Real Estate Investment Portfolio Research Articles

Dynamics of the Inflation-Hedging Capabilities of Real Estate Investment Portfolios in the Nigerian Property Market

There has been a wide belief that real estate is a source of good investment portfolios because it has a hedge against inflation. Considering this notion, the present research examined the dynamics of the inflation-hedging capabilities of real estate investment in Nigeria’s three foremost property markets, Abuja (Maitama and Central Business District), Lagos (Lekki and Victoria Island), and Port Harcourt (Rumu Ibekwe and Aba Road). To achieve this aim, this study was carried out by exploring the returns on different types of commercial properties in the chosen location and investigating the effect of inflation on such returns in order to come up with the hedging capabilities of the assets. Out of the four property prime locations in Nigeria’s market, these selected study sites were purposely selected for investigation because they comprise the most desirable and preferred properties regarding location, standards, aesthetics, and value. From the data collected, a mean return, coefficient of variation, and ordinary least square regression analysis were completed. In terms of the coefficient of variation (CV), the findings reveal that the duplex in Port Harcourt exhibits the most performed investment, with a value of 0.33, compared to other locations. However, in terms of the expected return (ER), the duplex outperformed other property types in the different locations, with a return of 39.56%. Results also show that inflation has an adverse effect on the returns of the office space for the three locations considered, with the expected returns below 1%. The block of flats in Abuja has a complete defence against the three components of inflation, with a coefficient beta of 0.5633, 0.6586, and 0.8440, respectively. Thus, investors should consider inflation and other investment attributes when making decisions among arrays of investments. This will help guard against the widespread perception that real estate has a hedge against inflation. This paper adds to the existing literature on inflation hedging by investigating the effect of inflation on the real estate investment returns of commercial properties.

The Impact of Inflation on Real Estate Investment Perfomance And Effective Investment Decisions

Purpose: This study aims to examine the impact of inflation on key variables of real estate investment performance and investment decisions. Theoretical Reference: This paper considers several models of real estate investment performance indicators because the effect of inflation on key variables of real estate investment performance is an important factor in investment decisions. Since effective investment decision is key to avert investment loss especially during inflation period, this paper follows the suggestions by Otegbulu (2022) and Georgiv, et al (2002) that property incomes and values are not static during periods of inflation bur responds to economic dynamics, and could infact trigger favourable investment opportunities in real estate. This paper therefore follows these models/suggestions of Otegbulu (2022) and Geoargiv, et al, (2002) to examine several real estate investment to offer appropriate reflection of how inflation impacts of incomes from real estate investment. Method: Data collected were analysed using Pearson Correlation Analysis to determine the relationship between inflation rate and real estate investment performance (measured by annual returns). Regression analysis was also employed on the data to determine the level of contribution or degree of impact of inflation on real estate performance. Also data collected on the exchange rate and real estate performance over the study period were analysed using Pearson Correlation Analysis to determine the relationship between exchange rate and real estate investment performance (measured by annual returns on investment). Regression analysis was also employed on the data to determine the degree of impact of exchange rate on real estate investment performance. Data collected for the analysis and hypotheses testing were secondary data over a period from 2005 – 2022. Result: The study reveals that real estate investment market generates average total annual returns of 21.39% under average inflation rate of 12.5%. The test statistics (Pearson Correlation) results shows that the higher the inflation rate, the lower the performance of the real estate investment. Also, the study reveals that as inflation persists causing exchange rate fluctuations, the test statistics (Pearson Correlation) results shows that higher exchange rate causes lower performance of real estate investment. This could be because more than 90% of the real estate construction materials in the study are imported. Conclusion: It is clear and obvious that inflation impacts highly on real estate and capable of distorting projections in property investment. Rational investors must therefore factor in inflation risk in investment decisions. The study has shown that inflation has significant impact on annual returns of real estate and consequently affects investment performance. The study concluded that the higher the inflation, the lower the performance of the real estate investment and that the continuous rise in inflation rate reduces the purchasing power of the local currency leading to local currency devaluation. Also, it was concluded that higher exchange rate causes lower performance of the real estate in terms of annual returns. Research Implications: One of the major implications of the findings from this study is that as inflation raises the volatility of local currency which adversely affect the cost of construction, real estate investment performance is hindered. The risk element increases which could lead to project cost over-run, abandonment or increased vacancy rate. Investors become skeptical in making investment decisions because of uncertainties. Policy makers should put in place policies and guidelines that will attract cross-border investors who can take advantage of the local currency devaluation to improve their real estate investment portfolios. Originality/Value: The relationship between inflation rate, exchange rate and real estate performance (measured by rate of returns on the investment) is of great concern for real estate practitioners and investors. The study is original well thought efforts of the authors as contribution to real estate practice and education in developing economies currently being threatened by rising inflation. It is believed that this study will be very useful to global investors who will like to invest in the study area in particular and other emerging markets in general.

