Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/46263
Title: The role of Singapore REITs in a downside risk asset allocation framework
Authors: Sing, T.F. 
Ling, S.C.
Issue Date: 2003
Source: Sing, T.F.,Ling, S.C. (2003). The role of Singapore REITs in a downside risk asset allocation framework. Journal of Real Estate Portfolio Management 9 (3) : 219-235. ScholarBank@NUS Repository.
Abstract: Based on the historical relationships between the returns of stocks, bonds and a sample of twenty-two Listed Property Trusts (LPTs) in Australia, this study simulates ex-post returns for Hypothetical Property Trusts (HPTs) over a sample period from March 1995 to March 2002. By substituting the inputs with Singapore stock and bond returns, three sector-specific HPTs and one diversified HPT were constructed. The results show that all four HPTs have outperformed local stocks and bonds over the sample periods. The low correlations of office HPTs and industrial HPTs with stocks suggest that these HPTs could diversify the idiosyncratic risks of a mixed-asset portfolio consisting of stocks and government bonds and push the efficient frontier outward.
Source Title: Journal of Real Estate Portfolio Management
URI: http://scholarbank.nus.edu.sg/handle/10635/46263
ISSN: 10835547
Appears in Collections:Staff Publications

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