PERFORMANCE ANALYSIS OF REAL ESTATE INVESTMENT FUND TRADING ON THE STOCK EXCHANGE MARKET IN TURKEY
- Yatırım Fonları,
- Gayrimenkul Yatırım Fonları,
- Gayrimenkul Finansı,
- Performans Kriterleri
- Mutual Funds Real Estate Investment Funds Real Estate Finance Performance Criteria Mutual Funds
How to Cite
Copyright (c) 2020
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
- RESEARCH SUBJECT
The establishment of transactions of real estate investment funds (REIF) has started in 2014 "Communiqué on Principles Regarding Real Estate Investment Funds", which was put into effect by the Capital Markets Board in Turkey. Therefore, it should be regarded as usual that the number of studies on REIF is quite limited. It is seen that there are many studies on REIF's because REIF's have been applied since 1938, especially in many European, American and Asia-Pacific countries. In the literature, it is possible to divide the studies for REIFs into two parts. These studies can be evaluated which the performance of funds or the management capabilities of REIFs are measured. In many studies on performance measurements of funds, REIFs have been compared among themselves or according to the market portfolio. In recent years, it is seen that techniques such as regression analysis and Monte Carlo Simulation are used in addition to traditional portfolio performance measurements.
- RESEARCH PURPOSE AND IMPORTANCE
As a result of the increasing demand for real estate in 2020 and beyond, significant increases are expected both in the number of REIFs, established and listed on the stock exchange market. For this reason, determining the performance of REIFs and measuring their managerial success is essential for investors.
REIFs, which have found a wider investment area globally, are essential for developing and diversification of capital markets. This research aims to evaluate the performance of REIF's, which is listed on the stock exchange market in Turkey, due to the limited academic studies related to prior periods, which is a very newly capital market instrument.
- CONTRIBUTION of the ARTICLE to the LITERATURE
By 2020, the number of REIFs has been increased to 50, according to the Public Disclosure Platform data. In 2017; Batışehir, Dükkân and One Tower GYF owned by Albaraka Türk Real Estate Portfolio Management Company, have been listed on the stock exchange and the shares have started to be traded in the qualified investor transaction market. Many studies measure mutual funds' performance on the stock market, while REIF's are not in Turkey.
- DESIGN AND METHOD
- RESEARCH TYPE
In the study, the data belong to Batışehir, Dükkân, One Tower, and Re-Pie REIF's that are listed on the stock exchange market have been examined. The funds have been ranked according to their performance by analyzing them according to Sharpe, Treynor, Jensen, M² and T² performance criteria. In the research, a comparison is also made with REIT data, and the results are presented.
- DATA COLLECTION METHOD
In the research, 509 days of data have been analyzed between May 2018 and May 2020. Within the research scope, four REIF's traded in Borsa Istanbul Qualified Investor Trading Market have been analyzed according to the performance criteria, and funds are listed according to their performance using Sharpe, Treynor, Jensen, M² and T² indexes. The analyzed 509 days data is converted into monthly data, and BIST-KYD Repo Index is used as the risk-free interest rate in the calculations also BIST-100 data is used to measure the market portfolio.
- FINDINGS AND DISCUSSION
As a result, it is seen that in all performance measurement models, the market portfolio with the BIST100 index shows a higher performance than the REIFs, and Re-Pie Eurasia Strategic REIF has the best performance among the examined REIFs. Albaraka One Tower appears to have the best performance among the other three funds after Re-Pie Eurasia Strategic. When REITs are included in the research, it has been concluded that REITs perform is above the market index according to performance measurement methods. In May-2018 and May-2020, which constitute the research periods, it is seen that REITs have the highest performance, other REIFs have lower performance than the market, and Re-Pie Anadolu Strategic REIF has the highest performance among REIFs.
- CONCLUSION, RECOMMENDATION AND LIMITATIONS
As a result, the reasons for the poor performance of REIFs from their market portfolio can be counted in general as follows:
- The lack of diversification in investment decisions,
- Low recognition of very newly investment tool,
- The sales of REIFs are only for qualified investors, therefore, their low liquidity compared to other investment instruments,
- Wrong investment choices.
When making investment decisions, managers or investors' performance measurement results based on previous period data will be essential and form a basis for future investment choices.
- LIMITATIONS of the ARTICLE
Portfolio performance measurement methods such as Sharpe, Treynor, and Jensen are previously developed as methods used in the article. In recent studies, other methods can be developed and used. Furthermore, the increasing number of REIF's in transactions and trades on exchange market data measurements give reliable results.
- Amihud, Y., and Goyenko, R. (2013). Mutual fund's R² as predictor of performance. Review of FinancialStudies, 26(3), 667–694.
- Antonova, I. S., Negodina, O. A., Koptelova, K. S., Spitsina, L. Y., Popova, S. N., & Vavilov, D. D. (2016, January). Investment attractiveness of closed-end real estate investment funds in Russia: factor score evaluation. In International Conference on Education, Management, Computer and Society. Atlantis Press.
