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Why risk-adjusted performance in REITs carries forward-looking information - and why, over our sample period, the conventional intuition that extremes mean-revert did not hold in this asset class.

In this article, we delve into the concept of quantitative modeling and explore the different layers of analysis that constitute this approach. We also examine the relative importance of these layers and how they contribute to stock market predictions.

Beta is a measure of the volatility of a security, or of a portfolio of securities compared to the market as a whole. Statistically, Beta represents the slope of a regression of an individual stock’s returns against those of the market as a whole, for a defined period of time.