|The Effects of REIT Sub-Categories on Mixed-Asset Portfolios in South Africa.
|Akinsomi, Omokolade; Lloyd Kemp; Boitumelo Masilela; Nishaan Ansary
|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._____
|Year of publication:
|REITs, Risk, Real Estate Portfolio Managment, South Africa, Returns
Akinsomi, Omokolade; Lloyd Kemp; Boitumelo Masilela; Nishaan Ansary (2015).
The Effects of REIT Sub-Categories on Mixed-Asset Portfolios in South Africa.. 22nd Annual European Real Estate Society Conference in Istanbul, Turkey,