Property returns in a portfolio context

Examines the role of property in a portfolio investment context. Demonstrates that the return an asset is required to achieve depends on the variability and correlation of returns and not simply average returns. Shows that property, as measured by the Jones Lang Wootton Index, should have been included in institutional portfolios using both nominal and real returns, even if the variability of property was more than doubled. Suggests that property portfolios still offer considerable benefits to existing gilt/equity dominated funds in terms of improved risk‐adjusted performance.