§16.3.1Hedges and structures

Property type diversification

A variant of §16.3 Intra-asset diversification within real estate

Hold different kinds of property, such as apartments, offices, industrial buildings and shopping centres. Studies suggest this lowers non-market risk even after costs.

Open in the builderAs a long-only proxy; see how ARCANE uses it.

Asset class: Real estate
Held for: Years
Data: ARCANE has part of the data
Symphony: Builds as a long-only proxy

The rule

Signal: Property type of each holding
Entry and exit: Buy and hold
Sizing: Roughly equal weight by type

How it fails

Fewer ETFs per type
Costs
Types can move together

Data it needs

property returns by type

Sector REIT ETFs only partly cover types.

How ARCANE uses it

Background for a Call about one property sector. Paper only.

Builds as a long-only proxy. Equal-weight REIT sector ETFs as a rough stand-in for property types.

Variants

Source: Kakushadze and Serur (2018), 151 Trading Strategies, §16.3.1, p. 112 of the SSRN version. Described in our words. Hedges and structures is ARCANE’s filing, not the book’s.

Hypothetical backtest; not investment advice; paper trading only.Past results, real or simulated, do not predict future ones. ARCANE places no live orders from this page.