REIT Momentum and the Performance of Real Estate Mutual Funds

Posted: 8 Oct 2009

See all articles by Jeroen Derwall

Jeroen Derwall

Maastricht University - European Centre for Corporate Engagement; Maastricht University - Department of Finance; Utrecht University - School of Economics

Joop Huij

Erasmus University - Rotterdam School of Management; Robeco; Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)

Dirk Brounen

Erasmus University Rotterdam (EUR) - Department of Financial Management; Erasmus Research Institute of Management (ERIM); Tinbergen Institute

Wessel Marquering

Erasmus University Rotterdam (EUR) - Department of Financial Management

Multiple version iconThere are 2 versions of this paper

Date Written: October 7, 2009

Abstract

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.

Keywords: Alternative Investments, Real Estate, Equity Investments, Fundamental Analysis and Valuation Models, Performance Measurement and Evaluation, Performance Attribution, Portfolio Management, Equity Strategies

Suggested Citation

Derwall, Jeroen and Huij, Joop and Brounen, Dirk and Marquering, Wessel A., REIT Momentum and the Performance of Real Estate Mutual Funds (October 7, 2009). Financial Analysts Journal, Vol. 65, No. 5, 2009, Available at SSRN: https://ssrn.com/abstract=1484801

Jeroen Derwall (Contact Author)

Maastricht University - European Centre for Corporate Engagement ( email )

FEBA
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HOME PAGE: http://www.corporate-engagement.com/

Maastricht University - Department of Finance ( email )

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Utrecht University - School of Economics ( email )

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Joop Huij

Erasmus University - Rotterdam School of Management ( email )

P.O. Box 1738
Rotterdam, 3000 DR
Netherlands

HOME PAGE: http://www.rsm.nl/jhuij

Robeco

Rotterdam, 3014DA
Netherlands

HOME PAGE: http://www.robeco.com/

Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)

P.O. Box 1738
Rotterdam, 3000 DR
Netherlands

Dirk Brounen

Erasmus University Rotterdam (EUR) - Department of Financial Management ( email )

P.O. Box 1738
Room T09-53
3000 DR Rotterdam
Netherlands

Erasmus Research Institute of Management (ERIM) ( email )

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3000 DR Rotterdam
Netherlands
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+31 1 0408 9017 (Fax)

HOME PAGE: http://web.eur.nl/fbk/dep/dep5/faculty/dbrounen

Tinbergen Institute ( email )

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Rotterdam, 3062 PA
Netherlands
120-551-3535 (Phone)

Wessel A. Marquering

Erasmus University Rotterdam (EUR) - Department of Financial Management ( email )

P.O. Box 1738
F4-26
Rotterdam 3000 DR
Netherlands
+31 10 408 2786 (Phone)
+31 10 408 9017 (Fax)

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