Can US Real Estate Mutual Funds Beat the Market? New Evidence
||Zhao, Yuan; Bryan D. MacGregor, Rainer Schulz
||Can US Real Estate Mutual Funds Beat the Market? New Evidence
||20th Annual European Real Estate Society Conference in Vienna, Austria
||This paper examines the performance of active US domestic real estate mutual funds (REMFs) relative to a passive benchmark, both before and after fund managers' compensation. We consider both the REMF sector as a whole, and also individual funds, separately against stock market and real estate market benchmarks. For individual funds, a cross-section bootstrap is used to separate fund managers' genuine skills from luck. We find that the REMF sector as a whole can beat a real estate benchmark but this is cancelled out by fees; and we find that the REMF sector cannot beat the stock market even when fees are not taken into account. For individual REMFs, we find no outperformance against the stock market; and we find genuine stock-picking skills, net of fees, only for a small number of funds in the extreme right tail, relative to the real estate benchmark.
||Bootstrap, Index benchmark, Performance evaluation, Real estate sector fund
||file.pdf (410,912 bytes)
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||J-9: Performance and Risk Management
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