Almost 25 years ago Friedman (1970) demonstrated that unsecuritized real estate, because of its relatively high risk-adjusted return and low correlations with stocks and bonds, receives substantial allocations in efficient, mixed-asset portfolios. Fisher and Sirmans (1994) argue that these attractive features of real estate still exist today. In recent empirical work by Mei and Lee (1994), the presence of a unique real estate factor is detected in securitized and unsecuritized real estate returns that cannot be captured by investing in other assets.
Corgel, J., & deRoos, J. A. (1994). Portfolio allocations to real estate: another story[Electronic version]. Retrieved [insert date], from Cornell University, SHA School site:https://scholarship.sha.cornell.edu/workingpapers/40