Reit-Based Pure Play Portfolios: The Case of Property Types

Real Estate Economics

Posted: 28 Mar 1998

See all articles by David M. Geltner

David M. Geltner

affiliation not provided to SSRN

Brian Kluger

University of Cincinnati - Department of Finance - Real Estate

Abstract

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

Geltner, David and Kluger, Brian D., Reit-Based Pure Play Portfolios: The Case of Property Types. Real Estate Economics, Available at SSRN: https://ssrn.com/abstract=71648

David Geltner (Contact Author)

affiliation not provided to SSRN

Brian D. Kluger

University of Cincinnati - Department of Finance - Real Estate ( email )

College of Business Administration
Cincinnati, OH 45221
United States
513-556-1688 (Phone)

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