Determinants of mutual fund performance: Case of European non-listed real estate funds

Abstract

Over the last decade non-listed real estate funds have experienced an upswing both in numbers and in size. This has made the non-listed market a more credible alternative to investors.

This paper seeks to analyse the relation between non-listed real estate mutual fund performance and fund attributes. Data on mutual funds is drawn from INREV database on mutual funds investing in Europe. The sample consists of 299 funds with a total gross asset value of 233.6 billion spread over thirteen countries for the period 2001-2007.

Univariate and multivariate regressions are performed on the sample with results from the multivariate regression indicating that four of the fourteen variables entered were significant. Amongst these are fund yield, vintage, gearing and institutional investor type. Results also demonstrate that traditional variables like funds size and fund age remain insignificant though with fund size having a positive influence on performance. A look at fund age indicates that young funds are more able to obtain better performance. Furthermore new variables including sector and style remain insignificant during the period of study.