Mortgage REITs, like Annaly Capital Management (NYSE:NLY) and American Capital Agency (NASDAQ:AGNC), have had a rough run in recent months. However, in the long-run, which mREITs have the best chance to deliver superior results for shareholders. In this segment of The Motley Fool's financials-focused show, Where the Money Is, banking analysts Matt Koppenheffer and David Hanson look back at some historical data and tell viewers why Annaly Capital Mangement may have a better chance of winning than a REIT like Two Harbors (NYSE:TWO).