Stocks are more volatile which can be good or bad.  

Many private REITs are less volatile due to the fact that they are valued quarterly by private institutions rather than in real-time (with forward projections and assumptions priced in) by the capitalistic marketplace.

I plan to use RE just as supplemental to my income, so I am trying to get my W-2 job settled and a little less volatile. 

The cap rate tends to change slowly and is not as volatile as SFR appraisals can be.  

Make sure there is more than one established industry that is creating jobs and be wary of areas that rely heavily on industries that are volatile by nature and cycle through booms and busts regularly.

Denver would be great for flips because of all of the volatility.

It is said that real estate is the least volatile investment and it's proven true in my experience.

Being in sales my income is volatile but I typically have an extra $50k-$150k/year left over to invest each year. 

Stocks offer the benefit of extreme liquidity, and your analog is a decent one, but 1) stocks are more volatile, 2) stocks can not be leverage like real estate, and 3) stocks are more difficult to scale as an investment.If I were a guru that could out perform the index I could start a hedge fund, out perform the index by a few percent and scale by having investors in the fund and getting a cut, but I'm just not that smart.

Meanwhile that capital is not put to work, unless they park it in stocks, bonds, mutual funds, etc which are subject to market volatilities and shouldn't be used for shorter term investment horizons.