This paper analyzes the relationship of REIT-ETF portfolios, REIT portfolios and ETF portfolio in the United States from 2007 to 2017. We utilize Jensen’s alpha approach and R squared to determine whether REIT-ETF portfolios return outperform the bench markets significantly. ETF portfolio shows that its R squared are statistically significantly. We examine Tracking error, Sharpe ratio to measure the U.S. REITs and ETF returns performance. It is interesting that Sharpe ratios are relative large, while Tracking errors are relative small. Also we find significant evidence of ETF portfolio outperform REIT-ETF portfolios and REIT portfolios.

This paper analyzes the relationship of REIT-ETF portfolios, REIT portfolios and ETF portfolio in the United States from 2007 to 2017. We utilize Jensen’s alpha approach and R squared to determine whether REIT-ETF portfolios return outperform the bench markets significantly. ETF portfolio shows that its R squared are statistically significantly. We examine Tracking error, Sharpe ratio to measure the U.S. REITs and ETF returns performance. It is interesting that Sharpe ratios are relative large, while Tracking errors are relative small. Also we find significant evidence of ETF portfolio outperform REIT-ETF portfolios and REIT portfolios.

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