The earnings season is off to a flying start with equity markets scaling record highs, owing to a slew of upbeat economic data, strong corporate performance and President Donald Trump's tax reform proposal. However, the performance has been a mixed bag for REITs, with some beating market expectations, while a few failing to do so.We will now discuss the performance of two REITs, Annaly Capital Management NLY and AGNC Investment Corporation AGNC.Annaly Capital ManagementREIT Annaly Capital Management reported third-quarter 2017 net interest income of $353.6 million, reflecting a decrease of 8% from $384.5 million a year ago. However, it increased 12.2% sequentially. It reported core earnings per share (excluding premium amortization adjustment of $0.04 per share) of $0.30, surpassing the Zacks Consensus Estimate of $0.29.However, it reported Other Income of $28.2 million in the quarter compared with $29.2 million in the year-ago quarter. It had reported Other Income of $30.9 million in the previous quarter.Comprehensive income came in at $577.9 million compared with $289.4 million in the previous quarter. The company had registered income of $733.5 million in the year-ago quarter. Moreover, the company announced a dividend of $0.30 per share for the quarter.The company reported book value per share of $11.42, increasing 2.1% from $11.19 in the previous quarter. Its book value per share was $11.83 in the year-ago quarter. Shares of NLY increased around 0.7% in afterhours trading on Nov 1, 2017.AGNC Investment CorporationREIT AGNC Investment Corporation reported third-quarter 2017 net spread and dollar roll income (excluding $0.03 per share catch up premium) of $0.59/ share, missing the Zacks Consensus Estimate of $0.63. It reported net interest income of $178 million for the quarter in discussion, declining roughly 18.7% from $219 million a year ago. Moreover, net interest income declined roughly 1.7% from $181 million in the previous quarter.Moreover, it reported high variability in Other Income (loss) data of $125 million in the quarter against an income of $307 million in the year-ago quarter. It reported a loss of $141 million in the previous quarter.Comprehensive income came in at $631 million compared with $138 million in the previous quarter. The company had registered income of $421 million in the year-ago quarter. Moreover, the company declared a dividend of $0.54 per share for the quarter.The company reported net book value per share of $21.19, increasing 1.9% from $20.80 in the previous quarter. Its tangible net book value per share also increased to $19.78 from $19.25 in the previous quarter.Shares of AGNC declined 4.2% at market close on Oct 26, 2017.Let us discuss the ETFs that have a relatively high exposure to the two companies (read: Dollar Rebounds: 5 ETFs to Cash in On).iShares Mortgage Real Estate Capped ETF REMThis fund offers exposure to the U.S. residential and commercial real estate space. It has AUM of $1.3 billion and charges a fee of 48 basis points a year. It has 18.9% exposure to Annaly and 11.0% to AGNC (as of Oct 31, 2017). The fund has returned 8.5% year to date and 9.4% in a year (as of Nov 1, 2017). The fund has a Zacks ETF Rank #3 (Hold) with a Medium risk outlook.VanEck Vectors Mortgage REIT Income ETF MORTThis fund seeks to provide exposure to the U.S. mortgage REIT space. It has AUM of $153 million and charges a fee of 41 basis points a year. It has a 11.8% exposure to Annaly and 6.8% to AGNC (as of Nov 1, 2017). The fund has returned 10.0% year to date and 10.7% in a year (as of Nov 1, 2017). The fund has a Zacks ETF Rank #3 with a Medium risk outlook.Below is a year-to-date chart comparing the performance of the funds and the two companies. Source: Google FinanceWant key ETF info delivered straight to your inbox?Zacks’ free Fund Newsletter will brief you on top news and analysis, as well as top-performing ETFs, each week. Get it free >> Want the latest recommendations from Zacks Investment Research? Today, you can download 7 Best Stocks for the Next 30 Days. Click to get this free report REITS/MORTGAGE (REM): ETF Research Reports VANECK-MTG REIT (MORT): ETF Research Reports AGNC Investment Corp. (AGNC): Free Stock Analysis Report Annaly Capital Management Inc (NLY): Free Stock Analysis Report To read this article on Zacks.com click here. Zacks Investment Research Want the latest recommendations from Zacks Investment Research? Today, you can download 7 Best Stocks for the Next 30 Days. Click to get this free report