We examine how the predictability of real estate returns affects the risk of, and optimal allocations to, real estate for investors of differing investment horizons. Returns to direct real estate are mean reverting, and risk decreases with horizon. This is driven by a tendency for property...

The advent of futures contracts on residential housing indices has enabled the creation of synthetic investment positions in residential property, an asset class previously unattainable for institutional investors. To determine whether institutional investors have an incentive to utilize this...