부산대학교 도서관

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. [ABSTRACT FROM AUTHOR]