Risk-return performances of real estate investment funds in Turkey including the Covid-19 period

    Mehmet Emre Çamlibel   Affiliation
    ; Levent Sümer   Affiliation
    ; Ali Hepşen   Affiliation


The purpose of this research is to give an insight into the Turkish real estate investment funds (T-REIFs) by comparing their risk-return performances with the main benchmark investment tool Istanbul Stock Exchange-100 (BIST-100) Index. This study evaluated the performance of T-REIFs in four different periods between January 2017 and December 2020 (2017m1–2017m12, 2018m1–2018m12, 2019m1–2019m12 and 2020m1–2020m12) including the Coronavirus Disease (Covid-19) period by applying the Sharpe and Treynor ratios. In a well-diversified portfolio both ratios give the same results, but in the presence of non-systematic risk and the portfolio is poorly diversified, the Treynor ratio is a better indicator than the Sharpe ratio. The findings of this study show that rankings of Sharpe and Treynor ratios may differ for each period. These results also support the fact that the portfolios of funds in the Turkish real estate market are not well diversified. By providing corporate tax exemptions, and by enabling the investors to diversify their investments and reduce their risks, real estate investment funds are important alternatives to direct real estate investments in Turkey. In that context, being one of the pioneer studies in this niche and a new topic in emerging markets, analyzing the return performances of T-REIFs and comparing them with the returns of the BIST-100 index is aimed to contribute to literature as well as provide insight to investors who may consider investing in the Turkish real estate capital market instruments.

Keyword : real estate investment funds, return performances, emerging markets, performance measurement, Sharpe ratio, Treynor ratio, Covid-19

How to Cite
Çamlibel, M. E., Sümer, L., & Hepşen, A. (2021). Risk-return performances of real estate investment funds in Turkey including the Covid-19 period. International Journal of Strategic Property Management, 25(4), 267-277.
Published in Issue
May 25, 2021
Abstract Views
PDF Downloads
Creative Commons License

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


Aggarwal, R., Klapper, L., & Wysocki P. D. (2003). Portfolio preferences of foreign institutional investors (World Bank Policy Research Working Paper No. 3101).

Alcock, J., Baum, A., Colley, N., & Steiner, E. (2013). The role of financial leverage in the performance of private equity real estate funds. The Journal of Private Equity, 17(1), 80–91.

Almudhaf, F., & Hansz, A. J. (2018). Random walks and market efficiency: evidence from real estate investment trusts (REIT) subsectors. International Journal of Strategic Property Management, 22(2), 81–92.

Almudhaf, F., Aroul, R. R., & Hansz, J. A. (2020). Are markets adaptive? Evidence of predictability and market efficiency of lodging/resort REITs. International Journal of Strategic Property Management, 24(2), 130–139.

Bayraktar, S. (2018). Performance stability of Turkish REITs. In S. Gokten, & G. Kucukkocaoglu (Eds.), Financial management from an emerging market perspective (chapter 16, pp. 811–879). IntechOpen.

Benli, A. (2017). Türkiye’de gayrimenkul yatırım fonlarının bireysel emeklilik sistemine dahil edilmesi ve bu değişimin sermaye piyasalarına etkisi [Master thesis]. Marmara University, Istanbul, Turkey.

Bond, S. A., & Mitchell, P. (2010). Alpha and persistence in real estate fund performance. Journal of Real Estate Finance and Economics, 41, 53–79.

Borsa Istanbul Stock Exchange. (2020, December 31). Borsa Istanbul stock exchange data sets.

Capital Market Board. (2020, May 31). Communiqué on real estate investment funds.

Capital Markets Board of Turkey. (2020, December 31). Monthly bulletin.

Fuerst, F., & Matysiak, G. (2013). Analysing the performance of nonlisted real estate funds: a panel data analysis. Applied Economics, 45(14), 1777–1788.

Haugen, R. A. (1997). Modern investment theory (4th ed.). Prentice Hall.

Icellioglu, C. S. (2012). Real estate investments in the economic and financial perspective: econometric analysis of Istanbul housing market (2008–2011) [Ph.D. thesis]. Istanbul University, Istanbul, Turkey.

International Monetary Fund. (2020). COVID-19: how to record government policy interventions in fiscal statistics.

Israelsen, C. (2009). Refining the Sharpe ratio. Journal of Performance Measurement, 13(3), 23–27.

Jagongo, A., & Mustwenje, V. S. (2014). A survey of the factors influencing investment decisions: the case of individual investors at the NSE. International Journal of Humanities and Social Science, 4(2), 92–102.

Jagric, T., Podobnik, B., Strasek, S., & Jagric, V. (2007). Riskadjusted performance of mutual funds: some tests. South-Eastern Europe Journal of Economics, 2, 233–244.

Jensen, M. C. (1968). The performance of mutual funds in the period 1945–1964. Journal of Finance, 23(2), 389–416.

Katzler, S. (2016). Methods for comparing diversification strategies on the Swedish real estate market. International Journal of Strategic Property Management, 20(1), 17–30.

Kıyılar, M., & Hepşen, A. (2010). Performance appraisal of real estate investment trusts (REITs): a practice in Istanbul Stock Exchange. İstanbul Üniversitesi İşletme Fakültesi İşletme İktisadı Enstitüsü Yönetim Dergisi, 21(65), 11–23.

Lintner, J. (1965). Security prices, risk and maximal gains from diversification. Journal of Finance, 20(4), 587–615.

Mandaci, P. E., Aktan, B., & Cagli, E. C. (2014). Co-movements of REIT indices with structural changes before and during the subprime mortgage crisis: evidence from Euro-Med markets. International Journal of Strategic Property Management, 18(1), 1–10.

Ong, T. S., Teh, B. H., Soh, C. H., & Yan, Y. L. (2012). Malaysian real estate investment trusts: a performance and comparative analysis. International Journal of Economics and Finance, 4(5), 73–84.

Philpot, J., & Peterson, C. A. (2006). Manager characteristics and real estate mutual fund returns, risk and fees. Managerial Finance, 32(12), 988–996.

Preqin. (2020, May 31). Global real estate report.

Public Disclosure Platform. (2020, May 31). Real estate investment funds.

PwC. (2020, May 31). Real estate 2020: building the future.

Sharpe, W. F. (1964). Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425–442.

Sharpe, W. F. (1966). Mutual fund performance. Journal of Business, 39(6), 119–138.

Sumer, L. (2017). Developing a real estate-pension fund investment ecosystem: Turkey real estate fund [Ph.D. thesis]. Bogazici University, Istanbul, Turkey.

Sumer, L., & Ozorhon, B. (2019). The shortcomings of pension system in Turkey: solutions with a new model proposed. International Journal of Islamic Economics and Finance Studies, 5(2), 23–48.

Sumer, L., & Ozorhon, B. (2020). The exchange rate effect on housing price index and REIT index return rates. Finansal Araştırmalar ve Çalışmalar Dergisi, 12(22), 249–266.

Treynor, J. L. (1965). How to rate management investment funds. Harvard Business Review, 44(1), 63–75.

World Health Organization. (2020). WHO announces COVID-19 outbreak a pandemic.

Yildirim, H. H. (2012). Calculation of risk-return on real estate investments [Master thesis]. Marmara University, Istanbul, Turkey.