After the Fall: Real Estate in the Mixed-Asset Portfolio
in the Aftermath of the Global Financial Crisis

Abstract

The global financial crisis led some investors to question the benefits of real estate as a risk diversifier in mixed asset portfolios as falling real estate capital values coincided with the bear market in equities: private real estate appeared not to deliver diversification when it was most needed. An analysis of UK private real estate returns, corrected for appraisal effects using a regime-based filtering process confirms that the relationship between real estate and other financial assets is time-varying: but suggests that there remain strong benefits from including commercial real estate in the mixed asset portfolio.