This article empirically analyzes whether core and noncore private income producing properties have different investment returns, using a large sample of about 5,000 individual properties during the 1997–2014 period. We use a holding‐period factor model to control for both systematic risk, including loadings of both public equity factors and a real estate factor, and nonsystematic risk. We find that core properties have lower systematic risk but higher returns than noncore properties before and after adjusting for both systematic and nonsystematic risk.