Major unexpected events have substantial effects on the volatility of listed real estate (LRE) investments, the most recent ones being the Covid-19 pandemic and the Ukraine conflict. Societal changes, such as the rise of e-commerce and remote working, are also affecting how we use buildings and hence how LRE prices react to shocks, these impacts often differing across property sectors and countries. Although listed and direct real estate have common economic drivers, it is well known that LRE reacts more sharply to shocks than direct real estate; this frequently being considered a drawback of LRE by investors. However, little research has investigated whether the higher volatility and liquidity of LRE can lead to higher risk-adjusted returns stemming from tactical portfolio rebalancing. This paper seeks to understand better how the volatility of European LRE across sectors and countries has changed over the period 2007-2022 and how this information can be incorporated in a dynamic portfolio framework. We investigate the impacts of rule-based tactical rebalancing on the performance and composition of a listed real estate portfolio. Finally, we examine the effects of such reallocation on the composition of a mixed-asset porfolio containing LRE. Specifically, this paper attempts to investigate the following research questions:

• How has the volatility of European LRE across sectors and countries changed over time?
• Can rule-based tactical rebalancing exploit changes in volatility to generate excess risk-adjusted returns?
• What are the implications of LRE tactical rebalancing on the composition of a mixed-asset portfolio?