REIT Momentum and the Performance of Real Estate Mutual Funds
Financial Analysts Journal , Volume 65 - Issue 5 p. 24- 34
REITs exhibit a strong and prevalent momentum effect that is not captured by conventional factor models. This REIT momentum anomaly hampers proper judgments about the performance of actively managed REIT portfolios. In contrast, a REIT momentum factor adds incremental explanatory power to performance attribution models for REIT portfolios. Using this factor, this study finds that REIT momentum explains a great deal of the abnormal returns that actively managed REIT mutual funds earn in aggregate. Accounting for exposure to REIT momentum also materially influences cross-sectional comparisons of the performances of REIT mutual funds. This study has important implications for performance evaluation, alpha--beta separation, and manager selection and compensation.
|ERIM Article Series (EAS)|
|Financial Analysts Journal|
|Organisation||Erasmus Research Institute of Management|
Derwall, J, Huij, J.J, & Marquering, W.A. (2009). REIT Momentum and the Performance of Real Estate Mutual Funds. Financial Analysts Journal, 65(5), 24–34. Retrieved from http://hdl.handle.net/1765/20955