The performance of Italian real estate mutual funds

Abstract

Purpose -Italian real estate mutual funds have shown enormous growth over the past few years, however, little is known about their performance. The purpose of this paper is to correct this oversight. Design/methodology/approach -The risk-adjusted performance, as measured by the Sharpe ratio, of 17 Italian real estate funds is valued using a number of fund characteristics and monthly data over the period [2005][2006][2007][2008]. Two models are constructed and ordinary least squares regressions are applied. Findings -Active property management, the level of property-type diversification and the way the fund is initially setup (either by subscription or by contribution) are found to be significant factors in differentiating the performance between Italian real estate funds.Research limitations/implications -The relatively short period of time (three years) used in the empirical analysis might represent its major drawback, also considering that data cover only the upward trend of the market cycle: a further research should be addressed when a longer time series is available. Practical implications -Results are of interest to investors and financial planners alike in revealing which factors should be considered in selecting Italian real estate funds. Originality/value -The main contribution of the paper is to study those characteristics of Italian real estate funds which have power in explaining their performance. The area of research is well known, the sample is new.

The incidence of real estate portfolio composition choices on funds performance: Evicence from the Italian market

“…The results show that the investment and portfolio composition choices impact on fund performance (Sharpe ratio) and, as evidenced by previous studies (Morri and Lee 2009), the variables having the greatest effect on the latter are the fund setup typology and age.…”

“…Looking at the Italian market Morri and Lee (2009) have focused their attention on Italian retail funds performance, identifying and analyzing funds characteristics. By estimating the relationship between Sharpe ratio and funds characteristics using ordinary least squares regressions, the research highlighted that active property management, fund setup typology and Herfindahl Index for property typologies have a significant influence on the riskadjusted performance.…”

The impact of real estate portfolio composition on the Italian real estate funds performance

“…The analysis showed how the investment and composition choices of portfolio impact significantly on the performance of funds and, as pointed out in previous studies (Morri and Lee 2009) the variables having the greatest effect on the latter are the fund setup typology, their age and sector diversification.…”

“…Looking at the Italian market Morri and Lee (2009) have focused their attention on Italian retail funds performance, identifying and analyzing funds characteristics. By estimating the relationship between Sharpe ratio and funds characteristics using ordinary least squares regressions, the research has highlighted that active property management, fund setup typology and Herfindahl Index for property typologies have a significant influence on the risk-adjusted performance.…”

“…( Plantinga and de Groot 2001, Scholz and Wilkens 2005, Bacon, 2010. The theme of real estate vehicles performance has been widely dealt with at European level (Otten andBams 2002, Grau-Carles et al 2009, Giannotti and Mattarocci 2010, Lee and Morri 2009)…”