Low Volatility Investing in U.S. Equity REITs

Greg MacKinnon () and Jon Spinney ()
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Greg MacKinnon: Pension Real Estate Association
Jon Spinney: New Brunswick Investment Management

International Real Estate Review, 2017, vol. 20, issue 1, 1-21

Abstract: We examine the market for U.S. equity real estate investment trusts (REITs) for evidence of the volatility effect, in which low volatility stocks tend to outperform high volatility ones, as has been found in the general equity market by prior research. While there is some evidence of a volatility effect in the first ten years of the sample, this disappears in a more recent time period. Furthermore, we test the efficacy of low risk portfolio construction techniques and find that none perform any better than a market cap weighted portfolio ¡V although they are also no worse ¡V over any of the time periods examined. Thus, there is no evidence that using a risk-based portfolio design that emphasizes low volatility would improve portfolio performance for a REIT allocation.

Keywords: REITs; low volatility anomaly; portfolio construction (search for similar items in EconPapers)
JEL-codes: L85 (search for similar items in EconPapers)
Date: 2017
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