Reality Research Serenity Scores - quant REIT scores with 10+ years of alpha and outperformance

REITs as an asset class have returned almost 10% per year since 1990, and are a low-risk way to gain exposure to the highest quality real estate in the country. Historically, REITs with high scores in momentum, value, and quality factors tend to outperform their peers. Our partnership with Serenity Alternative Investments gives our clients access to REIT scores that can be used to build superior REIT portfolios. The Serenity Scores draw on both a wealth of financial literature regarding factor composition in the general equity market and best practices from fundamental REIT investing. There are three main factor groups employed in the Serenity Scores that emerge from financial academia and have relevance in REITs. These are value, momentum, and quality. Each of these strategies for selecting REITs has been shown to add value when applied to a broad universe of stocks, and they have strong theoretical foundations as building blocks for a REIT investment strategy. Clients of Reality Research receive a Composite Score, Value Score, Momentum Score, and Quality Score. These scores are built using Serenity Alternative Investments' proprietary library of REIT-specific factors. There are numerous use cases: (1) Fundamental funds can use the highest scores as an offensive trade entry signal, or as confirmation of signals produced by their own models. (2) Fundamental funds can use the scores as a risk signal to avoid (or even short) the names with the lowest scores. (3) Systematic funds can use these scores as an additional factor in their models.

搜集汇总

背景与挑战

背景概述

该数据集提供由Reality Research与Serenity Alternative Investments合作开发的REIT评分系统，包含综合、价值、动量、质量四个分数，基于价值、动量和质量三个核心因子构建，旨在帮助投资客户构建更优的REIT投资组合。这些评分可用于基本面基金作为交易信号或风险规避工具，也可供系统化基金作为模型中的额外因子。