REIT‐Based Pure‐Play Portfolios: The Case of Property Types
研究如何用REIT构建纯投资组合，复制目标房地产板块表现，避免非目标板块影响，可用于对冲、投机和构建平衡组合，并比较了四种商业物业类型的收益。
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.