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A Critical Look at the Forecasting Ability of Real Estate Mutual Fund Managers

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  • Javier Rodriguez

Abstract

Executive Summary. The forecasting ability and value provided by real estate mutual fund managers is empirically examined during the 1999-2004 time period. Attribution returns are used to test for forecasting skill. An attribution return is defined as the difference between a fund's actual month t return and the return that would have been generated by the index strategy that best explains the fund return during the previous two-year period. In the aggregate, fund managers do not show abnormal forecasting skill. However, real estate mutual fund managers show more forecasting skill during periods when the stock market does better than the bond market. Finally, when the fund sample is partitioned between surviving and non-surviving funds, only the subgroup of non-surviving funds shows poor forecasting skill as evidenced by a negative and significant mean attribution return.

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  • Javier Rodriguez, 2007. "A Critical Look at the Forecasting Ability of Real Estate Mutual Fund Managers," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 13(2), pages 99-106, January.
    • Handle: RePEc:taf:repmxx:v:13:y:2007:i:2:p:99-106
    DOI: 10.1080/10835547.2007.12089767
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