This paper empirically analyzes REIT mutual funds. We
show that, contrary to mostmutual fund studies, the
average and median alphas (net of expenses) are
positive. We also findthat time-varying positive
alphas are much more likely to occur when the real
asset market is performing poorly, suggesting that
managers add more value in down markets than in up
markets. We examine the cross-sectional determinants
of both standard alphas and the average of
time-varing alphas and find that both increase with
assets and turnover. Cross-sectinally, we find that
actively managed funds have higher alphas than
passively managed funds.