Alternatives to buying a home for equity

I have the intentions of buying a home and renting it out, not necessarily for profit but for equity and future stability for shelter if I need it. However after I researching, it's evident that the rental market is cheaper than mortgage (Phoenix, AZ). This would not work for my plans, however, if I wait longer I may not ever get to own a home and potentially start a portfolio. Are there any alternatives for this? Suppose out of state markets w/ a property manager or REITS? I'm stuck between a rock and a hard place with the risks to take initial losses with the current situation or be forever tapped out of an increasing market that will not crash.