Abstract: Real Estate Investment Trusts is an important investment and financing tool, which plays an active role for the sustainable development of the real estate market and the stability of financial market. China's real estate investment trusts market has not yet formed. In order to study the operating profits of different types of real estate investment trusts, and provide a reference for the selection of the appropriate business model, the paper did a comparative profit analysis of Equity-type, Mortgage-type, and Hybrid-type Real Estate Investment Trusts, based on the affecting factors of operating profits of the real estate investment trusts. In view of the non-stability of return rate which manifests in the time, it applies the co-integration theory and error correction model to analyze the relationship between the types of Real Estate Investment Trusts and its return rate. It concludes that there exists a co-integration relationship between equity real estate investment trusts and stock market returns.