请问选项B为何错了？

问题如下：

Bill Morgan is a research analyst at Whittaker & Co., an investment management firm. Sarah Cunningham, Whittaker’s director of portfolio management, asks Morgan to formulate capital market expectations. In his research, Morgan finds that there are two main issues with using historical data for capital market expectations:

1) Historical data may not reflect what could happen in the future.

2) Statistics calculated from the extrapolation of past data may provide poor estimates of future events.

Morgan and his colleague Samantha Tyler discuss the importance of the expected trend rate of economic growth and how it is a key consideration in forming capital market expectations. From Tyler, Morgan gains insight into the trend rate of economic growth and its relationship in forming his capital market expectations.

Morgan needs to forecast developed market equity returns for one of his client’s investment portfolios. He believes that the Grinold–Kroner model could present a reasonable approximation and asks his associate Harry Keegan to help him with the calculation. Keegan provides the following forecasts for Country A in Exhibit 1.

Cunningham also asks Morgan to provide a risk-return analysis for emerging market equity securities. Morgan knows that opportunities exist but has been told that there are unique risks that must be considered in the investment process. Cunningham needs to know the risks and how they may impact investment returns.

A client of Whittaker expresses interest in real estate investments. Morgan knows equity and fixed income investing but is less experienced with real estate investments. Although Morgan assumes that investing in real estate would increase the diversification of the portfolio, he is less certain about the overall risks and returns from this sector. He discusses the real estate market with Mary DeMarco, a real estate investment specialist with his firm. DeMarco informs Morgan there are certain issues to consider when deciding whether a REIT or a direct real estate investment is more suitable for a client’s portfolio.

选项：

A.Although REITs tend to act like real estate in the short run, they act like stocks in the longer run.

B.Studies have shown that direct real estate investment is a good diversifier since it is not very highly correlated with equities.

C.REITs are more highly correlated with direct real estate investment and less highly correlated with equities over multi-year time horizons.

解释：

Answer Choice (A) is incorrect. Although REITs tend to act like stocks in the short run, they act like real estate in the longer run.

Answer Choice (B) is also incorrect. In contrast, direct real estate is often touted as a good diversifier based on the notion that it is not very highly correlated with equities.

The smoothed nature of most published real estate returns is a major contributor to the appearance of low correlation with financial assets, including REITs. Once that is corrected, however, the correlation is higher, even over reasonably short horizons, such as a quarter or a year.