REITS DAILY BRIEF | 11.17.21 | (STYLE FACTOR WORK)

11/17/21 09:53AM EST

We have been working to roll-out outputs around style factor screening and performance tracking for the REIT universe, given the depth and breadth of the sector across industries and lease durations. In Figure 1 below there is "Step 1" which will track average 7-day and 30-day performance by style factor vis-a-vis the GIP Quad model. We will update these weekly along with the weekly recap notes. Some observations:

  • Over the trailing 7 days "lower beta" REITs have outperformed on the long side on average on a relative basis, characterized by lower leverage, lower short interest, lower yield, larger market cap and lower revenue and FFO growth.  
  • The same holds true over the trailing 30 days, with the exception that smaller cap names have relatively outperformed by about +60bps.
  • Subsector-wise, the majority of the outperformance on the long side was seen in the Data Center, Industrial and Self-Storage REITS. 
  • Again, REITs are relative underperformers in Quad 2.        

Figure 1: REIT Style Factor Performance Trackers

REITS DAILY BRIEF | 11.17.21 | (STYLE FACTOR WORK) - Capture3

REITS DAILY BRIEF | 11.17.21 | (STYLE FACTOR WORK) - Capture4

PDF Link

Source: FactSet, Hedgeye

Figure 2: Hedgeye REITs Position Monitor

REITS DAILY BRIEF | 11.17.21 | (STYLE FACTOR WORK) - Capture1

Figure 3: Hedgeye REITs Sentiment Monitor

REITS DAILY BRIEF | 11.17.21 | (STYLE FACTOR WORK) - Capture2

Prior Notes:

11.16.21 - REITS DAILY BRIEF | 11.16.21 | (U.S. OFFICE UTILIZATION)

11.15.21 - CUBE ANNOUNCES STABILIZED ACQUISITION | 11.15.21

11.15.21 - REITS DAILY BRIEF | 11.15.21 | (WE, ILPT)

11.14.21 - SUNDAY NIGHT REIT READ | 11.14.21 | (CUBE, EXR, LSI, NSA)

11.11.21 - REITS DAILY BRIEF | 11.11.21 | (LSI, NYC CBD OFFICE)

11.10.21 - REITS DAILY BRIEF | 11.10.21 | (UHAL, CONE, COR, NSA, PSA)

11.9.21 - REITS DAILY BRIEF | 11.9.21 | (U.S. OFFICE UTILIZATION, SFR)

11.7.21 - SUNDAY NIGHT REIT READ | 11.7.21 | (APARTMENT RENTAL RATE TRACKER, POSITION MONITOR UPDATE)

11.4.21 - REIT RECAP | 11.4.21 | AMH 3Q21 RESULTS

11.4.21 - REIT RECAP | 11.4.21 | CUBE 3Q21 RESULTS

11.4.21 - REITS DAILY BRIEF | 11.4.21 | (COLD, IRM, EARNINGS SURPRISE MONITOR)

11.3.21 - REITS DAILY BRIEF | 11.2.21 | (LSI, POSITION MONITOR UPDATE)

11.2.21 - REITS DAILY BRIEF | 11.2.21 | (PSA, U.S. OFFICE UTILIZATION)

11.1.21 - REIT RECAP | 11.1.21 | PSA 3Q21 RESULTS

10.31.21 - SUNDAY NIGHT REIT READ | 10.31.21 | (3Q21 EARNINGS SURPRISES, POSITION MONITOR)

10.28.21 - REIT RECAP | 10.28.21 | CPT 3Q21 RESULTS

10.28.21 - REITS DAILY BRIEF | 10.28.21 | (EXR)

10.28.21 - REIT RECAP | 10/28/21 | INVH 3Q21 RESULTS

10.28.21 - REIT RECAP | 10/27/21 | AVB 3Q21 RESULTS

10.27.21 - REITS DAILY BRIEF | 10.27.21 | (3Q21 Earnings, AVB, EXR, Office)

10.26.21 - REIT RECAP | 10/26/21 | EXR 3Q21 RESULTS

10.26.21 - REITS DAILY BRIEF | 10.26.21 | (EQR, REXR)

10.25.21 - SUNDAY NIGHT REIT READ | 10.24.21 | (POSITION MONITOR)

10.21.21. - REIT RECAP | 10/21/21 | REXR 3Q21 RESULTS

10.20.21 - REITS DAILY BRIEF | 10.20.21 | (EGP, PLYM, REXR, ILPT)

10.19.21 - VIDEO | American Homes 4 Rent (AMH) Thesis

10.19.21 - REITS DAILY BRIEF | 10.19.21 | (COLD, SLG, VNO, AMH, U.S. Office Utilization)

10.18.21 - REITS DAILY BRIEF | 10.18.21 | (PLD)

10.17.21 - SUNDAY NIGHT REIT READ | 10.17.21 | (PLD, POSITION MONITOR)

10.15.21 - REIT RECAP | 10/15/21 | PLD 3Q21 RESULTS

10.13.21 - REITS DAILY BRIEF | 10.13.21 | (PLD)

10.10.21 - SUNDAY NIGHT REIT READ | 10.10.21 | (POSITION MONITOR UPDATE)

10.8.21 - BLACK BOOK ROUND-UP | AMERCO (UHAL)

10.7.21 - BEST IDEA ROUND-UP | AMERICOLD REALTY TRUST (COLD)

Please e-mail with any questions.

Rob Simone, CFA
Managing Director
Twitter: @HedgeyeREITs

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