Portfolio construction and performance measurements of real estate investment trust (REITs) in Kuala Lumpur Composite Index (KLCI) and Strait Time Index (STI) / Mohammad Sahri Halil

Real estate investment trust or REITs arc investment vehicle which invest in primarily in real estate. REITs also are collective investment scheme where funds are pooled together in a common fund. REITs can act as inflation hedge-while cost of living rises, rental income can rise as well. This study is to construct the portfolio and measure the performance of REITs securities in Asia country. For this study, the countries taken as sample are Malaysia and Singapore. Kuala Lumpur Composite Index (KLCI) and Strait Time Index (STI) as market benchmarks. The construction of the portfolio based on the Efficient Frontier Model and the measurement of portfolios' performance based on market-based measurement, and abnormal return. The data include total return and historical beta of each securities, 3-months Treasury bill and total return for market benchmark. All data collected are monthly basis for both countries.