Home • PRRES Inc. Journal • Read the Journal

The Development and Performance of Listed Property Trust Futures

Author/s: Graeme Newell, Tan Yen Keng

Date Published: 1/01/2004

Published in: Volume 10 - 2004 Issue 2 (pages 132 - 145)

Abstract

Listed property trust futures were established on the Australian Stock Exchange (ASX) in August 2002; this being a world first. These property trust futures have been the most actively supported of the range of futures products on the ASX. Using a number of scenarios, property trust futures are shown to be an effective risk management tool for institutional investors for hedging their listed property trust exposure.

Download Full Article

Download the Full Article PDF

14445921.2004.11104157.pdf 14445921.2004.11104157.pdf (213kB)

Keywords

Hedging - Investment Dynamics - Lpt Futures - Lpts - Performance Analysis - Risk Management - Scenario Analysis

References

  • Australian Stock Exchange. 2003a. Futures. ASX: Sydney.
  • Australian Stock Exchange. 2003b. Property Trust Futures. ASX: Sydney
  • Baum, A. 1991. Property futures. Journal of Property Valuation and Investment 9(3): 235–240.
  • Case, K., Shiller, R. and Weiss, A. 1993. Index-based futures and options markets in real estate. Journal of Portfolio Management (Winter): 83–92.
  • Gemmill, G. 1990. Futures trading and finance in the housing market. Journal of Property Finance 1(2): 196–207.
  • Giliberto, M. 1993. Measuring real estate returns: the hedged REIT index. Journal of Portfolio Management (Spring): 94–99.
  • Hoesli, M. and MacGregor, B. 2000. Property Investment: Principles and Practice of Portfolio Management. Longman: Harlow.
  • Liang, Y., Seiler, M. and Chatrath, W. 1998. Are REIT returns hedgeable? Journal of Real Estate Research 16(1): 87–97.
  • Montgomery, R. 2002. Listed property trust derivatives. Annual Listed Property Trust Review 2003. PIR: Melbourne.
  • Newell, G. 1996. A hedge around your property. Journal of Australian Society of Security Analysts (July): 28–30.
  • Newell, G. and Acheampong, P. 2001. The dynamics of the Australian LPT market risk and correlation profile. Pacific Rim Property Research Journal 7(4): 259–270.
  • Oppenheimer, P. 1996. Hedging REIT returns using futures markets. Journal of Real Estate Portfolio Management 2(1): 41–53.
  • Patel, K. 1994. Lessons from the FOX residential property futures and mortgage interest rate futures market. Housing Policy Debate 5(3): 343–360.
  • Perkins, B. 2003. A future for housing futures? Foreclosure Point (www.foreclosurepoint.com).
  • Property Investment Research. 2002. Annual Listed Property Trust Review 2003. PIR: Melbourne.
  • Property Investment Research. 2003. Australian Property Funds Industry Survey 2003. PIR: Melbourne.
  • Property Council of Australia. 2003. Investment Property Index: June 2003. PCA: Sydney.
  • Shiller, R. and Weiss, A. 1999. Home equity insurance. Journal of Real Estate Finance and Economics 19(1): 21–47.
  • Sydney Futures Exchange. 2003. Introduction to futures and options. SFE: Sydney.
  • Thomas, R. 1996. Indemnities for long-term price risk in the UK housing market. Journal of Property Finance 7(3): 38–52.
  • UBS Warburg 2003. UBS Warburg indices: November 2003 (and miscellaneous copies). UBS Warburg: Sydney.
  • Wilson, P. and Okunev, J. 1996. Evidence of segmentation in domestic and international property markets. Journal of Property Finance 7(4): 78–97.
  • Wilson, P. and Okunev, J. 1999. Long-term dependencies and long-run non-periodic co-cycles: real estate and stockmarkets. Journal of Real Estate Research 18(2): 257–278.
  • Wilson, P., Okunev, J. and Webb, J. 1998. Step interventions and market integration: tests in the US, UK and Australian property markets. Journal of Real Estate Finance and Economics 16(1): 91–123.