This paper analyses the performance of five real estate sub-sectors (ofice, retail, industrial, apartment and hotel) over a ten-year (historical) period, 1992 to 2001, in order to assess the impact the hotel sub-sector would have when constructing a multi-property investment portfolio. The research was built on the foundation of modem portfolio theory and data were analyzed using correlation analysis, Sharpe Ratio and a portfolio simulation model. Research results suggest that, at least during the period 1992 to 2001, the hotel sub-sector outperformed all other sub sectors in terms of total returns and also produced the second best riskadjusted returns. The results also suggest that the inclusion of hotels in the real estate investment portfolio had a significant impact on the efficient frontier offering several 'higher riskr- 'higher return' target options for an investor. As such the significance of the hotel subsector within a multi-property real estate investment portfolio is better understood.