The paper comprises two key sections; the first explores the role of real estate in multi-asset portfolios and the importance of different measures of market risk when allocating to the asset class. The second section covers active risk focusing on the significance of strategic and asset-specific factors when investing domestically and across global markets. Together these themes represent critical considerations for real estate investors, and provide an important context for ongoing research into the role of real estate in multi-asset-class portfolios.When investing globally, investors should take a long-term macro view on national economies and real estate markets, as countries can consistently outperform or underperform in the long run. However, despite the importance of market factors, active risk is unavoidable when investing directly and remains an ever-present consideration. The paper identifies the proportion of active risk that can be driven by the market and the proportion that can be driven by asset-specific factors, for an average-sized portfolio.The global portfolio results show a fairly even split between the variance of market allocation scores and property selection scores. The domestic portfolio results for the UK and US markets show that around 60% of the variation in tracking errors, between the portfolios and the benchmark, is attributable to property selection. The rest of the variation could be attributed to the market components of the benchmark.