TY - JOUR T1 - Direct Investment in Real Estate JF - The Journal of Portfolio Management SP - 55 LP - 69 DO - 10.3905/jpm.2005.593888 VL - 31 IS - 5 AU - Gianluca Marcato AU - Tony Key Y1 - 2005/09/30 UR - https://pm-research.com/content/31/5/55.abstract N2 - 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. ER -