One of the first large investors to jump into the REO rental craze now wants out, after just one year of investing in foreclosed homes. $31 billion dollar hedge fund Och-Ziff Capital Management Group LLC recently informed its investment partner, 643 Capital Management, that it intends to exit the foreclosed homes business. The story was first reported Wedensday night by Reuters.

643 Capital Management has acquired about 300 homes for an REO-to-rental strategy, the report says.

Och-Ziff was among the first institutional investors to see a backlog of foreclosed homes as a possible asset class if rented out. But the fund's experience with the first homes it purchased -- Reuters, citing sources familiar with the matter, said "the returns it is generating from rental income are less than expected" -- have led it to exit the space after just over one year.

"If you are an investor getting into this cold you were probably making assumptions based on models rather than experience," Rick Sharga, executive vice president with Carrington Mortgage Holdings, told Reuters. Carrington Capital, parent to Carrington Mortgage Holdings, has been an active investor in REO-to-rentals since 2007.

 Full story over at Reuters.