The diversification potential of securitized real estate for mixed portfolios in South Africa

Show simple item record McDonald, Wendy Lee 2013-07-25T11:57:04Z 2013-07-25T11:57:04Z 2013-07-25
dc.description Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2012. en_ZA
dc.description.abstract Research indicates that investment in un-securitised private real estate in both developed and emerging economies exhibits inflation hedging potential and provides diversification benefits for mixed-asset portfolios, reducing the risk of portfolios that contain mostly common stocks and bonds. This paper examines the risk diversification potential of securitised property funds for investment portfolios comprising traditional asset classes such as common stocks, bonds and cash instruments in the South African context – to establish if they exhibit the same characteristics as un-securitised private real estate. The results indicate that including securitised property funds in a portfolio comprised of traditional assets reduces unsystematic risk in a portfolio by a significant amount. We also assess the affecters of variability in returns of PUT and PLS funds. The results suggest that the variability in PUT and PLS returns can be explained by both the variability in the equity and debt markets (measured by the ALSI and ALBI), and the variability in direct property returns. Importantly, we find that PUT and PLS market pricing is representative of the underlying asset class pricing (direct real estate prices). en_ZA
dc.language.iso en en_ZA
dc.subject Real estate en_ZA
dc.subject Portfolio management en_ZA
dc.subject South Africa en_ZA
dc.title The diversification potential of securitized real estate for mixed portfolios in South Africa en_ZA
dc.type Thesis en_ZA

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