NEW REPORT: SMART BETA FOR GLOBAL REITS
1st February 2015
The two papers we preview this month both show how utilizing different Smart Beta strategies can affect returns. Our paper, with Kieran Farrelly, takes an initial look at the Global market, 2004-2014, and examines how a number of strategies (LTV, Price to Book Value, Total assets) provide superior returns. The other paper is by C. Stace Sirmans and Professor G. Stacy Sirmans and provides a model for determining the unexpected value in Market-to-Book ratios. Their long/short value strategy built on the unexpected component of the market-to-book ratio produced returns of 1.21% per month over 1985-2013, nearly three times as high and much more statistically robust than simply trading on the raw market-to-book ratio. They also look at Fundamental Indexation and Alternative Beta strategies for the US market.
