The paper examines the inter-relationship between REIT sub-sectors based on property type. The data used in this paper consists of daily returns for the period January 1 1990 through December 30 2005 totalling 4175 observations. During this time the popularity of REITS has expanded dramatically with massive growth in investor awareness and interest focusing in on the return and volatility characteristics of the sector. Bivariate conditional correlations are estimated between sub-sectors. The results reveal a growing homogeneity in the REIT sector, with substantially higher correlations observed in recent years.