TY - JOUR T1 - Assessing Real Estate Volatility JF - The Journal of Portfolio Management SP - 122 LP - 128 DO - 10.3905/jpm.2003.319913 VL - 29 IS - 5 AU - S. Michael Giliberto Y1 - 2003/08/31 UR - https://pm-research.com/content/29/5/122.abstract N2 - Several approaches to assessing the volatility of private market or direct real estate as an asset class are illustrated in this article. These approaches yield reasonably consistent estimates, falling in a range of 6.5%-9.0% annualized standard deviation of total return for a diversified portfolio of unleveraged, core properties. The estimates take into account the lack of statistical independence from quarter to quarter that is characteristic of private market real estate returns. The estimates provide useful guidance for quantifying the risk of direct real estate for purposes of evaluating real estate's potential role in a multi-asset class portfolio. In addition, the empirical estimates have intuitive appeal: they lie between investment-grade bonds and large-cap stocks. ER -