Real Estate Investment Trusts is suggested as an attractive addition to mixed-asset portfolio. This study develops several hypothesized portfolio and tests whether REITs can actually increase diversification benefits of investors. We use mean-variance spanning test by Kan and Zhou (2008) to examine whether adding a REITs into portfolio can significantly expand efficient frontier in either global minimum variance portfolio or tangency portfolio. We assume our investors hold portfolio in the four markets, namely Japan, Singapore, Taiwan and US markets for period from March 2005 to February 2008. Three hypotheses are tested under various assumed conditions. The first hypothesis, which is REITs can provide diversification benefit, is confirmed in all these four markets. In addition, we find, for Taiwan domestic investors, holding international REITs in their portfolio rather than only Taiwan¡¦s REITs will provide more diversification benefit. The second hypothesis, which is holding period will affect diversification benefit, is not supported. However, this could be resulted from a test of short period in this study. The final hypothesis, which is different investment portfolio will affect the diversification benefit of RETIs for Taiwan domestic investors, is confirmed. Our results also suggest that expanding of efficient frontier are mainly from global minimum variance portfolio rather than tangency portfolio.