class portfolio. In addition, the empirical estimates have intuitive appeal: they lie between investment-grade bonds and large-cap stocks.