On the timing of real estate mutual funds across market cycles

Abstract

The timing ability of real estate mutual fund managers over market cycles in both the real estate sector and the broader economy from 1990 through 2009 is investigated. Results indicate that real estate fund managers exhibit positive timing ability in bull markets, but not in bear markets. Consistent with previous research, no significant timing or differences across normal and extreme market conditions are shown. The data indicate that larger funds and those with higher turnover and expense ratios, cash holdings, and returns successfully time the market in bull periods. Funds with the lowest returns report negative timing across all market conditions.