Further Evidence on the Performance of Funds of Funds: The Case of Real Estate Mutual Funds

15 Pages Posted: 2 Feb 2008  

Kevin C.H. Chiang

University of Vermont

Kirill Kozhevnikov

University of Oregon - Department of Finance

Ming-Long Lee

National Yunlin University of Science and Technology

Craig H. Wisen

affiliation not provided to SSRN

Abstract

Funds of funds (FOFs) are created when investment companies invest in other investment companies. Although the additional layer of fees incurred by FOFs has a negative effect on returns, there is empirical evidence that real estate FOFs generate superior performance net of fees and risk adjustments. The evidence is inconsistent with a growing consensus that most actively managed mutual funds do not, on average, generate excess returns after adjusting for fees and risk. This study explains this apparent contradiction and finds that most real estate FOFs do not outperform their benchmarks under alternative risk adjustment specifications.

Suggested Citation

Chiang, Kevin C.H. and Kozhevnikov, Kirill and Lee, Ming-Long and Wisen, Craig H., Further Evidence on the Performance of Funds of Funds: The Case of Real Estate Mutual Funds. Real Estate Economics, Vol. 36, No. 1, pp. 47-61, Spring 2008. Available at SSRN: https://ssrn.com/abstract=1089618 or http://dx.doi.org/10.1111/j.1540-6229.2008.00206.x

Kevin C.H. Chiang

University of Vermont ( email )

212 Kalkin Hall
Burlington, VT 05405-0158
United States

Kirill Kozhevnikov

University of Oregon - Department of Finance

Charles H. Lundquist College of Business
1208 University of Oregon
Eugene, OR 97403-1208
United States

Ming-Long Lee

National Yunlin University of Science and Technology ( email )

123, University Rd. Sec 3
Touliu, Youlin 640, Yunlin 64002
Taiwan

Craig H. Wisen

affiliation not provided to SSRN

No Address Available

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