Historically, looking at the averages, don't property and shares perform at about the same level per year? Not sure exactly what it is but around the 13 odd % (capital growth + income).
Obviously with a bit of skill, some may be able to select individual properties and get higher returns, but on the other hand some may be able to select individual shares with higher returns.
If we assume the averages, they are pretty much the same over the long haul.
So what's the difference?
Leverage.
You can generally leverage to a higher LVR with property than shares. At least for the first few million until you hit the servicability barrier, and then you will need to reduce your LVR to around 50-60% before you can progress with more properties.
You can normally conservatively gear shares with margin loan to 50-60%.
So if you obtain similar leverage, and the returns are similar over the long haul - why would you bother with the maintenance on property, dealing with tenants, etcs.
It is much easier to deal with shares.
I recall Peter saying that by the time his property portfolio was around the $20 mill mark - his lvr was down around the 50-60% mark.
Thus property is good for the first few mill as you can get higher leverage, and more bang for your buck.
That's my take on it anyway