C vs. NLY

Last updated Jun 13, 2026

C (Citigroup Inc.) and NLY (Annaly Capital Management, Inc.) are both stocks. C operates in Banks - Diversified (Financial Services), while NLY operates in REIT - Mortgage (Real Estate). Over the past 10 years, C returned 16.22%/yr vs 5.96%/yr for NLY. At a 0.27 correlation, their price movements are largely independent.

Performance

C vs. NLY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Citigroup Inc. (C) and Annaly Capital Management, Inc. (NLY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, C achieves a 21.02% return, which is significantly higher than NLY's 1.74% return. Over the past 10 years, C has outperformed NLY with an annualized return of 16.22%, while NLY has yielded a comparatively lower 5.96% annualized return.

C

• 1D: 1.27%
• 1M: 12.68%
• YTD: 21.02%
• 6M: 26.32%
• 1Y: 82.79%
• 3Y*: 46.87%
• 5Y*: 16.80%
• 10Y*: 16.22%

NLY

• 1D: -0.05%
• 1M: -0.72%
• YTD: 1.74%
• 6M: 5.83%
• 1Y: 29.27%
• 3Y*: 16.65%
• 5Y*: 2.68%
• 10Y*: 5.96%

*Multi-year figures are annualized to reflect compound growth (CAGR)

C vs. NLY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
C Citigroup Inc.	21.02%	70.38%	41.93%	18.98%	-22.09%	0.93%	-19.70%	57.82%	-28.49%	27.03%
NLY Annaly Capital Management, Inc.	1.74%	40.00%	8.07%	4.94%	-21.41%	2.48%	2.38%	7.22%	-7.22%	31.92%

Correlation

The correlation between C and NLY is 0.31, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.31
Correlation (3Y) Calculated over the trailing 3-year period	0.40
Correlation (5Y) Calculated over the trailing 5-year period	0.46
Correlation (10Y) Calculated over the trailing 10-year period	0.39
Correlation (All Time) Calculated using the full available price history since Oct 8, 1997	0.27

The correlation between C and NLY shifts across timeframes, from 0.27 (all time) to 0.46 (5 years), reflecting how their relationship changes across market environments.

Fundamentals

Market Cap C : $248.34B NLY : $15.94B
EPS C : $8.65 NLY : $3.28
PE Ratio C : 16.17 NLY : 6.70
PS Ratio C : 1.51 NLY : 2.81
PB Ratio C : 1.30 NLY : 1.10
Total Revenue (TTM) C : $171.19B NLY : $5.21B
Gross Profit (TTM) C : $77.85B NLY : $5.17B
EBITDA (TTM) C : $24.12B NLY : $5.65B

Return for Risk

C vs. NLY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

C

C Risk / Return Rank: 94
C Sharpe Ratio Rank: 95
C Sortino Ratio Rank: 94
C Omega Ratio Rank: 92
C Calmar Ratio Rank: 94
C Martin Ratio Rank: 94

NLY

NLY Risk / Return Rank: 79
NLY Sharpe Ratio Rank: 84
NLY Sortino Ratio Rank: 80
NLY Omega Ratio Rank: 78
NLY Calmar Ratio Rank: 76
NLY Martin Ratio Rank: 79

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

C vs. NLY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Citigroup Inc. (C) and Annaly Capital Management, Inc. (NLY). 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.

	C	NLY	Difference
Sharpe ratio: Return per unit of total volatility	2.93	1.54	+1.39
Sortino ratio: Return per unit of downside risk	3.57	2.18	+1.39
Omega ratio: Gain probability vs. loss probability	1.45	1.27	+0.19
Calmar ratio: Return relative to maximum drawdown	5.64	1.98	+3.66
Martin ratio: Return relative to average drawdown	16.25	5.80	+10.45

C vs. NLY - Sharpe Ratio Comparison

The current C Sharpe Ratio is 2.93, which is higher than the NLY Sharpe Ratio of 1.54. The chart below compares the historical Sharpe Ratios of C and NLY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

C vs. NLY - Drawdown Comparison

The maximum C drawdown since its inception was -98.00%, which is greater than NLY's maximum drawdown of -60.09%. Use the drawdown chart below to compare losses from any high point for C and NLY.

Drawdown Indicators

	C	NLY	Difference
Max Drawdown Largest peak-to-trough decline	-98.00%	-60.09%	-37.91%
Max Drawdown (1Y) Largest decline over 1 year	-14.76%	-14.88%	+0.12%
Max Drawdown (3Y) Largest decline over 3 years	-31.31%	-26.70%	-4.61%
Max Drawdown (5Y) Largest decline over 5 years	-44.53%	-50.99%	+6.46%
Max Drawdown (10Y) Largest decline over 10 years	-56.51%	-60.09%	+3.58%
Current Drawdown Current decline from peak	-62.68%	-6.77%	-55.91%
Average Drawdown Average peak-to-trough decline	-43.51%	-13.83%	-29.68%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.12%	5.07%	+0.05%

Volatility

C vs. NLY - Volatility Comparison

Citigroup Inc. (C) has a higher volatility of 8.30% compared to Annaly Capital Management, Inc. (NLY) at 6.20%. This indicates that C's price experiences larger fluctuations and is considered to be riskier than NLY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	C	NLY	Difference
Volatility (1M) Calculated over the trailing 1-month period	8.30%	6.20%	+2.10%
Volatility (6M) Calculated over the trailing 6-month period	23.09%	15.27%	+7.82%
Volatility (1Y) Calculated over the trailing 1-year period	28.37%	19.07%	+9.30%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	29.20%	25.61%	+3.59%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	33.23%	28.14%	+5.09%

Dividends

C vs. NLY - Dividend Comparison

C's dividend yield for the trailing twelve months is around 1.72%, less than NLY's 12.73% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
C Citigroup Inc.	1.72%	1.99%	3.10%	4.04%	4.51%	3.38%	3.31%	2.40%	2.96%	1.29%	0.71%	0.31%
NLY Annaly Capital Management, Inc.	12.73%	12.52%	14.21%	13.42%	16.70%	11.25%	10.77%	11.15%	12.22%	10.09%	12.04%	12.79%

Financials

Frequently Asked Questions

Can I hold both C and NLY in my portfolio?

C and NLY have a correlation of 0.31, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, C or NLY?

C has higher volatility (8.30%) compared to NLY (6.20%). In terms of maximum drawdown, C dropped -98.00% vs NLY's -60.09%.

Which has better risk-adjusted returns?

C currently has the higher Sharpe Ratio (2.93 vs 1.54), 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.