I have ~14% of Stock in REIT (VNQ). This was originally performance chasing when I started allocating 100% of 401k to it. However, when I accidentally? kept buying (didn't change buy allocations) through 2008/2009 it turned into a pretty good example of asset allocation working with buy low so through no great intent, REIT allocation did exactly what it was supposed to.
Since about 2011, I haven't added to it as I decided to round out my allocations from 100% small cap and REIT (added a touch of VNQI). About May 2013 big interest rate scare made ~10% drop... I wasn't really watching at the time... Later thought about interest rate sensitivity and market timing and mebe shifting to small cap (less interest rate sensitivity). However, remembered I suck at market timing.
This turned out to be another great "do nothing" decision. During recent drop I bought a tad of small cap, considered REIT but YTD VNQ is still performing better than everything else (up 12%) so didn't think this was such a great buy
So all that blah above goes to say IMHO that if you treat REIT allocation, just like you are supposed to... buy low (possibly sell high if rebalancing) it might well do as advertised and sometimes not move with other allocations in your portfolio. However, if you performance chase, yield chase, market time with my sort of skills and then lack the commitment to buy or even hold when low... you may end up buying high, not benefit from its volatility and worser still sell low.
TLDR: Volatility warning