§16.3.3Hedges and structures

Property type and geographic diversification

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

Combine two ways of spreading risk, for example four property types across four US regions, giving sixteen groups to hold.

Asset class: Real estate
Held for: Years
Data: Needs data ARCANE lacks
Symphony: Cannot be built as a symphony

The rule

Signal: Property type and region of each holding
Entry and exit: Buy and hold
Sizing: Spread over the sixteen groups

How it fails

Many small positions
Data lacking
Costs

Data it needs

property returns by type and region

No regional property data.

How ARCANE uses it

Background only. Paper only.

Needs property data by type and region.

Variants

Source: Kakushadze and Serur (2018), 151 Trading Strategies, §16.3.3, p. 113 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.