IIJournals JPM-Special Real Estate Article Collection | Página 28

mandates, and the annual net performance difference is
153 basis points. On average, external managers underperform their benchmarks by 98 basis points, but due
to the large variation in that performance, this is not
statistically significant.
For fund-of-funds, the picture is even worse.
Average annual costs equal 177 basis points, and average
gross returns are lower than that of external managers.
So, even before costs, their selection efforts do not
seem to add value, on average. The net result is that the
average fund-of-funds manager annually underperforms
the benchmark by 5.38%, although the variance in performance is so large that this underperformance is not
statistically significant. This evidence strongly suggests
that pension funds should be careful when allocating
assets to real estate fund-of-funds.
The previous section showed sub