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?

Nell S. Gullett, Arnold L. Redman
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引用次数: 12

摘要

本研究考察了房地产共同基金相对于五类股票共同基金的风险调整收益的决定因素,以及与房地产共同基金结合时对共同基金投资组合的系统性风险/收益影响。我们发现有三个变量显著影响房地产共同基金的风险调整收益:与股市收益的相关性、费用率和税收效率。回报率与股市回报率关联较大的房地产基金,其风险调整后的回报率会更高。低税收效率和较高的费用率将导致风险调整后的回报降低。本研究提供了将房地产共同基金纳入股票共同基金组合的积极风险/回报影响的证据。将房地产共同基金与非房地产共同基金合并成同等权重的投资组合,将增加投资组合的回报,同时降低投资组合的贝塔系数。版权所有©2005 John Wiley &儿子,有限公司
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Do real estate mutual funds enhance portfolio returns and reduce portfolio risk?

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.

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