The latest edition of Ibbotson's yearbook, Stocks, Bonds, Bills and Inflation has arrived. For the first time it includes data on the long term performance of real estate investment trusts. Information about construction of the REIT index and historical data on total returns covering 1972 to2005 are presented in Chapter 2 (pages 54-59).
The Ibbotson data points out the benefits of REITS as an asset class. Although REITs have characteristics similar to both stocks (captial appreciation) and bonds (dividend payments), they show a low correlation with these asset classes and so can add diversification to an investor's portfolio.
The 2006 edition of the Yearbook is located at REF 4501 .S7949.