MODEL VERDICT
Two Harbors Investment Corp. (TWO)
Relative Valuation•Peer multiples, Monte Carlo simulation & quality-adjusted fair value
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Composite score derived from valuation, quality, and risk factors
Quantitative model thresholds · For educational and research purposes only
Each row records the model's monthly assessment. High Conviction = the model detected notable undervaluation vs peers. Neutral = no notable divergence was found. The return column shows the actual price change over 90 days for reference. This is a quantitative observation log — not investment advice.
| Date | Assessment | Score | Price | Status | 90d Fwd Return |
|---|---|---|---|---|---|
| May 1, 2026 | MODERATE | 0.64 | $12.54 | CURRENT | — |
| Apr 24, 2026 | MODERATE | 0.68 | $11.00 | CURRENT | — |
| Apr 17, 2026 | MODERATE | 0.69 | $11.12 | CURRENT | — |
| Apr 16, 2026 | MODERATE | 0.69 | $11.11 | CURRENT | — |
| Apr 10, 2026 | MODERATE | 0.68 | $11.02 | CURRENT | — |
Historical model observations for research purposes only. Past quantitative patterns do not predict future results. Not a recommendation to buy, sell, or hold any security.
| Methodology | Fair Value | vs Current | Weight | Quality | Status |
|---|---|---|---|---|---|
| Dividend Yield 10 industry peers | $11.45 | -8.7% | 12% | B | Supplementary |
| Price / Book 11 industry peers | $11.83 | -5.7% | 8% | B | Model Driven |
| Forward P/E 11 analyst estimates | $7.52 | -40.0% | 5% | A- | Analyst Est. |
| EV To Revenue 10 industry peers | $60.82 | +385.0% | 3% | B | Data |
| Price / Sales 11 industry peers | $17.83 | +42.2% | 2% | B | Model Driven |
| Weighted Output Blended model output | $19.61 | +56.4% | 100% | 66 | SIGNIFICANTLY UNDERVALUED |
Cross-sectional regression predicting expected multiples based on growth, margins, ROIC, and beta.
| Multiple | Avg | Median | Min | Max | Std |
|---|---|---|---|---|---|
| P/E Ratio | 10.38 | 10.41 | 4.99 | 15.72 | 5.02 |
| EV/EBIT | 46.70 | 19.03 | 4.44 | 193.53 | 72.61 |
| EV/EBITDA | 46.70 | 19.03 | 4.44 | 193.53 | 72.61 |
| P/FCF | 53.84 | 15.40 | 8.84 | 189.50 | 77.05 |
| P/TBV | 1.85 | 1.28 | 1.17 | 3.11 | 1.09 |
| P/B Ratio | 0.65 | 0.63 | 0.56 | 0.79 | 0.07 |
| Div Yield | 0.14 | 0.14 | 0.11 | 0.16 | 0.02 |
| P/S Ratio | 25.54 | 2.06 | 1.58 | 120.19 | 52.91 |
Based on our peer multiples analysis with 14 valuation metrics, the model estimates TWO's fair value at $19.61 vs the current price of $12.54, implying +56.4% upside potential. Model verdict: Significantly Undervalued. Confidence: 66/100. This is a quantitative estimate, not a recommendation.
The blended fair value of $19.61 is calculated using four lenses: industry median multiples (40%), historical multiples (30%), forward estimates (20%), and quality-adjusted multiples (10%). Monte Carlo simulation (10,000 iterations) gives a range of $12.74 (P10) to $37.43 (P90), with a median of $22.08.
TWO's current P/E of -2.9x compares to the industry median of 6.8x (10 peers in the group). This represents a -142.5% discount to the industry. The historical average P/E is 10.4x over 4 years. Signal: Deep Discount.
22 analysts cover TWO with a consensus rating of Hold. The consensus price target is $14.00 (range: $14.00 — $14.00), implying +11.6% upside from the current price. Grade breakdown: Strong Buy (0), Buy (4), Hold (17), Sell (1), Strong Sell (0).
The model confidence score is 66/100, based on: data completeness (15), peer quality (25), historical depth (20), earnings stability (4), and model agreement (2). Cyclicality penalty: -0 points. The model shows moderate agreement across inputs.
The model flags several key risks: (1) Macro/regulatory risks are not captured in this model but remain material.
Peak earnings risk data is not available for TWO.
No. This dashboard is a quantitative research tool for educational and informational purposes only. It is not investment advice, a solicitation, or a recommendation to buy, sell, or hold any security. The operator of this platform is not a registered investment advisor (RIA), broker-dealer, or financial planner. All model outputs, fair value estimates, signals, and scenarios are the result of automated quantitative computations and should not be construed as professional financial guidance. You should consult a qualified, licensed financial advisor before making any investment decisions. Past model performance is not indicative of future results.