REIT‐Based Pure‐Play Portfolios: The Case of Property Types

David Geltner and Brian Kluger

Real Estate Economics, 1998, vol. 26, issue 4, 581-612

Abstract: This article explores a technique for constructing REIT‐based pure‐play portfolios which replicate the performance of target real estate sectors without direct exposure to non‐target sectors. The construction of pure‐play portfolios uses a combination of long and short positions, and does not require time‐series data for the target sectors. Pure‐play portfolios may be useful for hedging, speculation, building custom‐designed balanced portfolios, calculating betas for capital budgeting and developing historical performance indices. Performance indices for the four major commercial property‐type sectors are presented in this paper. REIT‐based sectoral returns are then compared with NCREIF‐based returns by property type.

Date: 1998
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