We assess investment risks for European non-listed real estate funds by considering a set of macroeconomic and fund-specific factors and by taking into account the real estate market phase. Using fund-level data, we apply panel regression techniques with random effects. Our results suggest that no differences exist across sectors. However, we find that there is an optimal fund size, as there is an optimal gearing level. The latter varies with respect to investment style and market phase. Investment style, vehicle structure and vintage also matter. Regarding macroeconomic risk factors, we find significant impacts for real GDP growth, interest rates, inflation components, money supply and stock market returns. For comparison purposes, the same analysis is performed for listed and direct real estate investments. We find that the three kinds of real estate exposure react broadly in the same way to macroeconomic risk factors although coefficients suggest that non-listed funds are more akin to direct real estate than to listed real securities.