Further Evidence on the Performance of Funds of Funds: The Case of Real Estate Mutual Funds |
| |
| Authors: | Kevin CH Chiang Kirill Kozhevnikov Ming-Long Lee Craig H Wisen |
| |
| Institution: | School of Business Administration, University of Vermont, Burlington, VT 05405-0157 or .;Lundquist College of Business, University of Oregon, Eugene, OR 97403 or .;Department of Finance, National Yunlin University of Science and Technology, Douliou, Yunlin, Taiwan 640 or .;School of Management, University of Alaska Fairbanks, Fairbanks, AK 99775 or . |
| |
| 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. |
| |
| Keywords: | |
|
|
