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Reexamining the Real Estate Quadrants

Farrelly, K. & Moss, A. ORCID: 0000-0002-4320-1764 (2021). Reexamining the Real Estate Quadrants. The Journal of Portfolio Management, 47(10), doi: 10.3905/jpm.2021.1.271


The real estate quadrant approach for categorising the real estate investment universe was first formulated by Hudson-Wilson (2001) and is now 20-years old. These investment conduits have developed significantly over this time and real estate allocations are being shaped by both market and regulatory forces, which are leading investors to re-examine the broadening of blended strategies across these quadrants. In this paper, we examine their performance and dynamic inter-relationships and how these have evolved over time, as well as how they can be utilised to enhance risk adjusted returns. The results show that significant diversification benefits are available to investor utilizing the quadrants. The CMBS market is found to be the main transmitter of shocks amongst the quadrants and private real estate the most significant receiver, with a meaningful shift in their relationships before and after the Global Financial Crisis. Finally, blended real estate portfolios are found to lower the estimated risk and enhance the risk-adjusted performance of a purely private real estate exposure.

Publication Type: Article
Publisher Keywords: Asset management, Dynamic Connectedness, Spillovers, Real Estate Quadrants, Asset Allocation
Departments: Bayes Business School > Finance
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