The only comparison is that there is "government backing" somewhere in the bowels of mREITs' portfolios. And then only for Agency mREITs. Is CMO even an Agency mREIT?
mREITs are not as secure as the government. While some of the loans in an mREIT's portfolio may have government insurance on them, some may not. At present, many fear the government is not only not backing mREITs, but is actively investigating whether to slap a leverage limit on them. There's a reason you can get 10-20% return on risk from an mREIT's dividends alone, but 0-2% from treasury paper, and it has to do with how secure buyers think they are. Personally, I think they overestimate the risk in both by a large multiple, but they're getting the relative risk between them about right.
Cmo is def an agency mreit. It esp likes adjustable rate loans, and IMHO would be safer in an interest rising world, if that ever happens. It has not performed as well as agnc in past years of declining interest rates, but that can change, and it was top of the heap for 2011....see previous post of mine for comparison performance.........chico