Diversification Gains and Systematic Risk Exposure in International Public Real Estate Markets
A 2014 paper on pairs trading and statistical arbitrage in real estate, using a linear factor model on a 1997–2011 sample: the abstract mentions a Sharpe ratio and excess returns and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“From these tests, we produce two portfolios of “cointegratedâ€? and “independentâ€? indices and assess whether they differ in terms of risk-adjusted return.”
AssetReal estate
StrategyPairs tradingmacro signals
TechniqueLinear factor model
GeographyGlobalUS
Also stated: Monthly, 1997–2011, Sharpe ratio, Excess return
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodPairs trading and statistical arbitrage by year
FamilyPairs trading and statistical arbitrage93Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 909
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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