Mortgage real estate investment trusts are a polarizing asset — either loved for their yield or despised for their risk by investors, Morningstar writes.

To add further worry, the Federal Reserve's recent announcement to begin tapering its bond-buying program sent iShares Mortgage Real Estate Capped into a nosedive since the beginning of April.

REM lost a stomach-churning 19% over the past three months, driven by instability in the yield curve and falling book values. For investors considering an allocation to REM, the sharp decline of mortgage REITs over recent months should serve as a reminder of this asset's high risk profile.