%0 Journal Article %A Gianluca Marcato %A Tony Key %T Direct Investment in Real Estate %D 2005 %R 10.3905/jpm.2005.593888 %J The Journal of Portfolio Management %P 55-69 %V 31 %N 5 %X 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. %U https://jpm.pm-research.com/content/iijpormgmt/31/5/55.full.pdf