The purpose of the study is to seek a better understanding of the investment allocation behaviour of the real estate mutual funds by focusing on asset allocation at the country level. Analysing the ...country allocation of 553 real estate mutual funds domiciled in 20 countries, we attempt to trace how investment bias exists across countries and affects their country allocations. Our results evidence the existence of disproportionate country allocation to their domestic markets (domestic bias) and to each foreign market (foreign bias). We also find each bias is influenced by different sets of variables: real estate market influences for domestic bias and familiarity influences for foreign bias. This difference in factors influential for each bias in part explains the conflated relationship between the two biases.
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3.
Do real estate mutual fund managers create value? Elyasiani, Elyas; Rytchkov, Oleg; Stetsyuk, Ivan
The Quarterly review of economics and finance,
November 2022, 2022-11-00, Volume:
86
Journal Article
Peer reviewed
We evaluate the skills of real estate mutual fund (REMF) managers by the value that they create. We find that compared to investing in the Vanguard REIT Index Fund, REMF managers on average produce ...an additional $0.5 million per month. Using bootstrap, we show that the skills of top performers are particularly evident, and the value created by them cannot be attributed to luck. REMF managers produce value by asset picking, not benchmark timing. However, net abnormal returns of REMF investors are statistically indistinguishable from zero even for top managers, so REMF managers capture all value that they create.
•Real estate mutual fund (REMF) managers are on average skilled.•REMF managers produce $0.5 million per month more than the Vanguard REIT Index Fund.•Bootstrap shows that the value created by REMF managers cannot be attributed to luck.•REMF managers have asset picking skills but not benchmark timing skills.•REMF managers capture all value that they create.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
4.
Active Management in Real Estate Mutual Funds Lantushenko, Viktoriya; Nelling, Edward
The journal of real estate finance and economics,
08/2020, Volume:
61, Issue:
2
Journal Article
Peer reviewed
This paper examines active management in real estate mutual funds (REMFs). The REMF industry has expanded as the underlying REIT industry has developed over time, but the number of REMFs experienced ...a sharp decline following the global financial crisis. The likelihood of termination is greater for smaller funds and funds with higher expense ratios. Using various measures of active management (Fund R
2
, Active Share, Property-Type Concentration Index, and Return Gap), we observe that real estate fund managers have become less active over time. In contrast to the findings for more broadly diversified equity funds, these activeness measures do not explain the future performance of REMFs. To the extent that geographic diversification measures activeness, we find no evidence that the performance of REMFs holding geographically diversified portfolios differs from the performance of REMFs with concentrated portfolios. Overall, our findings shed light on the uniqueness of REMFs relative to diversified equity mutual funds.
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CEKLJ, EMUNI, FIS, FZAB, GEOZS, GIS, IJS, IMTLJ, KILJ, KISLJ, MFDPS, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, SBMB, SBNM, UKNU, UL, UM, UPUK, VKSCE, ZAGLJ
We investigate the net effect between diversification benefit and information cost of international real estate mutual funds from three dimensions: whether investors can benefit from investing in ...international real estate mutual funds, whether managers of international real estate mutual funds possess superior market knowledge and timing abilities, and whether investors are motivated by returns or diversification. Our findings are threefold. First, the results show that international real estate mutual funds perform better and are less risky than domestic real estate mutual funds before Jun 2007. That is, diversification benefits outweigh the information costs, and investors therefore gain from investing in international real estate mutual funds. However, the benefit is reduced because of the economic shock of sub-prime financial crisis. Second, on average, neither international mutual fund managers nor domestic mutual fund managers possess market timing abilities. Finally, we find that fund flows are driven by investors’ return-chasing behaviors and fund size, but not by diversification purpose.
