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Keywords: Risk-adjusted returns
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Journal Articles
Journal of European Real Estate Research (2018) 11 (1): 28–43.
Published: 08 May 2018
... delivered poor risk-adjusted returns over 2005-2015, with limited portfolio diversification benefits with the overall AIM stock market. However, since the GFC, property companies on AIM have delivered strong risk-adjusted returns, with improved portfolio diversification benefits with the overall AIM stock...
Journal Articles
Journal of European Real Estate Research (2017) 10 (3): 366–383.
Published: 06 November 2017
... to determine whether superior risk-adjusted returns can be achieved. Design/methodology/approach First, the authors examine the performance of portfolios constructed using the criteria of equal weight, minimum variance, maximum Sharpe and risk parity rather than free-float market capitalisation. Second...
Journal Articles
Journal of European Real Estate Research (2016) 9 (2): 171–182.
Published: 01 August 2016
... are assessed. Efficient frontier and asset allocation diagrams are used to assess the role of UK-REITs in a mixed-asset portfolio. Sub-period analysis is used to assess the post-GFC recovery of UK-REITs. Findings UK-REITs delivered poor risk-adjusted returns compared to UK stocks over 2007–2014...
