REIT-based pure-play portfolios : the case of property types and geographic locations

Over the last 20 years the REIT industry has made remarkable progress in terms of the magnitude of market capitalization and management performance. However, it is difficult for investors to precisely target their investments because publicly traded REITs diversify their assets across property types and geographic locations. This research has explored the concept and methodology of a REIT-based pure-play portfolio. This portfolio is defined as an optimal combination of long and short positions in publicly traded REITs, such that the portfolio can replicate the investment returns to a specified target sector without any direct exposure to other sectors while minimizing the idiosyncratic risk component of the portfolio. This thesis constructed pure-play portfolios across four property types and four geographic locations using seven years of structural information on publicly traded REITs. For comparison with the privately held property market, NCREIF sub-indices which represent also four property types and four geographic locations are used. In addition to the construction of pure-play portfolios, the performance indices of REIT-based pure-play portfolios and private property-based NCREIF sub-indices are presented.

Department dc:contributor.department

Massachusetts Institute of Technology. Dept. of Urban Studies and Planning.

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

2004

Author dc:creator

• Kim, Eui-Hoe, 1974-

Advisor dc:contributor.advisor

• Henry O. Pollakowski.

• Urban Studies and Planning.

Statement dc:rights

• M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.

Licence dc:rights.uri

• http://dspace.mit.edu/handle/1721.1/7582

Language dc:language.iso

en_US

Handle dc:identifier.uri

http://hdl.handle.net/1721.1/26738

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/26738