Why Does REPE Underperform?

EDIT: Just read footnote on page you're referencing which basically disclaims that they are comparing apples to oranges.

Haven't dug into data, but a few points that could explain this: (1) REITs don't generally go to zero. (Relatively) conservative leverage profiles and public market liquidity have ensured that few REITs have had their equity go to zero, whereas a number of large real estate funds had their equity wiped during the financial crisis. (2) Kind of related to number 1, but property values have generally risen over the last 25 years. As long as you were conservatively capitalized and didn't get wiped out as some point, you generally made money. (3) Timing. Not sure what 1992 looked like (as I was still eating glue at the time), but 9/30/17 had some very high REIT valuations. Also, not sure what the size of the REIT universe was in 1992 as the industry really came into its own through the 90s. Prior to current cycle, height of REPE fundraising was in lead-up to recession (heavy skew towards low/negative returns).