1. Create total return indices of REITs at monthly frequency a) by sector (e.g. industrial/hotel/office/residential), but across many countries, and b) by country, but across sectors. Discuss the risks and returns of these indices and the correlations between them. [30% of marks]
2. For investment portfolios consisting of REITs only, empirically determine the diversification potential by country and compare it to the diversification potential by sector. Also, investigate whether any differences change over time. Discuss your results and their implications for asset managers, drawing on academic and industry research. [70% of marks]
The best assignments will:
produce a critical analysis of the topic;
show evidence of considerable research, reading and effort, including the provision of a correctly referenced bibliography;
have collected and assimilated appropriate material on real estate investment trusts, market performance and other indicators relating to indirect property investments;
demonstrate understanding of underlying financial concepts and theory relevant to the topic chosen;
deliver a well-written, well-structured and analytic report that is appropriate for the purpose described. Required Output You are required to an produce academic style report providing full references and a bibliography.
Indexes need to go back at least to 2006, and be monthly. I already have downloaded the data for the indeces, and I can send it to you.