IDEAS home Printed from https://ideas.repec.org/a/taf/repmxx/v19y2013i2p137-153.html
   My bibliography  Save this article

Risk Measurement Choice in Selecting REITs: Evidence from the U.S. Market

Author

Listed:
  • Claudio Giannotti
  • Gianluca Mattarocci

Abstract

Executive Summary. The returns of real estate investments trusts (REITs) in the United States are not normally distributed and should therefore not be analyzed using the standard mean-variance approach. In this paper, we compare REIT performance rankings based on the Sharpe ratio with those using risk-adjusted performance (RAP) measures that do not assume the normality of the return distribution. The results demonstrate that the rankings obtained by different risk measures are significantly correlated with the Sharpe measure but some of them can show a high degree of time persistence with respect to the Sharpe index. We also study the usefulness of RAP rankings in selecting REITs by comparing the results of a naïve diversified portfolio with those of portfolios concentrating on only the top REITs identified using different RAP measures. The results demonstrate that past information is useful in improving REIT portfolio performance and the choice to consider a more complex RAP measure can increase the yearly performance of investment strategy by around 1%–2%, especially for value-weighted portfolios and/or multiple-year horizons.

Suggested Citation

  • Claudio Giannotti & Gianluca Mattarocci, 2013. "Risk Measurement Choice in Selecting REITs: Evidence from the U.S. Market," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 19(2), pages 137-153, January.
    • Handle: RePEc:taf:repmxx:v:19:y:2013:i:2:p:137-153
    DOI: 10.1080/10835547.2013.12089947
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10835547.2013.12089947
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10835547.2013.12089947?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:repmxx:v:19:y:2013:i:2:p:137-153. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/repm20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.