This research investigates the key drivers of European non-listed real estate funds performance. In particular, it seeks to understand the extent to which funds’ underlying market and sector exposure, gearing, and fund size, contribute to a fund’s total return. Using a proprietary database covering the period 2001-2012, we construct a unique fund-specific performance benchmark based on average weighted return data in the markets and property types to which each fund is exposed. We track fund performance and its drivers through the years of rapid expansion of the non-listed real estate sector that was followed by the sharp contraction during the global financial crisis and establish whether performance drivers have a differential impact during market upturns and downturns. We find that fund performance during the study period was predominantly driven by the underlying direct real estate market and sector exposure of a fund along with the level of gearing and the size of a fund. The effect of gearing on returns is asymmetric, i.e. the negative effect of gearing is larger in a downturn than the positive effect during an upturn at each level of gearing, particularly for highly geared funds. Our empirical analysis also suggests that larger funds exhibit higher total returns while controlling for other factors and find a J-curve effect where funds in the first two years of their existence are marked by lower performance than fully operational or more mature funds.