Start Page: 69
End Page: 94
Volume: 26
Issue Number: 01
Year: 2004
Publication: Journal of Real Estate Research

Abstract: This paper studies performance of real estate mutual funds between 1993 and 2001. The results indicate that real estate mutual funds do not provide positive abnormal performance on average. Fund performance to a large extent is determined by performance of the real estate sector as a whole. Impacts of risk factors such as size, book-to-market ratio, and market momentum become immaterial when the real estate market index is also included in the evaluation model.  Our results also show fund performance persists in the short term.  Risk-adjusted real estate fund returns are affected by fund size, but unrelated to expense ratio, management tenure, and turnover.