|A couple of charts to ponder...|
The REIT index vs DOW and S&P for one year. The bubble in March is clearly visible.
(PS I think you need to add dividends to the returns. 6% or 7% for the REIT line and 0.4% for S&P 500.)
It is REIT index vs. 10 year interest rates. Normally the REIT index moves opposite to the 10 year yield (click on the 6 month chart to see it):
I normally see the same relationship with the 5 day chart.
But look at the one year chart. I don't see as much correlation as with the 6 month. In fact, you can see the interest rate jump up from July 03 - Sept 03 with no hit to the REIT index. Then when interest rates make the same move this year, REITS get slammed. ???