COMPARATIVE PERFORMANCE OF

The purpose of the research was to determine whether there was any significantdifference in the performances of property unit trusts (PUTs) and property loan stocks(PLSs). Since the studies by Fleming (2002) and Kollenberg (2002), a change hasbeen introduced to the legislation governing PUTs, which allows PUTs to leverage upto 30% of their property values. During the last two years, there have been debatesabout changing the structure of both PUTs and PLSs to resemble the structure ofReal Estate Investment Trusts in the United States of America. The study alsointroduced the application of value at risk (VaR) to compare the return versus riskprofile of PUTs against the return versus risk profile of PLSs.The study population was based on all the PUTs and PLSs listed on the JSESecuries Exchange for a period of 15 years. The Sharpe measure was used todetermine the performance of the shares over the period 1990 to 2004, first lookingat 1-year returns, then 3-year returns, 5-year returns, 7-year returns, 10-year returnsand lastly 15-year returns. Both nominal and risk-adjusted returns were subjected tothe NCSS statistical program analysis to determine whether there were significantdifferences.Earlier literature reviewed indicated that the nominal returns would be different butthe research findings indicate that there is no significant difference in both nominaland risk-adjusted returns of PUTs compared to the returns of PLSs. However, simplearithmetic analysis, using averages, indicates a difference in the nominal returns, butnot in risk-adjusted returns, as expected from the literature review. The VaR analysisclearly indicates that PUTs have better risk-sharing characteristics than PLSs.