The massive real estate correction that began in 2008 is causing investors to rethink how they design, implement and monitor their investment programs. In the new investment climate, new questions have risen: Did the use of leverage improve risk-adjusted performance or was it simply a tool to amplify returns? Did the early success of some funds breed ever-larger funds that were doomed to fail? What is the relationship between investment vintage period and the economic cycle?

In order to answer these questions with empirical results, this analysis draws from a performance database that spans more than three decades and includes information for investment vehicles totaling approximately $400 billion currently and nearly $1 trillion throughout its history. The findings provide evidence that: (i) allocating to opportunistic funds without an ability to select better performing funds does not appear to improve risk-adjusted returns, (ii) large funds have not demonstrated an ability