Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/219871
Title: SIGNIFICANCE OF MATURE & GLOBALISED SINGAPORE REIT IN A MULTI-ASSET PORTFOLIO
Authors: RYUJU OSAMURA
Keywords: Real Estate
School of Design & Environment
REIT
Multi-Asset Portfolio
REIT Portfolio Sizing
RE
Seah Kiat Ying
2018-2019 RE
Portfolio Diversification
Asset Allocation
Singapore REITs
Issue Date: 16-May-2019
Citation: RYUJU OSAMURA (2019-05-16). SIGNIFICANCE OF MATURE & GLOBALISED SINGAPORE REIT IN A MULTI-ASSET PORTFOLIO. ScholarBank@NUS Repository.
Abstract: Purpose – Singapore Real Estate Investment Trusts are an important property investment vehicle, with a current market capitalisation of S$88 billion making it the third largest REIT in Asia. The purpose of this paper is to assess the significance of Singapore REIT in a mixed-asset portfolio and its optimal portfolio allocation sizing over 2007-2018. In addition, the paper explores S-REITs contribution to a portfolio during different stages of its growth. Design/Methodology/Approach - Mean-variance optimization, the heart of modern portfolio theory is used as the primary tool for this paper. The three sets of inputs required to make up a given opportunity set – returns, standard deviations, and correlation coefficient. This allows for the creation of an efficient frontier, where each point on the frontier represents the risk and return of an efficient asset allocation. Efficient frontier and asset allocation diagrams are used to assess the significant of Singapore REIT in a mixed asset portfolio over 2007-2018. Additionally, alpha and beta analysis is conducted to quantitatively measure the impact of including S-REIT in a portfolio. Findings – S-REIT have shown favourable performance in risk-adjusted return however a limited in diversification benefits. Including S-REIT in a mixed-asset portfolio do enhance a portfolio’s expected return but it may contribute to additional risk borne by the investor. Although imperfect correlation were observed between S-REIT and other assets, the diversification benefits of including S-REIT were minimal. Optimal portfolio allocation was found to be 11.8% which yielded the highest risk-adjusted return for the portfolio composed of S-REIT, Bonds and Property.
URI: https://scholarbank.nus.edu.sg/handle/10635/219871
Appears in Collections:Bachelor's Theses

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