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Do Specialised REITs Outperform Diversified REITs during the Credit Crunch?

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  • Leonard Daniel Lin

Abstract

This study looks at the return and risk characteristics of the Diversified and Specialised REITs in the UK over the last four and half years commencing January 2007.The methodologies used in this study incorporate some simple statistic tools, multiple factor Sharpe ratio regression, and portfolio construction and use of efficient frontier models.In summary, the hypothesis that the Specialised REITs can perform better than the Diversified counterpart during recessions can be supported. The Diversified REITs show a moderate return with lower level of volatility. However, the Specialised REITs track the market more closely. The Office REITs and Retail REITs produce significant impact on the risk-adjusted performance.The Specialised REITs portfolio under the equal-weighted portfolio construction produces a better mean return at a similar level of the volatility, than the Diversified REITs portfolio.

Suggested Citation

  • Leonard Daniel Lin, 2013. "Do Specialised REITs Outperform Diversified REITs during the Credit Crunch?," ERES eres2013_3, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2013_3
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    References listed on IDEAS

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    1. Giacomo Morri & Stephen Lee, 2008. "The Performance Of Italian Real Estate Funds," ERES eres2008_212, European Real Estate Society (ERES).
    2. Dennis R. Capozza & Paul J. Seguin, 1999. "Focus, Transparency and Value: The REIT Evidence," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(4), pages 587-619, December.
    3. Grinblatt, Mark & Titman, Sheridan D, 1989. "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," The Journal of Business, University of Chicago Press, vol. 62(3), pages 393-416, July.
    4. Benefield, Justin D. & Anderson, Randy I. & Zumpano, Leonard V., 2009. "Performance differences in property-type diversified versus specialized real estate investment trusts (REITs)," Review of Financial Economics, Elsevier, vol. 18(2), pages 70-79, April.
    5. Crystal Yan Lin & Kenneth Yung, 2004. "Real Estate Mutual Funds: Performance and Persistence," Journal of Real Estate Research, American Real Estate Society, vol. 26(1), pages 69-94.
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    More about this item

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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