- Bingöl, M. (2015). Gayrimenkul fonu yatırımcılarında vergi avantajları. Finans Gündem. https://www.finansgundem.com/yazarlar/gayrimenkul-fonu-yatirimcilarinda-vergi-avantajlari-yazisi/466758 (Erişim Tarihi: 13 Ocak 2020).
- Brueggeman, W.B., Chen, A.H. and Thibodeau, T.G. (1992). Some additional evidence on the performance of commingled real estate investment funds: 1972-1991. The Journal of Real Estate Research, 7(4), 433-448.
- Chiang, K., Kozhevnikov, K., Lee, M., & Wisen, C. (2008). Further evidence on the performance of fund offunds: The case of real estate mutual funds.Real Estate Economics, 36(1), 47–61.
- Fletcher, S. (1993). Portfolio considerations in commingled real estate funds. The Journal of Real Estate Research, 8(2), 171-187.
- Jensen, M. C. (1968). The performance of mutual funds in the period 1945-1964. The Journal of finance, 23(2), 389-416.
- Gallo, J., Lockwood, L., and Rutherford, R. (2000). Asset allocation and the performance of real estate mutual funds. Real Estate Economics, 28(1), 165–184.
- Galloppo, G. and Mundula, L. (2015). Analysis of closed real estate funds in Italy. Journal of Real Estate Literature, 23(1), 85-114.
- Güçlü, S. (2007). Yatırım Fonlarının Performansının Ölçülmesi ve Bir Uygulama, Yüksek Lisans Tezi, İstanbul Teknik Üniversitesi, İstanbul.
- Kaushik, A., and Pennathur, A. K. (2012). An empirical examination of the performance of real estate mutual funds 1990-2008. Financial Services Review, 21(4).
- Kılıç, S. (2002). Türkiye’deki Yatırım Fonlarının Performanslarının Değerlendirilmesi, İMKB Yayınları, İstanbul.
- Korkmaz, T. ve Uygurtürk, H. (2007). Türkiye’deki Emeklilik Fonlarının Performans Ölçümü ve Fon Yöneticilerinin Zamanlama Yeteneği, Akdeniz İ.İ.B.F. Dergisi, (14): 66-93.
- Kök, D., & Erikçi, M. E. (2015). Türkiye’de A tipi yatırım fonlarının performansı: 2004-2013 dönemi analizi. Pamukkale İşletme ve Bilişim Yönetimi Dergisi, (2), 15-26.
- Lantushenko, V., and Nelling, E. (2019). Active Management in Real Estate Mutual Funds. The Journal of Real Estate Finance and Economics, 1-28.
- Lee, S.L. (1997). The components of property fund performance. Journal of Real Estate Portfolio Management, 3(2), 97-105.
- Lin, C. Y. and Yung, K. (2004). Real estate mutual funds: Performance and persistence. Journal of Real Estate Research, 26(1), 69-94.
- Modigliani, F. and Modigliani, L. (1997). Risk-Adjusted Performance, Journal of Portfolio Management, 23(2), 45-54.
- Myer, F.C.N. and Webb, J. R. (1993). The effect of benchmark choice on risk-adjusted performance measures for commingled measures for commingled real estate funds. The Journal of Real Estate Research, 8(2), 189-204.
- O'Neal, E.S. and Page, D. E. (1998). Real estate mutual funds: Abnormal performance and fund characteristcs. Journal of Real Estate Porfolio Management, 6(3), 239-247.
- Özgüç, E. (2008). Gayrimenkul Yatırım Fonları: Çeşitli Ülkelerdeki Uygulamalar ve Türkiye İçin Öneriler, Sermaye Piyasası Kurulu Araştırma Raporu, Ankara.
- Ro, S., and Gallimore, P. (2014). Real estate mutual funds: Herding, momentum trading and performance.RealEstate Economics, 42(1), 190–222.
- Rodriguez, J. (2007). A critical look at the forecasting ability of real estate mutual fund managers.Journal ofReal Estate Portfolio Management, 13(2), 99–106.
- Sharpe, W. F., (1966). Mutual Fund Performance, Journal of Business, 39(1), 119-138.
- SPK, (2020). Web Sitesi: https://www.spk.gov.tr/SiteApps/Yayin/AylikIstatistikBultenleri, Erişim tarihi: 10.06.2020.
- Treynor, J. L. (1965). How to Rate Management Investment of Funds, Performance Measurement. Harvard Business Review, 43, 69-87.
- Ural, M. (2010). Yatırım Fonlarının Performans ve Risk Analizi, Detay Yayıncılık, Ankara.
- Vasques, F., Teixeira, J.C. and Brandao, E. (2009). Persistence of Portuguese real estate investment funds performance. Journal of Real Estate Portfolio Management, 15(3), 251-266.
- Yöner, C. (2015). Gayrimenkul yatırım fonu ve yabancıların gayrimenkul yatırım fonu kapsamındaki avantajları. http://www.kasaroglu.av.tr/tr/28035/Gayrimenkul-Yatirim-Fonu-Ve-Yabancilarin-Gayrimenkul-Yatirim-FonuKapsamindaki-Avantajlari (Erişim Tarihi: 27 Ocak 2020).