REIT-BASED PURE PROPERTY RETURN INDEXES

摘要

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.