Take this example: For 20+ years I've owned the popular Vanguard Intermediate-Term Muni Bond fund. Old matured or sold off bonds are eliminated from the huge portfolio all the time. New, higher yielding bonds are now being added. So yields are starting to creep upward.
But the value of the portfolio is plummeting, Result: I get a bit more yield but not nearly enough to offset the decline in the portfolio.
I realize mREITs borrow short term and there are other differences, but the problem is similar.