1. The motivation behind the common real estate factor is to capture joint movements in an overall real estate cycle, while allowing specific real estate sectors freedom to move up and down relative to that overall cycle. Panel C, not surprisingly, shows that the correlation of the real estate cycle with inflation is between the NCREIF and REIT correlations in Panels A and B. The robust correlations are close to zero at short horizons. They peak around 0.3 at the three-year horizon and end at 0.2 at the five-year horizon. In summary, real estate is not that real;REIT returns)