Domestic REIT investors have four ETFs to choose among. Though there are more exchange-traded funds available, the big four offer diversification, liquidity and low fees. They are:

iShares Dow Jones U.S. Real Estate

(IYR) - Get iShares U.S. Real Estate ETF Report

,

iShares Cohen & Steers Realty Majors

(ICF) - Get iShares Cohen & Steers REIT ETF Report

,

Vanguard REIT

(VNQ) - Get Vanguard Real Estate ETF Report

and

SPDR Dow Jones REIT

(RWR) - Get SPDR Dow Jones REIT ETF Report

.

All four of the big real estate investment trust ETFs have a share price around $40 to $50, which makes a comparison of their volume straightforward. Over the past three months, IYR is by far the most popular ETF, with volume of 24 million shares a day. VNQ follows with 3 million, ICF trades 1 million, and RWR sees 0.8 million shares change hands each day.

RWR costs 0.25% in fees; VNQ costs 0.15%; IYR costs 0.48% and ICF costs 0.35%.

RWR has $1.3 billion in assets; VNQ had $3.4 billion at the end of August; IYR has $2.9 billion in assets; and ICF has $1.7 billion.

VNQ tracks the MSCI US REIT Index. VNQ is actually a slice of the Vanguard REIT fund, which can be purchased via mutual fund shares as well. It has total assets of around $9 billion. Information on VNQ's holdings is delivered quarterly, the same as the mutual fund.

Since many funds rebalance quarterly, this isn't as big of a strike against Vanguard ETFs, but for investors looking for up-to-date information on the asset allocation among the fund's holdings, this one will not deliver. For buy-and-hold, however, it will be near impossible for any competitor to match Vanguard's low fees given its economy of scale.

RWR tracks the Dow Jones U.S. Select REIT Index, a float-adjusted, market cap-weighted index that rebalances quarterly.

ICF follows the Cohen & Steers Realty Majors Index, takes into account management, portfolio quality and sector and geographic diversification. It rebalances quarterly such that no fund exceeds 8% of assets.

IYR tracks the Dow Jones U.S. Real Estate Index, a float-adjusted, market-cap weighted index.

Below I have a comparison of the top 20 holdings of RWR, vs. where these holdings rank among the other funds. Except for a few exceptions, they mostly line up. If a fund was not in the top 20, it was often in the fund and the difference in weighting was typically small.

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IYR had the most distinct outliers because two of its top 20 holdings are timber REITs (

Rayonier

(RYN) - Get Rayonier Inc. Report

and

Plum Creek Timber

(PCL)

, which do not appear in other ETFs. Along with

Potlatch

(PCH) - Get PotlatchDeltic Corporation Report

, these three accounted for 4% of assets.

Clearly, ICF makes the heaviest bets on individual REITs, but with only 32 holdings, it is guaranteed to have more concentrated positions.

RWR and IYR have almost the same number of holdings. The heavier bets in the top holdings for RWR come at the expense of slightly lighter holdings among the sub-1% stocks. VNQ has about 20 more holdings than these two, and the sum of their allocations only came to 2.4% as of June 30.

In terms of returns, IYR and VNQ are up 21.7% and 21.6% year to date, respectively. RWR and ICF are up 18.8% and 16.4%.

Over the past five years, VNQ leads with an annualized return of -3.5%, followed by RWR, also -3.5%; ICF -3.6%; and IYR -4.4%.

Since the funds tend to have similar allocations, fund flows into one or the other won't have a disproportionate affect on the REIT market, though if ICF were more popular, it would favor the large companies over the smaller ones.

For a buy-and-hold, long-term position, the Vanguard fund is the best bet. You won't have up-to-the-day portfolio updates, but if you're buying and holding, it's not critical, and the savings from low fees will add up over time.

Investors who used a hedge strategy may prefer to short IYR, because it has higher fees, although different strategies may make better use of another ETF.

At the time of publication, Dion was logn IYR.

Don Dion is president and founder of

Dion Money Management

, a fee-based investment advisory firm to affluent individuals, families and nonprofit organizations, where he is responsible for setting investment policy, creating custom portfolios and overseeing the performance of client accounts. Founded in 1996 and based in Williamstown, Mass., Dion Money Management manages assets for clients in 49 states and 11 countries. Dion is a licensed attorney in Massachusetts and Maine and has more than 25 years' experience working in the financial markets, having founded and run two publicly traded companies before establishing Dion Money Management.

Dion also is publisher of the Fidelity Independent Adviser family of newsletters, which provides to a broad range of investors his commentary on the financial markets, with a specific emphasis on mutual funds and exchange-traded funds. With more than 100,000 subscribers in the U.S. and 29 other countries, Fidelity Independent Adviser publishes six monthly newsletters and three weekly newsletters. Its flagship publication, Fidelity Independent Adviser, has been published monthly for 11 years and reaches 40,000 subscribers.