Fundos de investimento imobiliário versus Real Estate Investment Trusts: análise de performances

Abstract

The goal of this research is to examine the performance of American Real Estate Investment Trusts (REITs) and Brazilian Real Estate Investment Trusts (FIIs) by using the standard performance measurement methods of Sharpe, Treynor, Jensen, Appraisal, Sortino and MM during the 2003-2013 period, as well as to identify the macroeconomic variables that influenced the assets´ performances by adopting the APT (Asset Pricing Theory) model. Specifically, we sought to determine the performance obtained by REITs and FIIs before (January/2003 to May/2007), during (March/2009 to June/2007) and after the financial crisis (April/2009 the August/2013) of 2008. Additionally, we sought to examine the stability of the performance of REITs and FIIs during the period 2003-2013, as well as between the subperiods just mentioned. Finally, we investigated whether FIIs performed better than REITs during any period of analysis. The results indicate that most REITs and FIIs were able to overcome the risk-free rate and the market portfolio during the analyzed period. However, the Wilcoxon Test Signal indicates that, in general, the performance of REITs did not persist during the subperiods. FIIs were able to present persistence of performance before, during and after the financial crisis. To verify if the performance of FIIs was superior to the REITs, the non-parametric Mann-Whitney test was applied. According to the results, all REITs showed measures of risk-adjusted performance superior to FIIs during 2003 and 2013. To test equality of the performance of REITs and FIIs in different subperiods the Kruskal-Wallis and Mann- Whitney tests were used. The results indicate that the equality of performance was rejected as well as the hypothesis of superiority of FIIs over REITs. Finally, the APT model used to determine the macroeconomic variables that influence the returns of REITs and FIIs showed that in the U.S. market, the variables: risk premium and the term structure were significant. In the Brazilian market, the term structure and the unexpected inflation were statistically significant to explain the return of the assets.