Reit-Based Pure Play Portfolios: The Case of Property Types
Real Estate Economics
Posted: 28 Mar 1998
This paper 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.
JEL Classification: G1, G2
Suggested Citation: Suggested Citation