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Welcome to the 2018 AFS Annual Meeting, being held this year, in conjunction with FPA in Chicago!
Tuesday, October 2 • 10:30am - 11:20am
C2b - Relative Performance of Real Estate Exchange Traded Funds

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This paper examines the performance of Real Estate Exchange Traded Funds (REETFs) over the period of time since their inception through September 2016. We construct equally-weighted portfolios monthly for comparison to the overall U.S. stock market as proxied by the Russell 3000 ETF (IWV).  Our results show that over the entire time period the REETF portfolios experienced higher monthly returns, but also had a slightly higher standard deviation of returns.  We also provide results controlling for risk differentials using the Sharp, Sortino, and Omega ratios.  The results show that REETFs portfolios had higher risk-adjusted performance using all of the various measures.

Author(s): Srinidhi Kanuri, Robert W. McLeod

Presenters
RM

Robert McLeod

University of Alabama


Tuesday October 2, 2018 10:30am - 11:20am
Michigan 1B

Attendees (3)