Alpha and Persistence in Real Estate Fund Performance

This paper investigates whether fund managers investing in the direct real estate market can systematically and persistently deliver superior risk-adjusted returns. The research that has been published has typically focused on the performance of managers trading public real estate securities. Our st...

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Bibliographic Details
Published in:The journal of real estate finance and economics 2010-07, Vol.41 (1), p.53-79
Main Authors: Bond, Shaun A., Mitchell, Paul
Format: Article
Language:English
Subjects:
Capital assets
Commercial real estate
Data analysis
Economic theory
Economics
Economics and Finance
Efficient markets
Financial Services
Hedge funds
Hypotheses
Investment
Investment advisors
Investors
Literature reviews
Mutual funds
Performance evaluation
Portfolio management
Real estate
Regional/Spatial Science
Return on investment
Risk
Stock returns
Studies
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Summary:This paper investigates whether fund managers investing in the direct real estate market can systematically and persistently deliver superior risk-adjusted returns. The research that has been published has typically focused on the performance of managers trading public real estate securities. Our study draws on a unique data set of commercial real estate funds collated by the Investment Property Databank (IPD) in the United Kingdom, covering up to 280 funds over the period 1981 to 2006. The widespread finding is that very few managers appear to be able to generate excess risk-adjusted returns. Furthermore, there is little evidence of performance persistence in either fund returns or risk-adjusted fund returns.
ISSN:0895-5638
1573-045X
DOI:10.1007/s11146-009-9230-y