Purpose: This study examined the investment performance and level of integration between indirect real estate and other listed investment assets in the Nigerian property market. This is to determine the assets' performance and the long-run relationship between the assets thereby establishing the diversification benefits of combining these assets in a mixed-asset portfolio in an emerging African market.

Design/Methodology/Approach: The data collected comprised quarterly returns on the indirect real estate asset and the other listed investments for the period of January 2009 to December 2020. The other listed investment assets were the five major sectorial indexes in the Nigerian Stock Exchange (NSE) market which are NSE Banking, NSE Oil and Gas, NSE Industrial, NSE Insurance and NSE Consumer. The indices of these sectors were obtained from the daily list of the NSE. While the investment performance of the assets was analysed using holding period return, standard deviation, return-risk ratio and correlation analysis, the Augmented Dickey-Fuller (ADF) and Johansson integration tests were employed in analyzing the level of integration between the assets.

Findings: The results revealed that while indirect real estate outperformed other listed assets in terms of returns, it only outperformed three of the listed assets in terms of risk. The return- risk ratio showed that indirect real estate outperformed other listed assets. The study established a high level of integration between indirect real estate assets and other listed investment assets. This indicates that the assets have long-run convergence and have similar reactions to market fundamentals. This study concluded that given the high level of integration of indirect real estate assets and other listed investment assets, investors should not consider the combination of these assets in an investment portfolio as they will bring little or no diversification benefit in the long run.

Practical Implications: The paper implied that the inclusion of indirect real estate assets and other listed investment assets in a domestic portfolio could be expected to yield little or no diversification benefit.

Originality/value: The paper represents one of the few attempts to determine the long-run relationship between indirect real estate assets and other listed assets from an emerging market perspective.