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Abstract
The financial crisis and the rescue measures taken by governments and central banks increased investors’ interest in liquidity and in real assets supposed to offer a hedge against inflation. Against this background, we investigate empirically four real assets (real estate, commodities, infrastructure, and shipping) for which there are investment instruments available that trade in liquid markets. Our empirical study using data from 1999 to 2009 yields several results: First, in most cases, the addition of real assets improved portfolio performance in comparison with a base portfolio consisting only of standard stocks and bonds. Second, the time frame chosen for the analysis matters very much. This is bad news for investors, because there is no such thing as the single true time frame for this purpose. Third, despite significant conceptual differences, our four different performance measures led to the same conclusions. This result is interesting for investors beyond our specific setting, because the selection of a specific performance measure from the vast supply of such measures does not seem to matter much. Fourth, although we focused on a certain way to invest into the discussed real assets, investors have different alternatives for investing. These alternatives share specific characteristics and reflect certain advantages and disadvantages.
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