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The Performance of Thai-Reits in A Mixed-Asset Portfolio

Author/s: Anh Khoi Pham

Date Published: 1/01/2011

Published in: Volume 17 - 2011 Issue 2 (pages 197 - 214)

Abstract

This study examines the development of REITs in Thailand over October 2003 – September 2010, analyses their risk and return characteristics, investigates the dynamic correlations between REITs and other investment vehicles and determines the diversification potential of Thai-REITs in a mixed-asset portfolio. Sub-period analysis is also conducted to analyse the impact of the GFC to the performance of Thai-REITs and correlations with other asset classes. As there was no REIT index available for the Thai listed REITs, a value-weighted REITs index was constructed to represent listed REITs on the Stock Exchange of Thailand. The results show that pre-GFC and during the GFC, Thai-REITs only played a minor role in the mixed-asset portfolio at low risk levels due to their poor risk-adjusted performance. However, the period post-GFC saw Thai-REITs gaining a significant position in the mixed-asset portfolio as the inclusion of Thai-REITs reduced risk and enhanced the return of the portfolio. In addition, the study also suggests that Thai-REITs offer a low-risk investment option and a better portfolio optimizer than property companies for shares investors.

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Keywords

Development - Investment - Mixed-Asset Portfolio - Performance - Thai-Reits - Thailand

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