Anecdotal evidence provides overwhelming support to the belief that sophisticated real estate investors profit by timing long-run real estate cycles. This article examines the investment performance benefits that sophisticated investors may derive from short-run cycles in real estate, specifically, through the publicly traded real estate markets. Using a simple strategy that filters out noise in real estate investment trust (REIT) price reversals, this study shows that a contrarian strategy is many times more profitable than the associated execution costs. Furthermore, the study demonstrates that the REIT market has been sufficiently liquid to execute this trading strategy. This last point is directly related to the filter strategy since only REITs with large price movements satisfy the hypothetical investor's selection criteria.