Evaluating Real Estate Mutual Fund Performance Using the Morningstar Upside/Downside Capture Rati

Global Journal of Business Research, v. 12 (1) p. 15-22

8 Pages Posted: 10 Mar 2019

See all articles by James L. Kuhle

James L. Kuhle

California State University, Sacramento

Eric C. Lin

California State University, Sacramento

Date Written: 2018

Abstract

The purpose of this research is to explore the viability of utilizing the Morningstar upside/downside capture ratio (UDCR) as viable measure of mutual fund risk and its relation to return. This research examines and compares result of the Sharpe ratio to the Morningstar upside/downside capture ratio (UDCR) in an effort to determine if the UDCR might better explain the ex-post performance of the mutual funds examined. Three sectors of 268 mutual funds are examined; these include domestic equity real estate, domestic equity value funds, and global equity real estate as defined and reported on the Morningstar database. This research considers the traditional measures of risk which include the standard deviation of returns along with the Sharpe ratio. The empirical results suggest that UDCR may provide a more accurate fit in explaining real estate mutual fund returns than the Sharpe Ratio.

Keywords: Real Estate, Mutual Funds, Morningstar, Sharpe Ratio

JEL Classification: G10, G11, G17

Suggested Citation

Kuhle, James L. and Lin, Eric C., Evaluating Real Estate Mutual Fund Performance Using the Morningstar Upside/Downside Capture Rati (2018). Global Journal of Business Research, v. 12 (1) p. 15-22, Available at SSRN: https://ssrn.com/abstract=3209543

James L. Kuhle (Contact Author)

California State University, Sacramento ( email )

6000 J Street
Sacramento, CA 95819-6082
United States

Eric C. Lin

California State University, Sacramento ( email )

6000 J Street
Sacramento, CA 95819-6082
United States

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