What is it about?
This paper seeks to determine whether superior risk-adjusted returns (compared to a free float market capitalisation weighted benchmark index ) can be generated by a specially constructed REIT portfolio. In the first instance specific specialist property sectors are used for portfolio selection , and secondly an automated trend following strategy is applied to minimise losses.
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Why is it important?
This paper is important as it provides evidence to support the use of specific Smart Beta strategies for Global REITs .
Perspectives
This paper is one of a series we are doing , applying automated trading strategies and non market-cap weighting to the Global REIT sector. It continues on from the work we have done on Momentum and Trend Following strategies for general equity portfolios, and on the use of combining listed and unlisted real estate portfolios (aka "Blending").
Mr Alex Moss
City University
Read the Original
This page is a summary of: Can sector-specific REIT strategies outperform a diversified benchmark?, Journal of European Real Estate Research, November 2017, Emerald,
DOI: 10.1108/jerer-11-2016-0042.
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