TY - JOUR T1 - REIT-Based Property Return Indices: <em>A New Way to Track and Trade Commercial Real Estate</em> JF - The Journal of Portfolio Management SP - 80 LP - 91 DO - 10.3905/JPM.2009.35.5.080 VL - 35 IS - 5 AU - Holly Horrigan AU - Brad Case AU - David Geltner AU - Henry Pollakowski Y1 - 2009/09/30 UR - https://pm-research.com/content/35/5/80.abstract N2 - Using REIT return data, bond data, and property holding data, the authors construct property market segment-specific indices of asset returns. The authors show that these pure-play indices can be employed to make pure, targeted investments in the commercial real estate market while retaining the liquidity, transparency, and pricing efficiency benefits of the well-developed public market in REITs. These pure-play indices compare favorably with existing property market return indices, displaying volatilities similar to transaction-based indices, such as the Moody’s/REAL Commercial Property Price Index, but tending to lead the private market in time. The pure-play indices can be generated at a daily frequency without significant noise and at various levels of market segment granularity and, notably, have led the transactions-based direct property market indices during the recent market downturn. The authors’ findings suggest that the REIT-based pure-play indices may provide a unique, new information source about the commercial property market, as well as a unique capability to facilitate targeted investments, construct hedges, and potentially support derivatives trading.TOPICS: In markets, real estate, options ER -