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REIT‐Based Pure‐Play Portfolios: The Case of Property Types
Author(s) -
Geltner David,
Kluger Brian
Publication year - 1998
Publication title -
real estate economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.064
H-Index - 61
eISSN - 1540-6229
pISSN - 1080-8620
DOI - 10.1111/1540-6229.00758
Subject(s) - real estate investment trust , property (philosophy) , economics , financial economics , econometrics , finance , real estate , philosophy , epistemology
This article explores a technique for constructing REIT‐based pure‐play portfolios which replicate the performance of target real estate sectors without direct exposure to non‐target sectors. The construction of pure‐play portfolios uses a combination of long and short positions, and does not require time‐series data for the target sectors. Pure‐play portfolios may be useful for hedging, speculation, building custom‐designed balanced portfolios, calculating betas for capital budgeting and developing historical performance indices. Performance indices for the four major commercial property‐type sectors are presented in this paper. REIT‐based sectoral returns are then compared with NCREIF‐based returns by property type.