The paper develops a Bayesian skew factor model to measure the return-risk performance of publicly traded equity real estate investment trusts (REITs). We show that the skew factor contributes in all REITs' returns. The skew factor significantly impacts the performance measurement of REITs portfolio and this factor is different from the market return factors (REITs index and stock market index) and Fama-French three factors. We compare the skewness-aware asset allocations (Low, Pachamanova and Sim 2012) using typical non-parametric method and our skew factor model. We find that the skew factor model provides better out-of-sample performance comparing to its non-parametric counterpart.