LFT vs. TWO

Last updated Jun 3, 2026

LFT (Lument Finance Trust, Inc.) and TWO (Two Harbors Investment Corp.) are both stocks. Both operate in the REIT - Mortgage industry within the Real Estate sector. Over the past 10 years, LFT returned -2.43%/yr vs -2.72%/yr for TWO. At a 0.30 correlation, their price movements are largely independent.

Performance

LFT vs. TWO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Lument Finance Trust, Inc. (LFT) and Two Harbors Investment Corp. (TWO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, LFT achieves a -21.67% return, which is significantly lower than TWO's 25.90% return. Over the past 10 years, LFT has outperformed TWO with an annualized return of -2.43%, while TWO has yielded a comparatively lower -2.72% annualized return.

LFT

• 1D: 1.90%
• 1M: -10.08%
• YTD: -21.67%
• 6M: -23.75%
• 1Y: -52.61%
• 3Y*: -5.44%
• 5Y*: -13.11%
• 10Y*: -2.43%

TWO

• 1D: 0.40%
• 1M: -1.04%
• YTD: 25.90%
• 6M: 31.67%
• 1Y: 38.50%
• 3Y*: 12.28%
• 5Y*: -3.43%
• 10Y*: -2.72%

*Multi-year figures are annualized to reflect compound growth (CAGR)

LFT vs. TWO - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
LFT Lument Finance Trust, Inc.	-21.67%	-39.33%	29.40%	38.64%	-45.07%	28.63%	15.69%	23.31%	-22.06%	-9.69%
TWO Two Harbors Investment Corp.	25.90%	2.52%	-2.73%	2.31%	-23.25%	0.03%	-52.19%	28.73%	-10.33%	26.53%

Correlation

The correlation between LFT and TWO is 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.24
Correlation (3Y) Calculated over the trailing 3-year period	0.27
Correlation (5Y) Calculated over the trailing 5-year period	0.27
Correlation (10Y) Calculated over the trailing 10-year period	0.28
Correlation (All Time) Calculated using the full available price history since Mar 25, 2013	0.30

Fundamentals

EPS LFT : -$0.06 TWO : -$4.56
PS Ratio LFT : 0.99 TWO : 1.77
Total Revenue (TTM) LFT : $56.81M TWO : $546.33M
Gross Profit (TTM) LFT : $63.50M TWO : $524.61M
EBITDA (TTM) LFT : $37.56M TWO : -$7.58M

Return for Risk

LFT vs. TWO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

LFT

LFT Risk / Return Rank: 4
LFT Sharpe Ratio Rank: 3
LFT Sortino Ratio Rank: 3
LFT Omega Ratio Rank: 4
LFT Calmar Ratio Rank: 4
LFT Martin Ratio Rank: 6

TWO

TWO Risk / Return Rank: 66
TWO Sharpe Ratio Rank: 70
TWO Sortino Ratio Rank: 67
TWO Omega Ratio Rank: 70
TWO Calmar Ratio Rank: 60
TWO Martin Ratio Rank: 64

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

LFT vs. TWO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Lument Finance Trust, Inc. (LFT) and Two Harbors Investment Corp. (TWO). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	LFT	TWO	Difference
Sharpe ratio Return per unit of total volatility	-1.13	0.95	-2.08
Sortino ratio Return per unit of downside risk	-1.84	1.62	-3.45
Omega ratio Gain probability vs. loss probability	0.79	1.23	-0.45
Calmar ratio Return relative to maximum drawdown	-0.93	0.92	-1.85
Martin ratio Return relative to average drawdown	-1.46	2.66	-4.12
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

LFT vs. TWO - Sharpe Ratio Comparison

The current LFT Sharpe Ratio is -1.13, which is lower than the TWO Sharpe Ratio of 0.95. The chart below compares the historical Sharpe Ratios of LFT and TWO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	LFT	TWO	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-1.13	0.95	-2.08
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.37	-0.10	-0.27
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.06	-0.06	0.00
Sharpe Ratio (All Time) Calculated using the full available price history	-0.15	0.08	-0.23

Drawdowns

LFT vs. TWO - Drawdown Comparison

The maximum LFT drawdown since its inception was -81.57%, roughly equal to the maximum TWO drawdown of -84.71%. Use the drawdown chart below to compare losses from any high point for LFT and TWO.

Drawdown Indicators

	LFT	TWO	Difference
Max Drawdown Largest peak-to-trough decline	-81.57%	-84.71%	+3.14%
Max Drawdown (1Y) Largest decline over 1 year	-56.13%	-36.81%	-19.32%
Max Drawdown (3Y) Largest decline over 3 years	-58.29%	-36.81%	-21.48%
Max Drawdown (5Y) Largest decline over 5 years	-58.29%	-57.23%	-1.06%
Max Drawdown (10Y) Largest decline over 10 years	-77.00%	-84.71%	+7.71%
Current Drawdown Current decline from peak	-58.50%	-56.45%	-2.05%
Average Drawdown Average peak-to-trough decline	-32.91%	-28.55%	-4.36%
Ulcer Index Depth and duration of drawdowns from previous peaks	35.79%	12.75%	+23.04%

Volatility

LFT vs. TWO - Volatility Comparison

Lument Finance Trust, Inc. (LFT) has a higher volatility of 13.63% compared to Two Harbors Investment Corp. (TWO) at 4.00%. This indicates that LFT's price experiences larger fluctuations and is considered to be riskier than TWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	LFT	TWO	Difference
Volatility (1M) Calculated over the trailing 1-month period	13.63%	4.00%	+9.63%
Volatility (6M) Calculated over the trailing 6-month period	38.46%	37.09%	+1.37%
Volatility (1Y) Calculated over the trailing 1-year period	46.67%	41.06%	+5.61%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	35.21%	33.26%	+1.95%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	41.42%	48.01%	-6.59%

Dividends

LFT vs. TWO - Dividend Comparison

LFT's dividend yield for the trailing twelve months is around 16.82%, more than TWO's 11.36% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
LFT Lument Finance Trust, Inc.	16.82%	15.60%	15.50%	11.16%	12.63%	9.38%	11.16%	9.13%	9.79%	13.75%	41.20%	24.73%
TWO Two Harbors Investment Corp.	11.36%	15.52%	15.22%	15.08%	12.94%	11.79%	7.85%	11.42%	14.64%	23.31%	10.67%	12.84%

Financials

Frequently Asked Questions

Can I hold both LFT and TWO in my portfolio?

LFT and TWO have a correlation of 0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, LFT or TWO?

LFT has higher volatility (13.63%) compared to TWO (4.00%). In terms of maximum drawdown, LFT dropped -81.57% vs TWO's -84.71%.

Which has better risk-adjusted returns?

TWO currently has the higher Sharpe Ratio (0.95 vs -1.13), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.