{"title":"房地产共同基金能提高投资组合收益并降低投资组合风险吗?","authors":"Nell S. Gullett, Arnold L. Redman","doi":"10.1002/bref.157","DOIUrl":null,"url":null,"abstract":"<p>This study examines both the determinants of risk-adjusted returns of real estate mutual funds relative to that of five categories of equity mutual funds and the systematic risk/return impacts on mutual fund portfolios when combined with real estate mutual funds. We find that there are three variables that are significant in affecting risk-adjusted returns of real estate mutual funds: correlation with stock market returns, expense ratio and tax efficiency. Real estate funds with returns that have a greater association with stock market returns would have larger risk-adjusted returns. Low tax efficiency and larger expense ratios would lead to reduced risk-adjusted returns. This study provides evidence of the positive risk/return impacts of including real estate mutual funds in a portfolio of equity mutual funds. Combining real estate mutual funds into equally weighted portfolios with non-real estate mutual funds would have increased portfolio returns while decreasing portfolio beta. Copyright © 2005 John Wiley & Sons, Ltd.</p>","PeriodicalId":100200,"journal":{"name":"Briefings in Real Estate Finance","volume":"5 1-2","pages":"51-66"},"PeriodicalIF":0.0000,"publicationDate":"2007-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/bref.157","citationCount":"12","resultStr":"{\"title\":\"Do real estate mutual funds enhance portfolio returns and reduce portfolio risk?\",\"authors\":\"Nell S. Gullett, Arnold L. Redman\",\"doi\":\"10.1002/bref.157\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>This study examines both the determinants of risk-adjusted returns of real estate mutual funds relative to that of five categories of equity mutual funds and the systematic risk/return impacts on mutual fund portfolios when combined with real estate mutual funds. We find that there are three variables that are significant in affecting risk-adjusted returns of real estate mutual funds: correlation with stock market returns, expense ratio and tax efficiency. Real estate funds with returns that have a greater association with stock market returns would have larger risk-adjusted returns. Low tax efficiency and larger expense ratios would lead to reduced risk-adjusted returns. This study provides evidence of the positive risk/return impacts of including real estate mutual funds in a portfolio of equity mutual funds. Combining real estate mutual funds into equally weighted portfolios with non-real estate mutual funds would have increased portfolio returns while decreasing portfolio beta. Copyright © 2005 John Wiley & Sons, Ltd.</p>\",\"PeriodicalId\":100200,\"journal\":{\"name\":\"Briefings in Real Estate Finance\",\"volume\":\"5 1-2\",\"pages\":\"51-66\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2007-03-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1002/bref.157\",\"citationCount\":\"12\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Briefings in Real Estate Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1002/bref.157\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Briefings in Real Estate Finance","FirstCategoryId":"1085","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/bref.157","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 12