A study on the effectiveness of real estate investment portfolios according to changes in the social environment

코로나 19와 같은 사회적 환경 변화가 국내는 물론 미국을 비롯한 경제 대국들의 유동성이 풍부해지면서 자산에 대한 투자환경이 바뀌면서 소득분위가 낮은 청년 등 저소득 가구가 상대적으로 높은 비율의 부동산 자산을 보유함으로써 금융시장 불안과 강대국들의 불확실성 확대와 저성장과 저소비 경제구조에서 부동산가격하락 리스크에 그대로 노출되어 있어 하우스푸어와 같은 현상이 2014년에 이어서 소득이 낮은 가구에서 더 심각하게 재현 될 수 있다고 본다. 이에 부동산자산에 보다 안정적으로 투자하기 위한 자산관리 차원에서 개별 투자자산의 위험을 고려한 전체 수익을 높이면서 보다 안정적인 수익을 얻기 위해서 포트폴리오 분산투자 원리에 기초하여 투자지역과 투자자산의 유형을 적절히 분산하여 투자하는 자산별 포트폴리오를 구성하여 전체 수익을 높일 수 있는 포트폴리오 분산 효과성을 분석하였다.

The increasing importance of environmental sustainability in global real estate investment markets

PurposeWithin the context of ESG (Environment, Social and Governance), environmental sustainability has taken on increased global importance in recent years. Similarly, real estate investment managers in developing their global real estate investment portfolios need a fuller understanding of the ESG and environmental sustainability dimensions of these global real estate markets for more informed real estate investment decisions. Using the JLL GRETI sustainability sub-index, this paper examines the environmental sustainability transparency status of 99 global real estate markets over 2016–2020 and explores various strategic issues regarding ESG and environmental sustainability; particularly the critical issues relating to climate risk mitigation, climate resilience and zero-carbon. The current status of environmental sustainability in these 99 real estate markets is assessed, with areas for “best practice” improvement identified to the benefit of real estate investment managers; particularly the improvements needed in ESG to support real estate investment in the emerging real estate markets.Design/methodology/approachThe JLL GRETI sustainability sub-index is analysed to examine strategic issues relating to environmental sustainability transparency. 99 real estate markets are assessed globally for a range of critical ESG issues over 2016–2020. Differences between the developed and emerging real estate markets are highlighted.FindingsConsiderable variation was seen in the ESG and environmental sustainability practices, procedures and frameworks across these 99 real estate markets. This was particularly evident amongst the emerging real estate markets. Compared to the other five dimensions for real estate market transparency, environmental sustainability was seen to be well behind these other dimensions in most markets. Progress has been made in recent years, but it has been slow and steady rather than at a dynamic level. Clearly, more is needed globally to enhance the stature of environmental sustainability in the context of an increasing focus on ESG and specifically on climate risk mitigation, climate resilience and zero-carbon in real estate investment.Practical implicationsWith ESG and environmental sustainability taking on increased importance across the international real estate markets, it is important that real estate fund managers have a full understanding of the ESG and environmental sustainability status of these real estate markets where they may be considering real estate investment opportunities; this includes both the developed and emerging real estate markets. This is essential to ensure future capital raising for new funds, as well as supporting the global ESG agenda by the real estate investment community. Specific strategies are also identified for emerging real estate markets to improve their environmental sustainability practices and ESG status.Originality/valueThis is the first paper to use the JLL GRETI sustainability sub-index to assess the environmental sustainability status of 99 real estate markets globally; providing strategic insights for real estate investment managers as they develop their global real estate portfolios and more fully embrace the challenges of ESG and environmental sustainability in the real estate space going forward. Specific strategies are clearly identified for all markets to improve their environmental sustainability ratings to the benefit of both global real estate investment and the broader communities.

