realestate · Asset composition · Tuzel (2010)

Real estate holdings

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1970Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.45%

95% interval −0.20% to 1.13%

Next year

0.47%

95% interval −0.23% to 1.16%

Next five years

0.51%

95% interval −0.33% to 1.29%

Next quarter

0.45%

95% interval −0.20% to 1.13%

Next year

0.46%

95% interval −0.23% to 1.16%

Next five years

0.51%

95% interval −0.33% to 1.29%

Next quarter

0.83%

95% interval −0.07% to 1.90%

Next year

0.79%

95% interval −0.08% to 1.78%

Next five years

0.68%

95% interval −0.21% to 1.60%

Next quarter

0.83%

95% interval −0.07% to 1.91%

Next year

0.79%

95% interval −0.08% to 1.79%

Next five years

0.68%

95% interval −0.20% to 1.62%

Cumulative market-adjusted return

+207% since 1970Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1970Q3–2024Q4	2.63%	10.65%	0.25	1.82
2020Q1–2024Q4	−3.61%	15.02%	−0.24	−0.54
2024Q1–2024Q4	3.13%	7.23%	0.43	0.43
1970Q3–2024Q4	2.63%	10.65%	0.25	1.82
2020Q1–2024Q4	−3.61%	15.02%	−0.24	−0.54
2024Q1–2024Q4	3.13%	7.23%	0.43	0.43
1970Q3–2024Q4	2.93%	12.76%	0.23	1.69
2020Q1–2024Q4	2.38%	20.66%	0.12	0.26
2024Q1–2024Q4	18.78%	19.20%	0.98	0.98
1970Q3–2024Q4	2.93%	12.76%	0.23	1.69
2020Q1–2024Q4	2.38%	20.66%	0.12	0.26
2024Q1–2024Q4	18.78%	19.20%	0.98	0.98

Horizon	Mean	95% interval	P(neg)
Next quarter	0.085	−0.037 – 0.213	0.09
Next year	0.088	−0.043 – 0.218	0.09
Next five years	0.095	−0.062 – 0.243	0.11
Next quarter	0.085	−0.037 – 0.213	0.09
Next year	0.088	−0.043 – 0.218	0.10
Next five years	0.095	−0.062 – 0.243	0.11
Next quarter	0.130	−0.011 – 0.302	0.04
Next year	0.124	−0.013 – 0.281	0.04
Next five years	0.107	−0.032 – 0.251	0.07
Next quarter	0.131	−0.010 – 0.303	0.04
Next year	0.124	−0.012 – 0.283	0.04
Next five years	0.107	−0.031 – 0.253	0.07