ABSTRACT
South African REITs are important to the South African economy, having grown from below R50 billion in 2004 to peak at around R435 billion by 2017, before started retracting. This paper assesses role of SAREITs by examining their risk-adjusted performance, portfolio diversification benefits and significance in a mixed-asset portfolio over 2013-2021. Total monthly returns, risk-adjusted performance and correlations were determined. This was followed by determining asset allocations and plotting efficient frontier diagrams. The findings show that SAREITs generated inferior risk-adjusted returns compared to benchmarks over 2013–2022 and offered minimal portfolio diversification benefits. Whilst this paper is not the first to provide empirical evidence on SAREITs’ risk-adjusted performance, it is the first to publish empirical analysis on the extent to which SAREITs play a role in mixed-asset portfolios. This research enables practical, more informed, and empirically validated investment decision-making concerning the strategic role of SAREITs in a portfolio.