Dynamic Decision Model of Real Estate Investment Portfolio Based on Wireless Network Communication and Ant Colony Algorithm

From reform and opening to the comprehensive construction of a well‐off society, the rapid growth of the national economy and the advancement of urbanization have promoted the rapid development of China’s real estate industry. The real estate industry has become a pillar growth point in the development of the national economy. At the same time, China’s real estate markets also continue to mature. However, due to the short development time of my country’s real estate market, imperfect management mechanism, irregular organization, and other issues, coupled with the fierce competition and internationalization of the market investment environment, the risk of investment accumulation in the real estate industry is also increasing. Therefore, in real estate investment decision‐making, it is of far‐reaching significance to study how to control real estate investment risks and promote the healthy and stable development of the real estate industry. The purpose of this article is to build a set of investment portfolios based on the ant colony algorithm to diversify risks and obtain returns, so that the constructed investment portfolios will minimize the risk when the return reaches a certain amount of time. This article first gives a general introduction to wireless network communication and then analyzes the risk of real estate project investment. First, the variance is used as a measure of risk to establish a dynamic model of the real estate development project portfolio, and the ant colony algorithm is introduced to the investment risk of real estate development projects. In the dynamic analysis, an improved portfolio model was established, and the two were compared through case analysis. The experimental results show that under the condition of the same net present value and investment payback period, the ant colony algorithm based on variance is invested in lot H. The ratio is obviously higher, and the capital investment ratio of lot H based on the ant colony algorithm is obviously lower. The difference between the two is 30.1%.

Creating operational alpha? Operating models for real estate management

PurposeFocussing on the UK’s institutional real estate universe, this paper analyses variations in the operational management of real estate investment portfolios. For the main categories of institutional investors, the key tasks in real estate operational management, and the ways in which these tasks are typically bundled and categorised by investment managers are reviewed. Three broad operational management models are outlined. Case studies of real estate operational management models in practice are discussed.Design/methodology/approachThe research approach is primarily descriptive, drawing upon illustrative investor case studies.FindingsA range of operating models are identified for managing real estate investment portfolios. Specialists real estate investors tend to have highly vertically integrated operating models viewing most operational management functions as core operational capabilities. Multi-asset owners tend to have a vertically disintegrated operating model outsourcing fund, asset, property and facilities management. Investing institutions such as fund houses and specialist real estate investment advisors seem to have converged upon a common hybrid operating model with high margin, analytical functions such as fund and asset management being insourced and low margin, routine functions such as property and facilities management being outsourced.Originality/valueDespite the size of the global, institutional real estate investment universe (estimated by DTZ to be worth more than USD 13.6 trillion in 2015), the topic of how (and how effectively) these assets are managed by institutional investors has attracted very little attention from the real estate research community. This paper provides some initial analysis and insights into operational management models for real estate investment portfolios in the contemporary real estate investment management landscape.

When Birth or Death Hits Home: Demography and the Housing Market in Paris and Amsterdam, 1400-present

How do changes in population structure such as population aging affect housing markets? This paper exploits historical demographic changes to identify the effect of urban demographic change on housing costs, building on half a millennium of data on house prices, rents, and demographics. We show that a one percentage point increase in the current five-year birth rate increases house prices about 25 years later by 5%, but reduces prices 60-65 years later by the same amount. Linking the age of individuals to their housing decisions, real estate transactions and investment portfolios, we show these changes are primarily driven by the age-dependent demand for housing as investment asset. Correspondingly, we find large impacts of demographic structure on rent-price ratios, but smaller impacts on rent prices.

The Impact of Single-Family Rental REITs on Regional Housing Markets: A Case Study of Nashville, TN

