The present disclosure is directed to generating REIT-based pure property return indexes. First, REIT return data is compiled from each REIT of a plurality of REITs at a predetermined frequency. Then, the generated REIT return data is de-levered and processed according to exposures to each of a plurality of target characteristics to obtain coefficients reflecting each REIT's weight in an index. Finally, an index is generated according to the REITs, the obtained coefficients, and the weights.
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