One of my favourite papers The Rate of Return on Everything suggests that property might have Sharpe ratios > 0.5 with 100+ years of history, although I generally think that the volatility is somewhat underestimated there. (It also has a lot of data on the Sharpe ratios for long bonds + equities across a wide range of DM for long histories)
One of my favourite papers The Rate of Return on Everything suggests that property might have Sharpe ratios > 0.5 with 100+ years of history, although I generally think that the volatility is somewhat underestimated there. (It also has a lot of data on the Sharpe ratios for long bonds + equities across a wide range of DM for long histories)