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<p>We examine how retail and institutional real estate investors benchmark fund performance across a comprehensive set of performance metrics. Our analysis focuses on a subset of real estate funds for which fund flows, investor type (retail vs. institutional), and risk-adjusted performance are observable. We find that benchmarking practices differ systematically by investor type. Retail investors respond primarily to raw, unadjusted returns, whereas institutional investors are most sensitive to risk-adjusted performance, particularly CAPM alphas estimated using a real estate index as the market benchmark. Although multifactor models most accurately explain historical fund performance, they exert limited influence on the investment decisions or benchmarking practices of either investor group. Ultimately, what drives performance may not be what drives capital.</p>

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What Performance Measures Do Real Estate Mutual Fund Investors Chase?

  • 期刊论文

  • 发表日期：

    2026年4月28日

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  • Ryan G. Chacon,
  • William G. Hardin III,
  • Pratik Kothari,
  • Thibaut G. Morillon

摘要

We examine how retail and institutional real estate investors benchmark fund performance across a comprehensive set of performance metrics. Our analysis focuses on a subset of real estate funds for which fund flows, investor type (retail vs. institutional), and risk-adjusted performance are observable. We find that benchmarking practices differ systematically by investor type. Retail investors respond primarily to raw, unadjusted returns, whereas institutional investors are most sensitive to risk-adjusted performance, particularly CAPM alphas estimated using a real estate index as the market benchmark. Although multifactor models most accurately explain historical fund performance, they exert limited influence on the investment decisions or benchmarking practices of either investor group. Ultimately, what drives performance may not be what drives capital.