The paper critically examines the nature of Real Estate Investment Trust (REIT) as a new investment vehicle in the context of the Nigerian Capital Market. While REITs have often been regarded as useful tools for optimising portfolio performance, current findings on their actual investment characteristics in terms of returns competitiveness, volatility, sensitivity to underlying fundamentals and correlation with returns from other asset classes over time, especially in periods of high volatility such as many stock markets experienced since the 2008 global financial crisis, remain largely inconclusive. Based on published data over the first four trading years (2008 – 2011) of publicly traded REITs in Nigeria, the paper uses the statistical measures specified by Modern Portfolio Theory to address this issue and draws from its findings two conclusions which are described in the paper as the two irrefutable “laws” of REITs. First, by outperforming the general market while showing weak correlation with the same market, portfolio managers can be assured that real estate retains its diversification values and therefore, they should incline their asset allocation more towards real estate, especially when they anticipate the continuity of the uncertain economic environment under which the world is operating. Secondly, given REIT’s strong positive relationship with underlying business fundamentals, it is imperative for REITs managers to ensure the existence of a robust valuation system and a business strategy that maintains strong balance sheet with steady dividends to investors. The paper thus adds to the growing literature on real estate finance and corporate strategy management, particularly in Nigeria.