This paper empirically analyzes REIT mutual funds. We show that, contrary to most mutual fund studies, the average and median alphas (net of expenses) are positive. We also find that 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-varying alphas and find that both increase with assets and turnover. Cross-sectionally, we find that actively managed funds have higher alphas than passively managed funds.