Real estate investment trusts: A price-based risk-adjusted performance study in South Africa
Acta Commercii
| Field | Value | |
| Title | Real estate investment trusts: A price-based risk-adjusted performance study in South Africa | |
| Creator | Tembo, Jonathan Okoro, Chioma | |
| Description | Orientation: The study examined the price-based, risk-adjusted return performance of South African real estate investment trusts (REITs) relative to alternative benchmark investments.Research purpose: To assess the risk-compensation ability of REIT investments on a capital-return basis compared with other asset classes, thereby informing tactical asset-allocation decisions for short-term investors.Motivation for the study: Limited attention has been given to how South African REITs perform on a capital-return basis when dividend income is excluded, particularly during periods of economic instability.Research design, approach and method: Daily price-based risk-adjusted returns for the leading REITs were benchmarked against the Johannesburg Stock Exchange (JSE) All Share Index, JSE Oil and Gas Index, South African Bond Index, and the NewGold Exchange-Traded Fund using the Treynor, Sharpe, Sortino, Jensen Alpha and Information Ratio measures.Main findings: REITs showed superior capital-return performance under the Treynor measure but underperformed alternative investments under the Sharpe, Sortino, Jensen Alpha and Information Ratio measures. Results reflect capital performance only, excluding income distributions.Practical/managerial implications: On a capital-gains basis, REITs may underperform alternatives, influencing liquidity and short-term allocation decisions for investors seeking capital stability.Contribution/value-add: The study contributes to ongoing discussions on asset-class performance by providing South African evidence of REITs’ capital-return sensitivity to multiple risk-adjusted metrics and their interaction with other assets such as bonds, oil and gold, thereby enhancing understanding of their tactical-allocation role. | |
| Publisher | AOSIS | |
| Date | 2025-10-16 | |
| Identifier | 10.4102/ac.v25i1.1418 | |
| Source | Acta Commercii; Vol 25, No 1 (2025); 11 pages 1684-1999 2413-1903 | |
| Language | eng | |
| Relation |
The following web links (URLs) may trigger a file download or direct you to an alternative webpage to gain access to a publication file format of the published article:
https://actacommercii.co.za/index.php/acta/article/view/1418/2766
https://actacommercii.co.za/index.php/acta/article/view/1418/2767
https://actacommercii.co.za/index.php/acta/article/view/1418/2768
https://actacommercii.co.za/index.php/acta/article/view/1418/2769
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