Real Estate Risk and Hedge Fund Returns
BrentW. Ambrose1 & Charles Cao2 & Walter D’Lima3

Abstract

We explore a new investment dimension relating hedge fund exposure to the
real estate market. Using fund level data from 1994 to 2012 from a major hedge fund
data vendor, we identify 1,321 hedge funds as having significant exposure to direct or
securitized real estate. We test for the economic impact of real estate exposure. Our
analysis shows that real estate exposure does not increase fund performance.