The problem with that table of returns during different macro regimes is that, even assuming it's both correct and predictive (I have concerns), we don't know what regime is coming next. After all, if you know the future, there are LOTS of ways to invest profitably.

When you invest in a certain type of security, you should expect no more than the average return from that class of security, the "base rate". If you think the specific investment you're considering will have a return different from the norm achieved by that class, the evidence you have for its exceptionality has to be bulletproof in proportion to the degree of divergence you're expecting.

So how do REITs do compared to high ROE stocks as a general rule?

These figures are for stocks listed in the US, but the general conclusion isn't likely to be wildly different elsewhere.

Using the Value Line database of 1700 stocks, years 2005-2025 inclusive, which I have handy:
Equal weight portfolio of all REITS, CAGR 7.17%. Average about 34 stocks.
Equal weight portfolio of top 10% of stocks by ROE, CAGR 12.81%. Average about 155 stocks. No other checks or filters.
The baseline advantage for high ROE stocks is therefore a rather remarkable 5.64%/year. Both figures assume reinvested dividends.
Over 20 years, if you weren't withdrawing, that's the difference between having 4.0 times your money versus 11.1 times your money.

Hence my comment that you'll usually do better in total return with a slate of high ROE stocks than you will with a slate or REITs. Emphasis on "usually". To overcome that baseline level of 5.6%/year drag, you have to have extraordinary evidence that your specific REIT picks, or anticipated future economic circumstances, are exceptional.

This is not all that surprising. To overgeneralize just a bit, the annual value generation of a typical REIT share doesn't grow faster than inflation over the long haul. Without the ability to reinvest much of their earnings, they're mostly forced dead enders.

Again, that isn't to say that there isn't a time and a place for REIT investing. If the portfolio is to generate income, if nothing else high coupons mean you get less variation in current income even if the total income is ultimately lower. Just to remember to be realistic about overall return assumptions. Expect the base rate, not the case rate. I don't recommend betting your rent money on a macro forecast being right.

Jim