Abstract
Real estate offers a range of investment alternatives for mutual funds including residential real estate, commercial real estate and units in listed real estate investment trusts (REITs). Our quarterly total return data spans the period from the 3rd quarter 1986 to the 3rd quarter 2009 using various combinations of the Australian All Ordinaries share price index and these three classes of real estate investment. Comparison of Sharpe and Sortino (downside risk) measures across a range of portfolios suggest that diversification benefits may be achieved through diversifying into real estate investment, particularly direct investment in residential real estate, given an initial exposure to the equity market.
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