I can tell you from personal experience that I have invested both out of state and also in our backyard and I prefer our back yard for a-lot of reasons.   

I prefer not to wait two years to provide tax returns.

Lastly there just is not enough of those type of deals to take on extra work and risk .. its too narrow of a niche.. and keep in mind my fee's FAR exceed normal HML fees they make it worth my while.

I prefer notes securing property in New Jersey.

@Chuk ObiaziI would say it's the lowest barrier of entry niche to get into.

Most folks, myself included had to figure out which niche we wanted to start in, and that sometimes can lead to analysis paralysis. 

Whatever niche you plan to go into, there is work to do, money to be spent, money to be made, heartaches, headaches, heartbreaks.

Narrow it down to one niche and become subject matter expert in that field.

I'm licensed in FL and offer DSCR loans and this is one of our niche products. 

Which is why you should work with a realtor, and preferably, a fellow investor to help you find rentals in areas that have decent rental returns, etc.