My REIT position basically sat there while the gap deal I needed it for closed two weeks early

The assumption doing the most work here is that a nine-day liquidation window is the risk, when the actual exposure was position-level volatility inside that window. NNN and MPW behave very differently under rate pressure, and holding both as undifferentiated "gap capital" meant the exit cost depended almost entirely on which one the market happened to be punishing that week.

The rotation you are describing now, treating REIT positions as deployable rather than casually liquid, only works consistently if the underlying holdings are ones you would sell on any given Tuesday without caring much about the timing. Sector-specific REITs like MPW carry event risk that broad or NNN-style holdings dampen considerably, so the mix matters as much as the deployment plan.

What is your typical gap window, and does it vary enough that you have thought about tiering the holdings by how rate-sensitive they are?

The MPW timing is the part worth pulling apart, because it describes a real category of friction that tends not to show up in return calculations until it already cost something.

What you ran into is sequence risk inside a rotation. You were not wrong that MPW was liquid. It was. The problem was that involuntary liquidation and voluntary liquidation produce different outcomes when a position is mid-move. You sold into weakness, were out during continued weakness, and bought back lower. The round-trip gain on the re-entry partially offset the loss, but the nine-day forced window meant you absorbed the downside without controlling the timing of either leg.

The thing that follows from your story is worth naming: "liquid" and "available without friction" are different. Public REITs clear in T+1 or T+2 depending on the account, so the cash is technically fast. The friction is price-path risk during a forced sale, which you cannot hedge without either options exposure on the position or a cash buffer sitting separate from the REIT allocation.

The practical adjustment most allocators in this situation make is a sleeve structure. Gap capital earmarked for a specific deal stays in something with near-zero price-path variance, usually a money market or a short-duration instrument, and the REIT allocation runs on a separate timeline with its own exit thesis. That way the deal does not choose when the REIT sells.

Your 14 percent annualized on the bridge return is solid, and buying MPW back lower than you sold is a reasonable outcome from an ugly situation. The model just needed a liquidity buffer between the two pools.

What does your typical gap-capital window look like in weeks, and do you usually have a rough close date from the title company before you deploy into the REIT position?