Personally, I don't think the returns would necessarily be lower. A fund can be structured to make the returns acceptable. In any case, the returns are very low right now. Tax benefits could certainly promote investment.
However, in my experience, European citizens don't ask for a very high return. They're simply happy to invest in development and to recover their capital, nothing more. The Kiva institution in the United States takes loans from citizens and invests the money in microfinance in developing countries. It doesn't offer any return. However, it's very popular. Each year, it attracts more members, who loan their money and recover it later. Their return is actually a social return. The lenders have access to information and can even choose which institution and client will receive their loan. For example, they can choose that their money be used to help a woman in Ghana launch a business. It's satisfying enough for them to take the risk.