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Separating Skill from Luck in REIT Mutual Funds

Author

Listed:
  • Luke Layfield

    (Aviva Investors)

  • Simon Stevenson

    (School of Real Estate & Planning, Henley Business School, University of Reading)

Abstract

This study uses a bootstrap methodology to explicitly distinguish between skill and luck for 80 Real Estate Investment Trust Mutual Funds in the period January 1995 to May 2008. The methodology successfully captures non-normality in the idiosyncratic risk of the funds. Using unconditional, beta conditional and alpha-beta conditional estimation models, the results indicate that all but one fund demonstrates poor skill. Tests of robustness show that this finding is largely invariant to REIT market conditions and maturity.

Suggested Citation

  • Luke Layfield & Simon Stevenson, 2011. "Separating Skill from Luck in REIT Mutual Funds," Real Estate & Planning Working Papers rep-wp2011-05, Henley Business School, University of Reading.
    • Handle: RePEc:rdg:repxwp:rep-wp2011-05
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    File URL: http://www.reading.ac.uk/REP/fulltxt/0611.pdf
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    Cited by:

    1. Parshakov, Petr, 2015. "Estimation of skill of Russian mutual fund managers," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 37(1), pages 57-66.

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