This study examines REITs' risk-adjusted performance and diversification benefits in an emerging African property market (Nigeria). The data on the quarterly returns of N-REIT, the Nigerian Federal Government Bonds (FGB), and the stock market's All-Share Index (ASI) were obtained and analysed to reveal their risk-adjusted performance and diversification benefit. Two mean-variance portfolios were developed to assess N-REITs' effect in the mixed asset portfolio. While the first portfolio was unconstrained, the second was constrained to a maximum of 5%. According to the study findings, N-REIT demonstrated superior performance to the other assets. The examination of the unconstrained portfolio showed that increasing the allocation of N-REITs up to 28% had both return and risk reduction effects. An examination of the constrained portfolio showed that with an increased allocation to N-REITs from 0.00% to 0.05%, portfolio risk and return reduced from 2.78% to 2.59% and 12.49% to 10.93%, respectively. Comparing the two portfolios based on the return risk ratios, showed that including N-REIT beyond the 5% threshold might not yield optimal portfolio performance. This study can be a valuable resource for investors seeking to make well-informed investment decisions, particularly in emerging markets such as Africa.