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The Effects of REIT Sub-Categories on Mixed-Asset Portfolios in South Africa

Author

Listed:
  • Omokolade Akinsomi
  • Lloyd Kemp
  • Boitumelo Masilela
  • Nishaan Ansary

Abstract

This research aims to determine the effect of various REIT sectors on mixed asset portfolios in South Africa. By using quarterly data and the Markowitz Mean Variance framework the effect of each REIT sector on a mixed asset portfolio is determined. The REIT sectors in South Africa are limited to Diversified, Industrial & Office, Retail and Specialty REITs.Data for this research was gathered from the McGregor database which is linked with the Johannesburg Stock Exchange. All of the data including the REITs stock prices, the All Share and the All Bond was sourced from McGregor Database from January 2004 t December 2013. Results show that there seems to be more substantial evidence that specific REIT sub-categories can achieve lower portfolio risk than All REITs portfolio. Our findings indicate that Diversified REITs, Industrial & Office REITs as well as Specialty REITs are all able to achieve lower portfolio volatility than All REITs. Retail REITS seem to be the riskiest REIT sub-category. This study is relevant for investors such as pension funds,government sovereign funds and mutual funds who are interested in diversifying their portfolios to include specific sector of REITs and most importantly reducing volatility.

Suggested Citation

  • Omokolade Akinsomi & Lloyd Kemp & Boitumelo Masilela & Nishaan Ansary, 2015. "The Effects of REIT Sub-Categories on Mixed-Asset Portfolios in South Africa," ERES eres2015_290, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2015_290
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    JEL classification:

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

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