We examine the performance of 162 global private equity real estate investment funds across the core, value-add and opportunistic investment style categories over the most recent property cycle (2001-2011). We employ a multi-factor asset pricing model to measure the impact on the funds’ total excess returns of the underlying real estate market, broad managerial skill captured by Jensen’s alpha, leverage and, for the first time, specific managerial skill as it relates to timing leverage decisions to anticipated future market trends. We find evidence consistent with the hypotheses that i) fund performance is almost directly proportional to the return on the underlying real estate market, ii) managerial skill as measured by Jensen’s alpha can be virtually fully explained by fund style, leverage, sector and geography, iii) leverage cannot be viewed as a long-term strategy to enhance performance, but iv) in the short term, managers do seem to add significantly to fund excess returns by effectively timing leverage choices to the expected future market environment.