City Research Online

Abstract

In this study, we investi- gate whether the risk-Adjusted returns of a global REIT portfolio would be enhanced by adopting a trend following global strategy (which is an abso- lute concept sometimes known as absolute mo- mentum), a momentum-based strategy (which is a relative concept and requires individual country al- locations), or indeed a combination of the two. e examine the results in terms of both a dedicated global REIT exposure, and the impact on a multi- asset portfolio. We find that the main improve- ments arise when the broad index is replaced with one of the four trend following strategies. The port- folios deliver similar returns but volatility is re- duced by up to a quarter to the 8%-9% range, the Sharpe ratios increase by 0.1 to 0.5 with the main benefit being the reduction in the maximum draw- down to under 30% compared to 43% when the broad index was used. We thus find that a com- bined momentum and trend following a global REIT strategy can be beneficial for both a dedicated REIT portfolio and adding REITs to a multi-Asset portfolio.

Publication Type:	Article
Departments:	Bayes Business School > Finance

Export

Downloads