15 Pages Posted: 2 Feb 2008
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: 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
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