International investment can be a very effective way to spread the risk of a property portfolio. Property markets are inherently locally driven, which would suggest that the diversification benefits to be reaped from foreign property holdings can be substantial (Eichholtz, Koedijk, & Schweitzer, 2001). From a South African perspective, this has driven a local listed property sector with limited foreign exposure as recently as 2009, to today deriving 37% of earnings from markets including Australia, United States of America, United Kingdom, Central and Eastern Europe and parts of Africa (Deutsche Bank, 2016).

This paper investigates how foreign biased REITs in South-Africa performs in relation to domestic-biased REITs. The results in our findings our particularly significant for investors, analysts in making informed decisions specifically when diversifying their portfolios.