1、 研究报告 （2019 年 第 13 期 总第 39 期） 2019 年 4 月 20 日 美国住房投资与 REITs 研究 鑫苑房地产金融科技研究中心 【摘要】 【摘要】 住房是美国最大的投资类别之一。本文从住房的投资功能出发，选择 Case-Shiller 房价指数和富时/NAREIT 住房REITs 指数为对象，分别研究了引入直接和间接住房类投资对风险组合的影响。我们发现，直接持有的住房类房地产作为一种独立的资产类别， 美国整体以及大部分大中都会城市的住房价格变化与股票的相关系数较低；与股票市场相比，表现出低波动、中 等收益、 长周期等特点， 是一个独特的资产配置组合的标的资产。加入住房

2、（包含房租收益）的等权重投资组合回测，在与股票相近的收益回报下， 组合波动率降低约 50%。 但作为间接投资工具，REITs 与实际住房价格指数的相关性较低，与股票指数相关性较高；REITs 资产对风险组合的贡献远不及直接持有的住房资产。此外，虽然美国 REITs 市场较为成熟，但仍缺少针对独栋住房的REITs 产品，投资者较难通过现有金融产品追踪直接持有的住房类资产收益。所以构造能紧密追踪直接持有的住房类资产（尤其是某些大中城市）的金融产品将有较大市场空间。 Research Report 2019-4-20 Edition Research of American Single Famil

3、y Home Investment and Residential REITs XIN Real Estate Fintech Research Center Housing is one of the largest real estate investment categories in the United States. Single-Family House (SFH) is the most popular house type and single-family rentals have a market value of over $2.3 trillion. We take

4、Case-Shiller Housing Price Index and FTSE/NAREIT Residential REITs Index as indicators to analyze the performances of direct and indirect SFH investments. Compared with S&P 500, we find SFH price has lower volatility, lower return and longer cycle. Both national and 16 metropolitan regions home pric

5、e show low correlations with S&P 500. We show that a fixed weighted back-testing portfolio of SFH and stock has large decline on standard deviation since 1985, reducing by 50% with similar annual return to a stock portfolio. REITs, as an indirect housing investment vehicle, does not keep pace with h

6、ouse price in short term and shows relatively higher correlation with stocks. And a portfolio with REITs benefits a lot from risk diversification. However, in the US, there is still a lack of Residual REITs product and SFH-targeted REITs index. And investors need more access to housing market and sh