深度报告-2025-07-12-国金证券-公募REITs策略专题_从Beta到Alpha的配置体系构建页_32页_9mb

Report Summary: Public REITs Strategy from Beta to Alpha

Market Review and Analysis

The report focuses on changes in the primary and secondary markets since 2024. It reviews annual evaluations of REITs, examines investor structure dynamics, and analyzes dividend distributions. Data sources include Wind and various research firms, with statistics cutoff at 2025/6/30 for most sections, including REIT listings and performance metrics.

Strategy Construction

The key strategy involves building a configuration system that transitions from Beta (market risk-based returns) to Alpha (excess returns through active management). This includes a portfolio optimization formula:

[
\sigma_P = \sqrt{ \frac{W_A^2 \sigma_A^2 + W_B^2 \sigma_B^2 + 2 W_A W_B \text{cov}(A,B)}{(W_A + W_B)^2} }
]

With (W_A + W_B = 1), (W_A = \frac{\sigma_B}{\sigma_A + \sigma_B}), and (W_B = 1 - W_A). Data sources are Wind and research firms, covering REIT performance, valuation benchmarks, and asset-specific data, all cutoff by mid-2025. The strategy incorporates data from sources like JLL, Highland International, and other providers for comprehensive analysis.