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| Spatial Filtering: Concentration or
Dispersion of NCREIF Institutional Investment Author: Leon Shilton and Graig Stanley Start Page: 569 Abstract: Investors seeking to
construct a portfolio of real estate properties wrestle with the trade-off between the
benefits of wide-area spatial diversification versus the benefits of efficient management
of properties within a small area. This study traces the acquisition and holding patterns
of five types of unleveraged properties at the county level of NCREIF investors for the
years 1985 and 1993. The results suggest that these investors believe they capture the
systematic risk of the national real estate portfolio and sufficiently diversify away the
unsystematic risk by concentrating their holdings within a small core of counties. In 1993
NCREIF investors had 45% of their holdings in fifteen counties that had 15% of the
nation's population and employment. |
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