Desempenho durante a pandemia: uma análise dos fundos de investimento imobiliário que compõem o IFIX – B3

Abstract

The Brazilian real estate investment fund industry (REITs) has experienced significant growth in recent years, characterized by an expanding number of funds, increased trading volume, and a broader investor base. This popularity has sparked academic and practitioner interest in understanding REIT behavior and performance. However, existing research predominantly focuses on developed markets, especially the US. This gap in knowledge is particularly pronounced regarding the recent years marked by the COVID-19 pandemic's uncertainty. This research aimed to identify the key determinants of REIT performance from January 2019 to December 2022. Performance was evaluated using a comprehensive set of metrics, including the Sharpe ratio, Jensen's alpha, Carhart's four-factor model alpha, Sortino and Price indices, and the Omega index. Additionally, Data Envelopment Analysis (DEA), a non-parametric technique, was employed to assess the technical efficiency of the funds. Multiple regression analysis was used to explore the relationship between performance and various REIT characteristics, including trading volume, investor base size (number of shareholders), management fees, fund age, net asset value, and the presence/absence of performance fees. Furthermore, the analysis incorporated external factors such as Brazil's economic uncertainty index (IIEbr), the national civil construction index (INCC), and a dummy variable to isolate the pandemic's impact. The TOBIT regression analysis was used to analyze the relationship between DEA efficiency and the same REIT characteristics/economic variables. The results revealed statistically significant relationships between REIT performance and variables such as trading volume, investor base size, net asset value, economic uncertainty, and the civil construction sector. We found superior performance in the pre-pandemic period. Interestingly, the determinants identified through performance metrics and DEA efficiency scores resulted in differences in significance and direction, as observed in prior studies. This highlights the need for further research to refine variables and performance metrics that accurately capture REIT behavior, especially during periods of economic instability and market volatility.