A study sponsored by NAREIT found REITs to be the best investment! As a Phd, CFA, CAIA I'm sure you recognize what Sharpe Ratio is. Also, I like how data ended in 2011. FTSE/NAREIT All REITs index had an astounding 23.3 standard deviation from 1998 - 2011. HFRI Comp had 7.6 standard deviation. From Jan 1998 through Dec 2011, HFRI had a Sharpe of 0.6 which was higher than all but bonds. REITs had a 0.2 Sharpe while equities clocked in lower than 0.1. HFRI returned 7.1 with 7.6 stdev while REITS were 7.5 and 23.3.

If you go through 2015, HFRI returned 6.5 with 7 stdev and Sharpe of 0.6. REITs improved to 8.6, 21.4 and 0.3. Equity indices Russell 1000, 2000 and MSCI World ex US returned 6.4, 6.8 and 4.6 with Sharpes of 0.3, 0.2 and 0.1.