Real estate investment trusts (REITs) have done an excellent job creating outsized wealth for their investors over the years. From 1972 through the end of last year, REITs generated an average annual total return of 13.3%, which outperformed the S&P 500's 12.1% total return. Those higher long-term returns mean REITs have turned small initial investments into big-time paydays at a faster pace than the S&P 500.