The Application of Aspects of Portfolio Theory in the Evaluation of Certain Australian Residential Real Estate Market

Newman, Cambell Kevin Thomas (1992) The Application of Aspects of Portfolio Theory in the Evaluation of Certain Australian Residential Real Estate Market The University of Queensland:

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Author Newman, Cambell Kevin Thomas
Title of report The Application of Aspects of Portfolio Theory in the Evaluation of Certain Australian Residential Real Estate Market
Formatted title


Publication date 1992
Place of publication The University of Queensland
Total pages 80
Language eng
Subjects 1503 Business and Management
Formatted abstract
This research report investigates the use of portfolio theory in the evaluation of the investment performance of certain Australian residential real estate markets. The return performance of selected capital city and Brisbane suburban housing markets is studied for the period 1982 to 1991.
The estimate of the return for each market is conventionally calculated from the mean of past returns. The risk measure is taken to be the standard deviation of returns from the data series.

As a basis for comparison the returns from the Australian sharemarket and 13 week Treasury notes have been utilised. The performance of these assets and real estate markets is then compared using the Sharpe performance measure.

Tests of correlation are carried out between the returns of residential real estate, the sharemarket, Treasury notes and changes in the Consumer Price Index.

Portfolios are formed from combinations of different real estate markets, the Australian sharemarket and Treasury Notes and the efficient frontiers derived.

It is found that over the 10 year study period residential property in most markets outperformed the Australian sharemarket on the basis of the Sharpe measure. It is concluded that portfolio theory can be usefully applied to residential real estate investment decisions and that holding real estate assets will improve portfolio diversification.







Document type: Research Report
Collection: MBA reports
 
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Created: Thu, 16 Dec 2010, 13:49:23 EST by Mr Yun Xiao on behalf of The University of Queensland Library