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《JP Morgan Risks》.pdf
Nick Tyrrell – JPMorgan Asset Management
October 2007
Risks, returns and correlations
for global real estate markets
Outside the Box
For professional investors only – Not for public distribution
JPMorgan Asset Management • Outside the Box • Risks, returns and correlations for global real estate markets 1
Executive summary
In this paper we attempt to provide estimates of the main inputs needed to construct a global
real estate portfolio. Firstly we look at existing market sizes, in terms of both the total and the
invested stock of real estate, the latter being a measure of the “market” portfolio. We then derive
estimates of 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, we believe that the results are sufficiently robust – on both technical and intuitive
grounds – to be used as an input to real-world investment strategy.
Author’s note:
This set of exercises – though ultimately relatively simple in execution – has been brewing for
over a year and would not have been possible without the considerable help of colleagues at
JPMorgan Asset Management. In particular, I would like to acknowledge the assistance of Jesse
Bostwick and Quanwei Li in collecting and transforming data, and of Michael Giliberto and Sue
Kolasa for their conceptual and technical guidance.
2 JPMorgan Asset Management • Outside the Box • Risks, returns and correlations for global real estate markets
Outside the Box
Risks, returns and correlations for global real estate markets
One of the major trends in real estate capital markets in recent years has been the internationalisation of portfolios.
The case for international diversification is compelling and well understood by most investors. It is based on four
principal planks:
• Diversification: Real estate markets are generally poorl
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