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Evaluating REIT exchange traded funds

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  • Seow Eng Ong
  • Cheng Xiang Wong

Abstract

Since the inception of the first ETF - a broad-based domestic equity fund tracking the S&P 500 in 1993, Exchange Traded Funds (ETFs) have grown in acceptance and coverage. This paper examines the performance of REIT ETFs in terms of tracking the respective benchmarks and the effect of including REIT ETFs in a mixed asset portfolio. Our research shows that classical ETFs have high correlations with the NAREIT index and tend to provide better tracking while non-classical ETFs have higher tracking errors and deviation from net asset values. We also find that the allocation to REIT ETFs is significant when constructing efficient portfolios.

Suggested Citation

  • Seow Eng Ong & Cheng Xiang Wong, 2012. "Evaluating REIT exchange traded funds," ERES eres2012_023, European Real Estate Society (ERES).
  • Handle: RePEc:arz:wpaper:eres2012_023
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    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2012-023
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    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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