This research contributes to a better assessment of risk factors impacting non-listed real estate fund returns. Both macroeconomic and fund-specific factors are considered, additionally taking into account the phase of the real estate cycle. Using a rich database of fund-level data for Europe, we apply panel regression techniques with random effects. Our results highlight the significant impacts of real GDP growth, interest rates, inflation components, money supply and stock market returns in explaining non-listed fund returns. Size, gearing, investment style, vehicle structure and vintage also affect returns, whereas property type does not appear to matter. For comparison purposes, the same analysis is performed for listed and direct real estate. The three kinds of real estate exposure are found to react broadly in the same way to macroeconomic risk factors although our analyses suggest that non-listed real estate is more akin to direct real estate than it is to securitized real estate.