Risks, Returns, and Correlations for Global Private Real Estate Markets

Executive Summary.This paper attempts to provide estimates of the main inputs for constructing a global private real estate portfolio. Existing market sizes are examined in terms of both total and invested stock of real estate, the latter being a measure of the “market” portfolio. Estimates are derived of the risks, returns, and correlations for global real estate across around fifty markets, based on analysis of movements in nominal GDP. Though there are large margins of error in any such exercise, the results are sufficiently robust—on technical and intuitive grounds—to use as an input to real-world investment strategy.