Real estate mutual funds in Spain. Performance and persistence
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Published
18-09-2018
José Manuel Maside Sanfiz
Ana Iglesias Casal
María Celia López Penabad
Carmen López Andión
Abstract
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.
How to Cite
Maside Sanfiz, J. M., Iglesias Casal, A., López Penabad, M. C., & López Andión, C. (2018). Real estate mutual funds in Spain. Performance and persistence. Cuadernos De Gestión, 16(2), 147–166. https://doi.org/10.5295/cdg.140497ml
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Keywords
Real Estate Mutual Funds, performance, persistence
References
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Gallo, J. G., Lockwood, L. J. y Rutherford, R. C., 2000. Asset Allocation and the Performance of Real Estate Mutual Funds. Real Estate Economics, 28 (1), 165-184.
Goebel, P. R. y Kim, K. S., 1989. Performance Evaluation of Finite-Life Real Estate Investment Trusts. Journal of Real Estate Research, 4 (2), 57-69.
Hartzell, J. C., Mühlhofer, T. y Titman, S. D., 2010. Alternative Benchmarks for Evaluating Mutual Fund Performance. Real Estate Economics, 38, 121–154.
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Toledo, I. y Marco, R., 2006. ¿Persisten las rentabilidades en el mercado de fondos de inversión español? Un análisis empírico para el periodo 1994-2001. Estadística Española, 48 (161), 5-38.
Zhou, X. y Ziobrowski, A. J., 2009. An investigation into REIT performance persistency, Journal of Property Research, 26 (2), June, 149–170.
Bond, S. A. y Mitchell, P., 2010. Alpha and Persistence in Real Estate Fund Performance. Journal of Real Estate Finance and Economics, 41, 53–79.
Cambón Murcia, M.I., 2011. Rentabilidad de los fondos de inversión españoles: un análisis de sus determinantes, Documentos de Trabajo CNMV, nº 48.
Carhart, M. M., 1997. On Persistence in Mutual Fund Performance. The Journal of Finance, 52 (1), 57-82.
Chan, K. C., Hendershott, P. H. y Sanders, A. B., 1990. Risk and Return on Real Estate. Evidence from Equity REITs. Journal of the American Real Estate and Urban Economics Association, 18 (4), 431-452.
Chiang, K. C. H., Kozhevnikov, K., Lee, M.L. y Wisen, C. H. 2008. Further evidence on the performance of real estate funds. the case of real estate mutual funds. Real Estate Economics, 36, 47–62.
Eichholtz, P., Kok, N., y Margaritova, M., 2009. Investment Style and Performance in The Global Real Estate Mutual Fund Market. Paper presented at the RERI annual meeting, April.
Gallo, J. G., Lockwood, L. J. y Rutherford, R. C., 2000. Asset Allocation and the Performance of Real Estate Mutual Funds. Real Estate Economics, 28 (1), 165-184.
Goebel, P. R. y Kim, K. S., 1989. Performance Evaluation of Finite-Life Real Estate Investment Trusts. Journal of Real Estate Research, 4 (2), 57-69.
Hartzell, J. C., Mühlhofer, T. y Titman, S. D., 2010. Alternative Benchmarks for Evaluating Mutual Fund Performance. Real Estate Economics, 38, 121–154.
Kallberg, J., Liu, C. L., y Trzcinka, C., 2000. The value added from investment managers. An examination of REIT funds. Journal of Financial and Quantitative Analysis, 35, 387–408.
Lee, S. L., 2003. The Persistence of Real Estate Fund Performance. 19th Annual American Real Estate Society (ARES) Meeting. Monterey, California, April.
Lin, C. y Yung, K., 2004. Real Estate Mutual Funds. Performance and Persistence, Journal of Real Estate Research, 26 (1), 69-93.
Ling, D. C., 2005. A random walk down main street. Can experts predict returns on commercial real estate? Journal of Real Estate Research, 27 (2), 137–155.
López Penabad, M. C.; López Andión, C. y Maside Sanfiz, J. M., 2006. Los fondos de inversión inmobiliaria en España 1994-2005: análisis del rendimiento y persistencia, Regional and Sectoral Economic Studies, 6 (2), 73-100.
Marco, R., 2007. Rentabilidad y crecimiento patrimonial en el mercado de fondos de inversión. Revista de Economía Aplicada, XV, 44, 41-84.
Martin, J. D. y Cook, D. O., 1991. A Comparison of the Recent Performance of Publicly Traded Real Property Portfolios and Common Stock. Journal of the American Real Estate and Urban Economics Association, 19 (2), 184-212.
Matallín, J. C. y Fernández, M. A., 2001. “La Evaluación de los FIM de Renta Variable: Un Enfoque Endógeno y Multiperíodo”, Revista Española de Financiación y Contabilidad, 30 (107), 67-102.
Matallín, J. C. y Fernández, M. A., 2002. Estudio de la gestión de Fondos de Inversión en el ámbito de las entidades financieras de carácter cooperativo. Valencia: Ed. Fundación Ruralcaja.
Myer, F. C. N. y Webb, J. R., 1993. The Effect of Benchmark Choice on Risk-Adjusted Performance Measures for Commingled Real Estate Funds. Journal of Real Estate Research, 8 (2), 189-203.
Nitzsche, D., Cuthbertson, K., y O’Sullivan, N., 2006. Mutual Fund Performance. Disponible en SSRN http://dx.doi.org/10.2139/ssrn.955807 (Acceso 20 Mayo 2013).
O’Neal, E. y Page, D. E., 2000. Real Estate Mutual Funds. Abnormal Performance and Fund Characteristics. Journal of Real Estate Portfolio Management, 6 (3), 239-247.
Palacios, J., 2010. “A vueltas con los fondos de inversión españoles: nuevas sorpresas en la década 2000-09”, Análisis Financiero, 114, 20-32.
Ruíz Martín, M., 2007. Los fondos de inversión. Performance y persistencia. Monografía CNMV, 26.
Toledo, I. y Marco, R., 2006. ¿Persisten las rentabilidades en el mercado de fondos de inversión español? Un análisis empírico para el periodo 1994-2001. Estadística Española, 48 (161), 5-38.
Zhou, X. y Ziobrowski, A. J., 2009. An investigation into REIT performance persistency, Journal of Property Research, 26 (2), June, 149–170.
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