With bond prices expected to fall further and interest rates headed north, analysts who cover mortgage-investing real estate investment trusts are sharpening their knives on the sector. The general consensus is that share prices are going nowhere fast and returns are no longer attractive. A new report on mortgage REITs from Keefe, Bruyette & Woods doesn’t mince words: “Sentiment on the mREIT sector remains pretty poor, and we don’t anticipate 2Q15 results to do much to improve that. We’re not expecting a horrible quarter, but we anticipate slight disappointment along more or less all relevant dimensions.” Although many mortgage REITs have yet to report second-quarter earnings, the early expectations are...