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Abstract
This study investigates performance persistence across real estate private equity funds. We apply a combination of non-parametric and parametric tests to assess the relationship between past fund performance and subsequent fund performance of non-listed real estate funds. Based on a large global sample of value-added and opportunistic real estate private equity funds raised between 1990 and 2009, we use contingency tables, cross-product ratios, rank correlation statistics and regression analyses to investigate whether there is persistence in the performance across consecutive funds. We find strong evidence for performance persistence across directly consecutive funds. However, we find little support for a relationship between the performance of other prior funds and the focal fund, suggesting that performance persistence is a short-term phenomenon.