TWO vs. KREF
TWO (Two Harbors Investment Corp.) and KREF (KKR Real Estate Finance Trust Inc.) are both stocks. Both operate in the REIT - Mortgage industry within the Real Estate sector. Over the past 5 years, TWO returned -4.72%/yr vs -11.22%/yr for KREF. A 0.56 correlation means they provide meaningful diversification when combined.
Performance
TWO vs. KREF - Performance Comparison
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Returns By Period
In the year-to-date period, TWO achieves a 24.99% return, which is significantly higher than KREF's -10.55% return.
TWO
- 1D
- 0.24%
- 1M
- -1.52%
- YTD
- 24.99%
- 6M
- 15.02%
- 1Y
- 31.10%
- 3Y*
- 9.76%
- 5Y*
- -4.72%
- 10Y*
- -2.88%
KREF
- 1D
- 3.82%
- 1M
- 10.66%
- YTD
- -10.55%
- 6M
- -10.44%
- 1Y
- -13.39%
- 3Y*
- -6.88%
- 5Y*
- -11.22%
- 10Y*
- —
TWO vs. KREF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TWO Two Harbors Investment Corp. | 24.99% | 2.52% | -2.73% | 2.31% | -23.25% | 0.03% | -52.19% | 28.73% | -10.33% | 9.04% |
KREF KKR Real Estate Finance Trust Inc. | -10.55% | -9.25% | -15.80% | 9.15% | -25.89% | 27.86% | -2.82% | 16.15% | 4.26% | -0.09% |
Correlation
The correlation between TWO and KREF is 0.35, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.35 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.55 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.59 |
Correlation (All Time) Calculated using the full available price history since May 5, 2017 | 0.56 |
Over the past year, the correlation between TWO and KREF has dropped to 0.35 - well below their long-term average of 0.56, suggesting their price drivers have been diverging.
Fundamentals
TWO:
-$4.56
KREF:
-$1.58
TWO:
1.76
KREF:
1.27
TWO:
$546.33M
KREF:
$366.11M
TWO:
$524.61M
KREF:
$298.61M
TWO:
-$7.58M
KREF:
$197.55M
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Return for Risk
TWO vs. KREF — Risk / Return Rank
TWO
KREF
TWO vs. KREF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Two Harbors Investment Corp. (TWO) and KKR Real Estate Finance Trust Inc. (KREF). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| TWO | KREF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.22 | ||
| Sortino ratioReturn per unit of downside risk | +1.84 | ||
| Omega ratioGain probability vs. loss probability | 1.20 | 0.95 | +0.26 |
| Calmar ratioReturn relative to maximum drawdown | 0.85 | -0.39 | +1.24 |
| Martin ratioReturn relative to average drawdown | 2.41 | -0.75 | +3.16 |
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Drawdowns
TWO vs. KREF - Drawdown Comparison
The maximum TWO drawdown since its inception was -84.71%, which is greater than KREF's maximum drawdown of -57.33%. Use the drawdown chart below to compare losses from any high point for TWO and KREF.
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Drawdown Indicators
| TWO | KREF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -84.71% | -57.33% | -27.38% |
Max Drawdown (1Y)Largest decline over 1 year | -36.81% | -34.53% | -2.28% |
Max Drawdown (3Y)Largest decline over 3 years | -36.81% | -44.87% | +8.06% |
Max Drawdown (5Y)Largest decline over 5 years | -57.23% | -57.33% | +0.10% |
Max Drawdown (10Y)Largest decline over 10 years | -84.71% | — | — |
Current DrawdownCurrent decline from peak | -56.77% | -48.56% | -8.21% |
Average DrawdownAverage peak-to-trough decline | -28.63% | -19.64% | -8.99% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 12.92% | 17.96% | -5.04% |
Volatility
TWO vs. KREF - Volatility Comparison
The current volatility for Two Harbors Investment Corp. (TWO) is 1.67%, while KKR Real Estate Finance Trust Inc. (KREF) has a volatility of 9.95%. This indicates that TWO experiences smaller price fluctuations and is considered to be less risky than KREF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| TWO | KREF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.67% | 9.95% | -8.28% |
Volatility (6M)Calculated over the trailing 6-month period | 36.95% | 25.44% | +11.51% |
Volatility (1Y)Calculated over the trailing 1-year period | 40.70% | 29.99% | +10.71% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 33.19% | 30.06% | +3.13% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 47.99% | 30.75% | +17.24% |
Dividends
TWO vs. KREF - Dividend Comparison
TWO's dividend yield for the trailing twelve months is around 11.44%, less than KREF's 14.16% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
KREF KKR Real Estate Finance Trust Inc. | 14.16% | 12.17% | 9.90% | 13.00% | 12.32% | 9.53% | 9.60% | 8.42% | 8.83% | 4.95% | 0.00% | 0.00% |
TWO Two Harbors Investment Corp. | 11.44% | 15.52% | 15.22% | 15.08% | 12.94% | 11.79% | 7.85% | 11.42% | 14.64% | 23.31% | 10.67% | 12.84% |
Financials
TWO vs. KREF - Financials Comparison
This section allows you to compare key financial metrics between Two Harbors Investment Corp. and KKR Real Estate Finance Trust Inc.. You can select fields from income statements, balance sheets, and cash flow statements to easily visualize and compare the financial health of both companies.
Total Revenue: Total amount of money received from sales and other business activities
Frequently Asked Questions
TWO and KREF have a correlation of 0.35, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
KREF has higher volatility (9.95%) compared to TWO (1.67%). In terms of maximum drawdown, TWO dropped -84.71% vs KREF's -57.33%.
TWO currently has the higher Sharpe Ratio (0.77 vs -0.45), 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.
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