August was another hot month for REITs. It wasn't even a contest relative to the other major asset classes.

The Wilshire REIT index soared in August with a 14.6% total return, building on a 10%-plus gain in July. For the year through the end of last month, REIT performance isn't quite so spectacular, advancing a handsome but far-from-first-place 10%.

Of course, it wasn't that long ago that some were saying that REITs were headed for the trash bin of asset class returns. So it goes in predicting: in the grand scheme of the universe, it's right just as often as it's wrong. No wonder, then, that in the long run it's difficult to beat something approximating a true market portfolio, such as our Global Market Portfolio Index. Yes, some manage to win, but many fall behind relative to what finance theory tells is the optimal portfolio for the average investor with an infinite time horizon.

Meanwhile, back to the horse race. At the bottom of last month's tally of the major asset classes are emerging market stocks and commodities, both of which posted fractional losses in August. For the year so far, however, no one will confuse the returns of emerging market stocks with commodities. Developing market equities surged more than 48% so far in 2009 vs. a far more modest gain of 7.4% for commodities this year through the end of last month.

In fact, a relatively wide range of returns among the major asset classes looks set to be a trend with legs. That will represent a step closer to the historical norm, as we discuss in some detail in the soon-to-be-published September issue of The Beta Investment Report. In other words, the high correlations of the recent past among the world's capital and commodity markets are giving way once more to a broader range of return independence.

That's good news, since it suggests that there's more opportunity in holding and managing a multi-asset class portfolio. It also means more risk, including the risk that portfolio returns will vary by quite a bit more, for good or ill, in the months and years to come.

The money game is changing, as it always does. A different set of opportunity and risk awaits. The days of everything running higher are probably history. Whether the crowd's ready or not is debatable.

In any case, Vive la différence!