Document Type


Publication Date



This article is the author's final published version in Journal of Risk and Financial Management, Volume 17, Issue 1, January 2024, Article number 7.

The published version is available at

Copyright © 2023 by the author


This study examines the net monthly returns of real estate exchange-traded funds (ETFs) through various performance evaluation models and market situations. The results reveal that these ETFs generated positive alphas and outperformed benchmark indices in absolute returns. However, their performance varied across market conditions, demonstrating both outperformance and underperformance compared to U.S. and global stocks. During the COVID-19 pandemic, real estate ETFs displayed a decline, trailing behind U.S. and global equities in both absolute returns and risk-adjusted performance. This emphasized their vulnerability during economic crises. Utilizing the Carhart four-factor model, significant exposure of real estate ETFs to the stock market was observed. Moreover, an assessment of ETF portfolio managers’ skills indicated proficiency in security selection but limited capabilities in market timing.

Creative Commons License

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 License.