Measure housing market performance of NYC
<Yuwei Lin, github: picniclin, NYU ID: yl5240>
Problem Description:
If someone wants to invest in NYC housing markets, is it a good choice comparing to other cities of America? And in NYC, what neighborhoods has the best performance in real estate market in the past? Is there any spatial clustered features for housing market performance in NYC?
Data:
This data source has detailed home value data and rental data for every month on different levels, including state, metro, county, city, zipcode and neighborhood since 1996.
Use the metro data to compare NYC and other metro cities.
Use neighborhood data to compare the neighborhoods in NYC.
Analysis:
- Use risk-adjusted return to measure the region’s real estate performance. Select Sortino Ratio as the indicator of risk-adjusted return. Calculate the Sortino Ratio of each city and each neighborhood in NYC in the past 15 years, including 15-year total performance, and 3-year, 5-year, 8-year performances and their fluctuation year by year.
Calculation:
① Sortino Ratio is a variation of Sharpe Ratio. Sortino Ratio measures the excess return against the risk of not meeting the minimum return, i.e. downside standard deviation, instead of standard deviation in Sharpe Ratio.
Formula:
S = (R – Rf) / DR
Where:
- R is the realized annual return of the asset
- Rf is the risk-free rate of return
- DR is the downside deviation as measured by the standard deviation of negative asset
② Return of real estate. First, calculate the return during a period by the house value, rental price and tax. Then, calculate the annual return.
Formula:
Return = (Final house value - Initial house value + Commutative rental earning)/ Initial house value
- For NYC neighborhoods’ comparison:
Return = (Final house value - Initial house value + Commutative rental earning - Commutative tax)/Initial house value
2. Use Moran’s I to measure the spatial autocorrelation of Sortino Ratio in NYC, to find is there any spatial clustered feature in NYC housing market.
3. Analyze the relationship between risk-adjusted performance(sortino ratio) and house value level.
Deliverable:
- A table of ranking risk-adjusted performance(sortino ratio) in the past 15 years, on housing investment among American TOP 20 metro(the scale of metro measured by population in 2015).
- A table of ranking risk-adjusted performance(sortino ratio) in the past 15 years, on housing investment among NYC neighborhoods.
- Three plots of yearly fluctuation of 3-year, 5-year, 8-year performances, for the top 10 and last 10 expensive neighborhoods, at the starting point, in NYC.
- Spatial visualization of sortino ratio values in the past 15 years of NYC neighborhoods.
- If possible, dynamic visualization of sortino ratio yearly fluctuation of 3-year, 5-year, 8-year, of NYC neighborhoods. And dynamic visualization of house value yearly.
- Spatial autocorrelation analysis of Sortino Ratio for NYC neighborhoods, including calculating global moran’s index, and mapping the local moran’s I.
- Measure the relationship between risk-adjusted performance(sortino ratio) and house value level.