Active Management in Real Estate Mutual Funds

Lantushenko, Viktoriya; Nelling, Edward

doi:10.1007/s11146-019-09722-y

Cited by 6 publications

(2 citation statements)

References 42 publications

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“…To control for investor sentiment in the general equity market, we include VIX index (Chicago Board Options Exchange, as known as volatility index), which measures implied volatility based on S&P500 options, and this captures the expectations of investor about future stock market volatility. We also include Nareit_return as monthly return from FTSE NAREIT US Real Estate Index to control for the overall REIT market (Lantushenko and Nelling 2020).…”

Section: Methodsmentioning

confidence: 99%

Navigating Real Estate Investment Trust Performance Dynamics: The Role of Style (Equity vs. Mortgage Real Estate Investment Trusts) and Diversification Amidst the COVID-19 Pandemic

Damani,

Nguyen,

Pratima

2024

JRFM

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In this paper, we investigate the impact of COVID-19 on different performance measures and the risk of US Real Estate Investment Trusts (REITs) with different styles. Our findings suggest a phenomenon with compelling evidence of reduced performance without any significant changes in risk profile amidst the COVID-19 pandemic. Particularly, mortgage REITs (MREITs) appear to be more adversely affected compared to equity REITs (EREITs). We further explore and analyze the performance of specialized REITs in contrast to diversified REITs in the distinctive conditions presented by COVID-19. We find that diversification creates value for the entire sample period, whereas, during the COVID-19 pandemic, property type specialization helps, although the results are weakly significant. The findings on risk suggest investors’ short-run outlook on market reaction. These results remain robust to additional tests. The implications provide insight for investors as a reference to reallocate assets in their portfolios during uncertain times.

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Section: Methodsmentioning

confidence: 99%

Navigating Real Estate Investment Trust Performance Dynamics: The Role of Style (Equity vs. Mortgage Real Estate Investment Trusts) and Diversification Amidst the COVID-19 Pandemic

Damani,

Nguyen,

Pratima

2024

JRFM

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“…Moreover, recent investigations by Lantushenko and Nelling (2020) observed a decline in activity among real estate fund managers, with geographically diversified real estate mutual funds failing to outperform. MacGregor et al (2021) did not find substantial evidence supporting the outperformance of global real estate mutual funds compared to other actively managed funds, even in the long term.…”

Section: Previous Studiesmentioning

confidence: 99%

Evaluating the Performance of Real Estate Exchange-Traded Funds

Malhotra

2023

JRFM

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This study examines the net monthly returns of real estate exchange-traded funds (ETFs) through various performance evaluation models and market situations. The results reveal that these ETFs generated positive alphas and outperformed benchmark indices in absolute returns. However, their performance varied across market conditions, demonstrating both outperformance and underperformance compared to U.S. and global stocks. During the COVID-19 pandemic, real estate ETFs displayed a decline, trailing behind U.S. and global equities in both absolute returns and risk-adjusted performance. This emphasized their vulnerability during economic crises. Utilizing the Carhart four-factor model, significant exposure of real estate ETFs to the stock market was observed. Moreover, an assessment of ETF portfolio managers’ skills indicated proficiency in security selection but limited capabilities in market timing.

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