Since the four large-cap REIT ETFs track the same group of companies, Sizemore suggests picking the ETF with the highest yield and lowest management fees. The yields on VNQ and IYR standout from the bunch, but VNQ is the cheapest. Moreover, Sizemore believes VNQ is a “purer” play on actual property owning equity REITs – IYR has exposure to mortgage REITs, which have exposure to mortgages and mortgage derivatives, and non-REIT development and holding companies. [More Glum Headlines for Mortgage REIT ETFs]

For a more balanced approach to the REITs sector, investors can also include exposure to small- and mid-cap REIT ETFs, such as the PowerShares KBW Premium Yield Equity REIT Portfolio (NYSEARca: KBWY), which has a 4.35% dividend yield and a 0.35% expense ratio, and the IQ U.S. Real Estate Small Cap ETF (NYSEArca: ROOF), which has a 4.48% dividend yield and a 0.69% expense ratio. Potential investors, though, should know that ROOF includes both mortgage REITs and traditional equity REITs.

Investors can also cut and slice the REITs market into various sectors, such as the iShares Industrial/Office Real Estate Capped ETF (NYSEArca: FNIO), which has a 2.72% dividend yield and a 0.48% expense ratio, iShares Retail Real Estate Capped ETF (NYSEArca: RTL), which has a 2.95% dividend yield and a 0.48% expense ratio, and the iShares Residential Real Estate Capped ETF (NYSEArca: REZ), which has a 2.96% dividend yield and a 0.48% expense ratio.

For more information on real estate investment trusts, visit our REITs category.

Max Chen contributed to this article.