This study examines the investment performance of conventional and Islamic Real Estate Investment Trusts (REITs) listed in Malaysia over the 2005–10 time period. Analysis reveals that both conventional and Islamic REITs experienced negative monthly return during 2008 global financial crisis (GFC) period, and positive monthly return post GFC period. Compared to market indices, most REITs are under-performed before GFC. Divergent findings were reported during the GFC and post-GFC, depending on the measurement tools used. Based on Treynor and Sharpe measurements, most REITs under-performed the market portfolio in during and post GFC period. However, according to Jensen measurement, the REITs out-performed market indices during and post GFC period. Despite these seemingly divergent findings, this study can assist investors, regulatory body, fund managers and academics to make a better informed investment decision on Malaysia REITs. This study has provided interesting and important information and insights into the performance of Malaysia REITs.