The S&P 500’s newest sector is also its worst-performing.

Real estate has lagged behind the broader market since splitting off from financials and becoming its own stock grouping in September. The sector—which includes shares of real-estate investment trusts and real-estate management companies—fell 7.9% from the close of its first day of trading on Sept. 19 through Friday, making it the worst-performing sector out of 11 over that period.

The...