Further Evidence on the Performance of Funds of Funds: The Case of Real Estate Mutual Funds
研究发现，虽然房地产基金中的基金在扣除费用和风险调整后看似有超额收益，但采用不同的风险调整方法后，大多数基金并未跑赢基准。
Funds of funds (FOFs) are created when investment companies invest in other investment companies. Although the additional layer of fees incurred by FOFs has a negative effect on returns, there is empirical evidence that real estate FOFs generate superior performance net of fees and risk adjustments. The evidence is inconsistent with a growing consensus that most actively managed mutual funds do not, on average, generate excess returns after adjusting for fees and risk. This study explains this apparent contradiction and finds that most real estate FOFs do not outperform their benchmarks under alternative risk adjustment specifications.