Trend Following and Momentum Strategies for Global REITs

19 Pages Posted: 8 Jun 2015

See all articles by Alex Moss

Alex Moss

University of Reading - Henley Business School; City University London - Sir John Cass Business School

Andrew Clare

City University London - Sir John Cass Business School

Steve Thomas

City University London - Sir John Cass Business School

James Seaton

City University London - Sir John Cass Business School

Date Written: June 8, 2015

Abstract

This study investigates whether the risk adjusted returns of a global REIT portfolio would be enhanced by adopting a trend following strategy (which is an absolute concept), a momentum based strategy (which is a relative concept and requires individual country allocations), or indeed a combination of the two. We examine the results in terms of both a dedicated Global REIT exposure, and the impact on a multi-asset portfolio. We find that the main improvements arise when the broad index is replaced with one of the four trend following (TF) strategies. The portfolios deliver similar returns but volatility is reduced by up to a quarter to the 8-9% range, the Sharpe ratios increase by 0.1 to 0.5 with the main benefit being the reduction in the maximum drawdown to under 30% compared to 43% when the broad index was used. We thus find that a combined momentum and trend following Global REIT strategy can be beneficial for both a dedicated REIT portfolio and adding REITs to a multi-asset portfolio.

Suggested Citation

Moss, Alex and Clare, Andrew D. and Thomas, Stephen H. and Seaton, James, Trend Following and Momentum Strategies for Global REITs (June 8, 2015). Available at SSRN: https://ssrn.com/abstract=2615686 or http://dx.doi.org/10.2139/ssrn.2615686

Alex Moss

University of Reading - Henley Business School ( email )

Greenlands
Reading, Henley on Thames RG6 6AH
United Kingdom

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Andrew D. Clare (Contact Author)

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Stephen H. Thomas

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 (0) 20 7040 5271 (Phone)
+44 (0) 20 7040 8881 (Fax)

James Seaton

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

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