BACKWARD/FORWARD TRADING CONTRACTS BASED ON REIT-BASED PURE PROPERTY RETURN INDEXES

摘要

The present disclosure is directed to a method of approximating prices in a private property market. First, REIT return data is compiled from each REIT of a plurality of REITs at a predetermined frequency. Then, the REIT return data is processed according to exposures to each of a plurality of target characteristics to obtain coefficients reflecting each REIT's weight in an index. Then, an index is generated according to the REITs, the obtained coefficients, and the weights. Finally, a second index is derived from the generated index that approximates prices in the private property market.