Summaryof the paper:
This research project is the first to assess quantitative interest rate sensitivity and tactical asset allocation (TAA) strategies of listed real estate (LRE) across sectors and markets/regions in different phases of interest rate cycles. The first theme empirically quantifies the sectors that were rigorously vulnerable to changes in various interest rate proxies across markets/regions. The impacts of US monetary policy and loan-to-value ratio (LTV) on global LRE sub-sectors are particularly highlighted. The findings are insightful for global CRE institutional investors, fund managers and lenders deploying distressed asset investment strategy and debt investment strategy when pitching non-performing assets (NPA) across sectors and markets in the process of stock pitching and due diligence in the recent global rate hike cycle. The second theme acknowledges global buy-side asset managers of tactical portfolio weightings to LRE sub-sectors across rate hike and rate cut cycles, and empirically quantifies the sectors and the markets with portfolio return enhancement capabilities in institutional investors’ multi-asset portfolios in rate hike cycles, benchmarked against shares and bonds across markets/regions.