Does the Composition of the Market Portfolio Matter for Performance Rankings of Post-1986 Equity REITs?
Justin D. Benefield, Randy I. Anderson , Leonard V. Zumpano, Journal of Real Estate Portfolio Management, Volume 13, no. 3.Executive Summary. Real estate investment trust (REIT) research indicates that performance rankings do not differ between market proxies containing real estate and the Standard and Poor’s 500, while mutual fund research shows that the proxy chosen significantly impacts performance rankings. Previous REIT performance ranking studies used rather obscure market indices, and only included time periods prior to the Tax Reform Act of 1986. Common market proxies are used to address whether the proxy chosen matters in REIT performance studies. Performance rankings utilize standard singlefactor methodologies and, where possible, their multifactor equivalents. Across all comparisons, results indicate that performance rankings of post-1986 equity REITs are insensitive to the market proxy chosen.