Efficiency Analysis of Real Estate Investment Funds in a Period of Economic Crisis

Abstract

The Real Plan of stabilization brought about great transformations in the financial sector of the country and paved the way for the development of alternative forms of resource applications. The funds characterized as variable income and multimarket have been analyzed in several academic studies, but there is still a lack of concern with the Real Estate Investment Funds (FII), which are backed by civil construction assets. This article aims at partially remedying this gap by analyzing the performance of FII in a period of economic downturn. The sample includes forty-four funds registered at Comissão de Valores Mobiliários (CVM) that presented daily quotations from August 2013 to September 2016. The approach is quantitative, using economic and financial indicators (Sharpe and Sortino indexes), regression analysis (Alfa de Jensen) and the Data Envelopment Analysis (DEA) optimization model. The results were not favorable to the FIIs as an attractive alternative to the application of resources in the analyzed period. Taking into account the risk and return, few funds were able to surpass the market benchmark. The methodological procedures made also possible to verify the relative efficiency of each fund leading to the conclusion that there was a loss of efficiency in a significant part of the industry; 28 became less efficient, 12 did not present changes worthy of mention, and only 4 increased their levels of efficiency. In addition, the results obtained with the use of the various models bring about different possibilities of analysis and can contribute to the decision-making by portfolio managers and investors in the capital market.