Abstract
Orientation: The study examined the price-based, risk-adjusted return performance of
South African real estate investment trusts (REITs) relative to alternative benchmark
investments.
Research purpose: To assess the risk-compensation ability of REIT investments on a capitalreturn
basis compared with other asset classes, thereby informing tactical asset-allocation
decisions for short-term investors.
Motivation for the study: Limited attention has been given to how South African REITs
perform on a capital-return basis when dividend income is excluded, particularly during
periods of economic instability.
Research design, approach and method: Daily price-based risk-adjusted returns for the
leading REITs were benchmarked against the Johannesburg Stock Exchange (JSE) All Share
Index, JSE Oil and Gas Index, South African Bond Index, and the NewGold Exchange-Traded
Fund using the Treynor, Sharpe, Sortino, Jensen Alpha and Information Ratio measures.
Main findings: REITs showed superior capital-return performance under the Treynor measure
but underperformed alternative investments under the Sharpe, Sortino, Jensen Alpha and
Information Ratio measures. Results reflect capital performance only, excluding income
distributions.
Practical/managerial implications: On a capital-gains basis, REITs may underperform
alternatives, influencing liquidity and short-term allocation decisions for investors seeking
capital stability.
Contribution/value-add: The study contributes to ongoing discussions on asset-class
performance by providing South African evidence of REITs’ capital-return sensitivity to
multiple risk-adjusted metrics and their interaction with other assets such as bonds, oil and
gold, thereby enhancing understanding of their tactical-allocation role.