Gestão ativa VS passiva de fundos de investimento imobiliário: maiores custos de administração estão associados a retornos superiores?

Abstract

This paper aims at analyzing if the higher administration and maintenance costs from Brazilian Real Estate Investment Funds (FII) are associated with superior yields given to their shareholders. The sample was composed of 78 FIIs listed on the Brazilian stock exchange from 2017 to 2019. It was decided to use the CAPM model to analyze the funds’ risk-return relation and calculate their alfas, in addition to the mean and coefficient correlation tests to verify if there were significant differences between the returns and the effective costs between active and passive management of FIIs. The results pointed out that, in the analyzed period, a significant difference only occurred in the costs variable, having the others behaving similarly, thus demonstrating that although they have higher costs and for not delivering superior alfas, the active management FIIs, under the risk-return perspective, have performed similarly to the passive management FIIs.