Real estate funds are usually classified into three investment types reflecting different target returns and investment strategies, capital structures and consequently different levels of risk: Core, Value-added, and Opportunistic. This paper investigates the relationship between risk classification and the realized return of private Asian real estate funds. Our results show that different risk classes have not performed differently on average and there is no evidence of significant differences in systematic risk across these three types of funds. Riskier class funds hold more idiosyncratic risk and the returns are more volatile. The results are consistent with conventional finance theory, in that idiosyncratic risk is not rewarded with a premium. This paper introduces the concept of expected fund return reflecting capital structure and market exposure but this fails to reliably predict the realized fund return.