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Purpose – The purpose of this paper is to examine the risk-adjusted performance of US-based global real estate mutual funds (GREMFs) with emphasis on their ability to manage their domestic and ...foreign portfolios exposures. Design/methodology/approach – The paper applies common econometric measures of portfolio performance and implements a non-traditional methodology called attribution returns to measure forecasting ability. In this setting the paper compares the actual monthly fund return to what would have been earned by the set of indices that best reflects the fund's investment strategy during the previous month. Performance and forecasting ability is examined during two different time periods: 2001-2005 and 2006-2010. Findings – It is found that global real estate fund managers outperform the market and show good forecasting ability during the 2001-2005 time period. Good forecasting ability translates to positive risk-adjusted performance, as attribution returns are positively correlated with α. Originality/value – Despite the significant growth in the number of US-based GREMFs and the ample coverage these funds receive in the popular press, few studies are solely devoted to the examination of these funds. In this study the paper empirically examines the ability of fund managers to successfully forecast country/regional political and economic conditions as well as fluctuations in currency exchanges rates brought about by the changes they made to their portfolios’ domestic and foreign exposures.
This study examines the predictive abilities of Morningstar ratings with respect to the future relative performance of real estate mutual funds. It also looks at the persistence of the rating system. ...Morningstar ratings and real estate mutual fund returns are analysed over the five-year period 2003 to 2007. The measures of future performance are raw returns and two Jensen's alpha models. We find some weak evidence that Morningstar predicts the relative performance of real estate mutual funds when measured as raw returns. However, when returns are adjusted using the Fama-French three-factor model with momentum, we find no evidence that Morningstar ratings provide reliable guidance regarding future real estate mutual fund performance.
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Aim: The purpose of this article is to assess the efficiency of management of real estate funds by managers and profitability of funds.Design / Research methods: The study used elements of financial ...analysis and case studies.Conclusions / findings: The results of the survey indicate the low yields of the real estate funds surveyed (only one fund brought profits to the investors, the remaining 5 losses) and the low efficiency of the managers and the high cost-of-operation of the real estate funds. The research has shown the low effectiveness of investment strategies and business models that require changes and other solutions.Originality / value of the article: The study covered the real estate funds that were liquidated or liquidated started in the managerial terms, which allows to assess the effectiveness of managers at every stage of life funds. The research is a continuation of the author's earlier research. According to author's knowledge, no similar studies have been published so far.
Aim: Celem artykułu jest ocena sprawności zarządzania funduszami nieruchomości przez zarządzających i dochodowość funduszy.Design / Research methods: W badaniu wykorzystano elementy analizy finansowej i studia wybranych przypadków.Conclusions / findings: Rezultaty badania wskazują na niską dochodowość badanych funduszy nieruchomości (tylko 1 fundusz przyniósł inwestorom zysk, natomiast pozostałe 5 stratę) oraz niską sprawność zarządzających i wysoką kosztochłonność prowadzonej działalności przez fundusze nieruchomości. Przeprowadzone badania wskazują na niską skuteczność stosowanych strategii inwestycyjnych i modeli biznesowych, które wymagają zmian i zastosowania innych rozwiązań.Originality / value of the article: Badaniem objęto fundusze nieruchomości, które zostały zlikwidowane lub likwidację rozpoczęto w przyjętym przez zarządzających terminie, co pozwala na ocenę sprawności zarządzających na każdym etapie życia funduszy. Badania stanowią kontynuację wcześniejszych badań autora. Według wiedzy autora nie opublikowano do tej pory zbliżonych badań.
The purpose of the present paper is to study the performance and persistence of the returns of the spanish real estate mutual funds universe from the beginning of their activity, late 1994 until ...august 2012. We adopt the Jensen's alpha model, Sharpe's ratio and Carhart's (1997) methodology. In terms of efficiency, Sharpe's ratio shows negative values in the first three years of activity of each fund and very low or even negative values in the last three or four years. Jensen's indicator shows that the overall funds have underperformed the market, which has been approximated by the housing profitability and a half of the profitability of all real estate funds. Benchmarks portfolios that reflect the behavior of the bond or equity markets, did not turn out to be significant variables. There is evidence of persistence for one, two, three and four years, for the universe of funds. The evidence obtained in our work for the real estate funds in Spain, efficiency lower than that of the market and persistence in performance, allows us to confirm the difficult situation that has gone through and which continues to suffer this type of collective investment, highlighting the need and the urgency of driving measures to boost their activity.
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