The U.S. Congress authorized the creation of real estate investment trusts (REITs) in 1960 so companies could develop publically traded real estate investment portfolios. REITs focus on commercial property, retail property, and rental property. During the last decade, REITs became more active in regional housing markets across the U.S. Single-family rental (SFR) REITs have grown tremendously, buying up residential properties across the country. In some regional housing markets, SFR REITs own noticeable shares of single-family homes. In those settings, SFR REITs take large numbers of housing units off of real estate markets where homeownership transactions occur and manage these properties as part of commercial rental inventories. This has resulted in a new category of multiple property owners, composed of institutional investors as opposed to individual investors, which further exacerbates property wealth concentration and polarization. This study examines the socio–spatial distribution of properties in SFR REIT portfolios to determine if SFR REIT properties tend to cluster in distinct areas. This study will focus on the regional housing market in Nashville, TN. Nashville has one of the most active SFR REIT sectors in the country. County tax assessor records were used to identify SFR REIT properties. These data were joined with U.S. Census data to create a profile of communities. The data were analyzed using SPSS statistical software and GIS software. Our analysis suggests that neighborhoods with clusters of SFR REITs fit the SFR REIT business model. Clusters occur in communities with newer homes, residents with higher levels of educational attainment, and middle to upper-middle incomes. The paper concludes with several recommendations for future research on SFR REITs.

The restructuring of the institutional real estate portfolio in the UK

Real estate investment portfolios of financial institutions have seen dramatic changes over the last three decades or more. Historically such property investment decisions have been seen within a portfolio diversification paradigm that has sought to balance risk and return. This paper considers the role of the supply of assets in the determining and constraining the UK institutional portfolio. The supply of real estate assets not only expands during property booms but has also been transformed by a long term urban development cycle as cities adapt to cars and the ICT revolution that has brought new property forms. The research examines long term trends in investment change by disaggregating into ten property forms rather than the usual three land use sectors. It then assesses to what extent investment patterns can be explained in terms of portfolio theory, short term net returns of individual sectors or driven by the supply of real estate assets. It concludes that the supply of real assets is an overlooked explanation.

Intelligent REITs in the information age

This paper examines the emergence of the latest powerful structure of the Intelligent Real Estate Investment Trust (iREIT) model: when real estate investment model is empowered by information technology online platform. iREIT is known as a revolutionary and controversial topic since it was born in terms of breaking the ‘glassing ceiling’ that real estate investment became no longer exclusively reserved for high net worth individuals. The barrier of entry is significantly reduced to $1000 USD for anybody who would like to diversify his/her investment portfolio. The originality and invaluable contributions of this paper are twofold: (a) a Trend Following (TF) trading strategy is applied to test the possibility and sustainability of 13% annual returns as some iREIT companies stated. Two modifications on TF are tested here, one is to extend TF over multiple markets, the other is to combine the use of forecasting tool that would predict a future trend. TF would give the insights on buying or selling decisions based on the moving trend patterns. (b) Assess the trend profitability from Top5 Asian countries, verify whether the best practices of the diversified real estate investment portfolio for iREIT exists, hence to explore the possibility of auto-investment over iREIT in future.

European emerging real estate markets

Purpose– The purpose of this paper is to improve the transparency of European emerging real estate market dynamics and performance attributes in the wake of the 2007-2008 global financial crisis (GFC). The paper examines the extent and nature of inter-relationships between three emerging real estate markets namely, the Czech Republic, Hungary and Poland as well as determining the rationale for including emerging real estate markets within a Pan-European investment portfolio. The paper affords a timely update following the reinstatement of lending provision for European emerging real estate investment markets in 2014.Design/methodology/approach– The paper employs lead-lag correlations and Grainger causality to examine inter and intra relationships across three emerging European real estate markets, namely the Czech Republic, Hungary and Poland over the period 2006-2014. Optimal portfolio analysis is undertaken to explore the role of emerging real estate markets within the confines of a multi-asset investment portfolio as well as a Pan-European real estate investment portfolio.Findings– The findings demonstrate the opportunities afforded by the European emerging real estate markets in terms of both performance enhancement and risk diversification. Significantly, the findings highlight the lack of “uniformity” across the European emerging markets in terms of their investment potential, with Grainger causality confirming that the real estate markets in the Czech Republic, Hungary and Poland are not endogenous functions of one-another’s performance.Practical implications– This paper makes a considered contribution to the analytical interpretation of European emerging property market performance across the real estate cycle. The research demonstrates that the real estate markets in the Czech Republic, Hungary and Poland exhibit specific investment characteristics which differentiate them from the more developed real estate markets across Europe. Indeed emerging markets have the propensity to serve as both a risk diversifier as well as performance enhancer within the confines of a pan-European real estate investment portfolio. However, as the research clearly articulates, intricate understanding of the attributes afforded by the different emerging markets as well as the divergence in sectoral dynamics/performance is integral to portfolio allocation strategies.Originality/value– Robust academic research on Europe’s emerging real estate markets has been hampered by deficiencies in data provision. This study makes an innovative and timely contribution to redressing the research vacuum through delineated examination of the performance dynamics of three markets namely, the Czech Republic, Hungary and Poland, across the real estate cycle. The role and function of emerging markets is depicted within the confines of a Pan-European direct real estate investment portfolio at the all property level and in terms of sectoral specific allocations comprising retail, office and industrial. The explicit added value of the paper is the propensity to bench-mark the performance of emerging markets real estate markets on a like-for-like basis with developed real estate markets across Europe facilitating the exploration of the role and function of emerging real estate markets within a Pan-European investment context.

