AbstractThe market value of U.S. single‐family rental assets totals more than $2.3 trillion. We provide the first systematic analysis of total returns to single‐family rentals in a long, broad, and granular panel. Total returns are approximately equalized across U.S. cities at 8.5%, similar to average equity returns. On average, net rental yields and house price appreciation each contribute half total returns. However, they are negatively correlated in the cross section of cities. High‐price‐tier cities accrued more capital gains, whereas low‐price‐tier cities had higher net rental yields. Within cities, lower‐price‐tier ZIP codes have higher total returns.