Pension fund questions diversification and risk-return benefits of listed property. : Massachusetts Pension Reserves Investment Management Board (Mass PRIM) has concluded that it can improve the risk-return profile of its real estate portfolio by cutting its exposure to real estate investment trusts (REITs). A review by the $71.7bn (€63.2bn) pension fund found that REITs offer fewer diversification benefits relative to private real estate, are highly correlated to public equity markets and have higher volatility than private real estate.