Sustainable Real Estate Investment Portfolio Management — Problems and Solutions

Sustainable Real Estate Investment Portfolio Management — Problems and Solutions

Sector, region or function? A MAD reassessment of real estate diversification in Great Britain

PurposeThis paper aims to re‐examine the portfolio risk/return performance of “conventional” sector/regional classifications with one based on socio‐economic criteria.Design/methodology/approachApplying the mean absolute deviation (MAD) portfolio optimisation method, this study revisits sector versus regional diversification within the UK using the Investment Property Databank (IPD) annual data over the period 1981‐2007. A modern functional classification, with data from the 2001 Census, is used to retest the proposition that such groupings may offer superior diversification benefits.FindingsIn line with previous research, sectors dominate regions, however defined, and should be the first level of analysis when developing an optimised portfolio diversification strategy. When the performance of functional groups is compared with “conventional” administrative regions results show that such groupings can provide greater risk reduction. The underlying characteristics of these functional groups may be more insightful and acceptable to real estate portfolio managers in considering assets that a portfolio might contain.Originality/valueReal estate markets are thought to be dynamic, in that their form and content can change dramatically even over quite short periods. This paper shows it is actually rather unlikely that matching changes in the structures of real estate investment portfolios will be observed, even over extended time periods, except at their margins. Although efficient frontiers move across the MAD risk/return space, the relative positions of the sectors and regions hardly change at all in pure analytical terms. In particular, the use of functional groupings, which reflect the greatly changed economic landscape in Britain over some 20 years, do not presage any great change in the pattern of institutional real estate investment, nor even a very obvious improvement in the portfolio performance.

Shariah Compliance in Real Estate Investment

Executive Summary. This paper examines the cost of Shariah compliance in real estate investments by comparing synthetic Shariah compliant (SC) real estate investment (REIT) portfolios with unconstrained U.S. REIT portfolios, indexes, and real estate mutual funds (REMF). The performance of the synthetic portfolios are compared with various benchmarks in both univariate and multi factor framework. Shariah compliance seems to create a return trade-off and less restrictive compliance requirements appear to provide better historical returns when SC portfolios are compared to broader indexes or REMFs in general. However, Shariah compliance does not mean that SC REIT portfolios necessarily under-perform relevant indexes when relevant risk factors are considered and when differing sensitivities are applied to benchmark returns. The simulation shows that the market-weighted SC simulated REMFs dominate the conventional REMF and the average simulated annualized mean portfolio return for SC and SCLR REMFs are higher than the historical REMF annualized mean return.

Risk Reduction and Diversification in UK Commercial Property Portfolios

The issue of diversification in direct real estate investment portfolios has been widely studied in academic and practitioner literature. Most work, however, has been done using either partially aggregated data or data for small samples of individual properties. This paper reports results from tests of both risk reduction and diversification that use the records of 10,000+ UK properties tracked by Investment Property Databank. It provides, for the first time, robust estimates of the diversification gains attainable given the returns, risks and cross‐correlations across the individual properties available to fund managers. The results quantify the number of assets and amount of money needed to construct both ‘balanced’ and ‘specialist’ property portfolios by direct investment. Target numbers will vary according to the objectives of investors and the degree to which tracking error is tolerated. The top‐level results are consistent with previous work, showing that a large measure of risk reduction can be achieved with portfolios of 30–50 properties, but full diversification of specific risk can only be achieved in very large portfolios. However, the paper extends previous work by demonstrating on a single, large dataset the implications of different methods of calculating risk reduction, and also by showing more disaggregated results relevant to the construction of specialist, sector‐focussed funds.

