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Relative Performance of Real Estate Exchange-Traded Funds

Author

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  • Kimberly R. Goodwin
  • Srinidhi Kanuri
  • Robert W. McLeod

Abstract

This paper examines the performance of 34 real estate exchange-traded funds (REETFs) over the period of May 2003 through September 2019. We construct equally-weighted REETF portfolios every month and compare them with the overall U.S. stock market as proxied by the S&P 500 value-weighted ETF (IVV) and the S&P 500 equal-weighted ETF (RSP). Our results show that over the entire time period the REETF portfolios experienced higher monthly returns, but also had a slightly higher standard deviation of returns. We also provide results controlling for risk differentials using the Sharp, Sortino, and Omega ratios. The results show that IVV and RSP had higher risk-adjusted performance using all of the various measures compared with REETFs portfolios. REETFs also had much higher risk and losses during the 2007–2009 financial crisis.

Suggested Citation

  • Kimberly R. Goodwin & Srinidhi Kanuri & Robert W. McLeod, 2021. "Relative Performance of Real Estate Exchange-Traded Funds," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 27(1), pages 78-87, January.
    • Handle: RePEc:taf:repmxx:v:27:y:2021:i:1:p:78-87
    DOI: 10.1080/10835547.2021.1979381
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