While investors in mortgage real estate investment trusts remain concerned the Fed will slow purchases of mortgage-backed securities, the sector's stock market performance is painting a different picture.

Mortgage REITs have regularly outperformed the market. Returns for mREITs are beating the market in 10 out of 14 periods with a median 840 basis point annual best, analysts at Keefe, Bruyette & Woods explained.

"The answer is no better illustrated than by looking at 1Q13 quarter-over-quarter mREIT book value changes," the analysts explained.

"For mREITs, that 'play it safe' with shorter duration assets book values were pretty stable. For those employing higher leverage on higher-yielding paper we had several 8%+ quarter-over-quarter book value declines, showing about how it goes when bond investors just get a little spooked."