A First Look at the Historical Performance of the New NAV REITs

Abstract Private Commercial Real Estate (CRE) funds offer institutional investors access to CRE markets, but most remain inaccessible to retail investors. This paper examines the early performance (2016–2024) of a growing class of non-listed CRE funds available to retail investors, such as Blackstone REIT (BREIT). Known as Net Asset Value (NAV) REITs, these funds have become a major alternative to publicly traded REITs, offering indirect CRE exposure. We find that NAV REIT returns exhibit smoothness due to lagged pricing updates, making unsmoothing essential for risk-adjusted performance analysis. While NAV REITs delivered positive alphas relative to public indices historically, we cannot reject the hypothesis that these alphas stemmed from unexpected positive returns to NAV REITs over our sample. Lastly, we highlight limitations in traditional alpha analysis for short samples and propose an alternative approach, suggesting that NAV REITs’ alphas were economically meaningful but substantially lower than traditional alpha estimates.