realestate · Asset composition · Tuzel (2010)
Real estate holdings
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1970Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
2.77%
95% interval −0.53% to 6.28%
Next year
2026Q4–2027Q3
2.74%
95% interval −0.57% to 6.21%
Next five years
2026Q4–2031Q3
2.64%
95% interval −0.76% to 6.14%
Forecast made 16 Sep 2026, conditioning on this portfolio's OAP returns, which end 2024Q4. The 7 quarters between then and 2026Q4 are unobserved and are integrated out under the model.
Cumulative market-adjusted return
+219% since 1970Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1970Q3–2024Q4 | 2.63% | 10.65% | 0.25 | 1.82 |
| 2020Q1–2024Q4 | −3.61% | 15.02% | −0.24 | −0.54 |
| 2024Q1–2024Q4 | 3.13% | 7.23% | 0.43 | 0.43 |
| 1970Q3–2024Q4 | 2.63% | 10.65% | 0.25 | 1.82 |
| 2020Q1–2024Q4 | −3.61% | 15.02% | −0.24 | −0.54 |
| 2024Q1–2024Q4 | 3.13% | 7.23% | 0.43 | 0.43 |
| 1970Q3–2024Q4 | 2.93% | 12.76% | 0.23 | 1.69 |
| 2020Q1–2024Q4 | 2.38% | 20.66% | 0.12 | 0.26 |
| 2024Q1–2024Q4 | 18.78% | 19.20% | 0.98 | 0.98 |
| 1970Q3–2024Q4 | 2.93% | 12.76% | 0.23 | 1.69 |
| 2020Q1–2024Q4 | 2.38% | 20.66% | 0.12 | 0.26 |
| 2024Q1–2024Q4 | 18.78% | 19.20% | 0.98 | 0.98 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.16 | −0.12 – 0.44 | 0.13 |
| 2026Q4–2027Q3 | 0.16 | −0.11 – 0.44 | 0.13 |
| 2026Q4–2031Q3 | 0.15 | −0.10 – 0.43 | 0.13 |
| 2026Q4 | 0.16 | −0.12 – 0.44 | 0.13 |
| 2026Q4–2027Q3 | 0.16 | −0.11 – 0.44 | 0.13 |
| 2026Q4–2031Q3 | 0.15 | −0.11 – 0.43 | 0.14 |
| 2026Q4 | 0.22 | −0.04 – 0.49 | 0.05 |
| 2026Q4–2027Q3 | 0.21 | −0.04 – 0.47 | 0.05 |
| 2026Q4–2031Q3 | 0.19 | −0.06 – 0.44 | 0.06 |
| 2026Q4 | 0.22 | −0.04 – 0.50 | 0.05 |
| 2026Q4–2027Q3 | 0.21 | −0.04 – 0.47 | 0.05 |
| 2026Q4–2031Q3 | 0.19 | −0.05 – 0.44 | 0.06 |