David Ng Ching Yat, Lim Boon Keong, Lau Teck Chai and Yuen Mun Kwun
Pertanika Journal of Tropical Agricultural Science, Volume 25, Issue S, January 2017
Keywords: Diversification, market risk, performance ratings, Real Estate Investment Trusts, unsystematic risk
Published on: 28 Jul 2017
An evaluation of M-REITs utilizing the Sharpe, Treynor and Jensen measures was conducted from 2007 to 2015 to investigate the risk diversification benefits of REITs. The results indicate that all selected M-REITs outperform the FBM Property Index. The beta values are less than one, implying that M-REITs are less risky than the market. Low R-squared values, however, suggest that M-REITs are poorly diversified showing the potential for diversification opportunities. A portfolio consisting few different M-REITs may result in better performance. The findings of this research can provide a clearer understanding of REITs performance to portfolio managers and investors.
ISSN 1511-3701
e-ISSN 2231-8542