Optimal holding period for a real estate portfolio

PurposeThe purpose of this paper is to offer a framework for computing optimal investment holding periods for real estate portfolios.Design/methodology/approachThe analysis is set within a standard DCF modelling framework and it is shown that it is not adapted to offer sufficient insight into the mechanics leading to optimal holding periods. A richer framework is offered that enables the portfolios terminal value to behave according to a simple diffusion process.FindingsThe findings show that optimal holding periods for real estate investment portfolios exist within very precise conditions. The key parameters are the investor's weighted average cost of capital (WACC), the cash flow growth rate during the investment period, and the investment's net initial yield. The key finding is (loosely speaking) that, if the investor's cost of capital is outpaced by (the sum of) the portfolio's net initial yield and the cash flow growth rate, then an optimal holding period exists and can be precisely computed. Numerical examples are provided to illustrate these findings.Originality/valueStandard financial theory does not specify a consistent methodology for choosing the optimal investment horizon in investment analysis and in particular in discounted cash flow (DCF) modelling. This problem may be particularly acute in real estate investment analysis and valuation, as investment horizons are often arbitrarily chosen. The paper proves that investment horizon may strongly influence net present value.

Stocks Are from Mars, Real Estate Is from Venus

How does the expected total return, or opportunity cost of capital (the discounted cash flow discount rate), differ across different types and locations of properties? This question is fundamental to institutional real estate investment portfolio and asset management. The cross-section of the long-run investment performance of real estate assets should be related to plausible measures of risk. The authors study this question using original, customized investment performance indexes constructed from the property-level NCREIF Index database. They find that a multi-factor model similar in structure to that of Fama and French predicts quite well the cross-section of long-run performance within NCREIF. But the real estate model is curiously opposite to that of the stock market. Is this an arbitrage opportunity? <b>TOPICS:</b>Real estate, factors, risk premia, portfolio construction

Hotel Real Estate in a Property Investment Portfolio – Analysis of Results From 1992 to 2001

ABSTRACT This paper analyses the performance of five real estate sub-sectors (office, retail, industrial, apartment, and hotel) over a ten-year (historical) period, 1992 to 2001, in order to assess the impact the hotel sub-sector would have when constructing a multi-property investment portfolio. The research was built on the foundation of modern portfolio theory and data were analyzed using correlation analysis, Sharpe Ratio, and a portfolio simulation model. Research results suggest that at least during the period 1992 to 2001, the hotel sub-sector outperformed all other sub sectors in terms of total returns and also produced the second best risk-adjusted returns. The results also suggest that the inclusion of hotels in the real estate investment portfolio had a significant impact on the efficient frontier offering several “higher risk – higher return” target options for an investor. As such the significance of the hotel sub-sector within a multi-property real estate investment portfolio is better under...

Hotel Real Estate in a Property Investment Portfolio: An Examination of Results from 1992 to 2001

ABSTRACT This paper analyzes the performance of five real estate sub-sectors (office, retail, industrial, apartment, and hotel) over a 10-year (historical) period, 1992 to 2001, to assess the impact the hotel sub-sector would have on investment performance when constructing a multi-property investment portfolio. The research was built on the foundation of modern portfolio theory, and data were analyzed using correlation analysis, Sharpe ratio, and a portfolio simulation model. Research results suggest that, at least during the study period, the hotel sub-sector outperformed all other sub-sectors in terms of total returns and produced the second best risk-adjusted returns. The results also suggest that the inclusion of hotels in the real estate investment portfolio had a significant impact on the efficient frontier, offering several “higher risk–higher return” target options for an investor. As such, the significance of the hotel sub-sector within a multi-property real estate investment portfolio is better...

REIT Selection and Portfolio Construction: Using Operating Efficiency as an Indicator of Performance

Executive Summary. A Real Estate Investment Trust (REIT) selection and portfolio construction criteria is developed based on REIT operating efficiency and pricing multiples (price-to-net asset value). Portfolios of REITs are constructed of REITs that have relatively high operating efficiency but are trading at a relatively low price. The results show that these portfolios, constructed with the use of filtering criteria, have superior first year performance in all cases, with an average excess return of 600 basis points compared to the NAREIT Equity Index. In most cases, the REITs also had superior second and third year performance, suggesting performance persistence. Further research is needed to examine if the filter works better with more frequent portfolio rebalancing and if the criteria can be used to effectively execute a short sale strategy.