According to a study on asset allocation diversification by MFS Investment Management, REITs saw an average annualized return of 8.90% from 2003 to 2022. This number puts them ahead of bonds and international stocks, and just behind small/mid-cap stocks. Despite experiencing a few significant dips over the past 20 years, like in 2008 and 2020, REITs have proven to be relatively consistent and have shown they can compete with other top asset classes.