การศึกษาผลตอบแทนและประโยชน์จากการกระจายการลงทุน : กรณีศึกษา กองทุนรวมอสังหาริมทรัพย์และกองทรัสต์เพื่อการลงทุนในอสังหาริมทรัพย์ในประเทศไทย / พิชญา กันยานุวัฒน์ = The study of returns and diversification benefits: a case study of Thai property fund and REIT /Pitchaya Kanyanuwat
Nowadays, investment in property fund and REIT is becoming more popular due to low interest rates and high volatility in stock market. Property fund and REIT are expected to offer the stable return because income of property fund and REIT typically come from the rental income of properties its own. However, all investments involve risks, so investors need to understand the nature of the asset, return on investment and risk before investingThe purpose of this paper is to assess the significance risk-adjusted performance and portfolio diversification benefits of property fund and REIT in a mixed-asset portfolio and compare with other investment asset including stock, bond, property stock, and infrastructure fund. This paper Used total monthly returns, monthly risk, the risk-adjusted performance.
Portfolio diversification benefits of Property fund and REITs over 2010–2016 are assessed. Also, efficient frontier used to assess the role of Property fund and REITs in a mixed-asset portfolio. This paper found that Investment in Property fund, REITs, and Infrastructure fund delivered stable returns and risk-adjusted returns which higher than investment in bond and had lower volatility than investment in stock, different from property stock which delivered poor performance with high volatility. Also, adding Property fund, REITs, and Infrastructure fund into mixed-asset portfolios, which invested in stocks and bonds, were found to have produced enhanced risk-adjusted returns over the study period. However, property stock delivered poor performance in mixed–asset portfolios with no portfolio diversification benefits which consistent with the past studies.
