HPS vs. NLY

Last updated Jul 17, 2026

HPS (John Hancock Preferred Income Fund III) is Preferred Stock/Convertible Bonds fund managed by John Hancock, while NLY (Annaly Capital Management, Inc.) is a stock. Over the past 10 years, HPS returned 4.94%/yr vs 6.63%/yr for NLY. At a 0.29 correlation, their price movements are largely independent.

Performance

HPS vs. NLY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in John Hancock Preferred Income Fund III (HPS) 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, HPS achieves a 4.78% return, which is significantly lower than NLY's 11.93% return. Over the past 10 years, HPS has underperformed NLY with an annualized return of 4.94%, while NLY has yielded a comparatively higher 6.63% annualized return.

HPS

• 1D: -0.21%
• 1M: -0.28%
• 6M: 3.06%
• YTD: 4.78%
• 1Y: 10.15%
• 3Y*: 11.19%
• 5Y*: 2.74%
• 10Y*: 4.94%

NLY

• 1D: 1.12%
• 1M: 7.15%
• 6M: 5.03%
• YTD: 11.93%
• 1Y: 35.63%
• 3Y*: 20.36%
• 5Y*: 6.33%
• 10Y*: 6.63%

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

HPS vs. NLY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
HPS John Hancock Preferred Income Fund III	4.78%	4.86%	15.65%	7.66%	-16.56%	16.44%	-3.00%	31.43%	-8.37%	14.32%
NLY Annaly Capital Management, Inc.	11.93%	40.00%	8.07%	4.94%	-21.41%	2.48%	2.38%	7.22%	-7.22%	31.92%

Correlation

The correlation between HPS and NLY is 0.36, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.36
Correlation (3Y) Calculated over the trailing 3-year period	0.41
Correlation (5Y) Calculated over the trailing 5-year period	0.44
Correlation (10Y) Calculated over the trailing 10-year period	0.37
Correlation (All Time) Calculated using the full available price history since Jun 17, 2003	0.29

The correlation between HPS and NLY shifts across timeframes, from 0.29 (all time) to 0.44 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

HPS vs. NLY — Risk / Return Rank

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

HPS

HPS Risk / Return Rank: 21
HPS Sharpe Ratio Rank: 22
HPS Sortino Ratio Rank: 21
HPS Omega Ratio Rank: 22
HPS Calmar Ratio Rank: 21
HPS Martin Ratio Rank: 17

NLY

NLY Risk / Return Rank: 86
NLY Sharpe Ratio Rank: 90
NLY Sortino Ratio Rank: 87
NLY Omega Ratio Rank: 85
NLY Calmar Ratio Rank: 82
NLY Martin Ratio Rank: 85

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.

HPS vs. NLY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for John Hancock Preferred Income Fund III (HPS) 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.

	HPS	NLY	Difference
Sharpe ratio: Return per unit of total volatility	1.07	1.85	-0.78
Sortino ratio: Return per unit of downside risk	1.54	2.54	-1.01
Omega ratio: Gain probability vs. loss probability	1.20	1.32	-0.12
Calmar ratio: Return relative to maximum drawdown	1.34	2.41	-1.07
Martin ratio: Return relative to average drawdown	3.48	6.92	-3.44

HPS vs. NLY - Sharpe Ratio Comparison

The current HPS Sharpe Ratio is 1.07, which is lower than the NLY Sharpe Ratio of 1.85. The chart below compares the historical Sharpe Ratios of HPS 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

HPS vs. NLY - Drawdown Comparison

The maximum HPS drawdown since its inception was -70.04%, which is greater than NLY's maximum drawdown of -60.09%. Use the drawdown chart below to compare losses from any high point for HPS and NLY.

Drawdown Indicators

	HPS	NLY	Difference
Max Drawdown Largest peak-to-trough decline	-70.04%	-60.09%	-9.95%
Max Drawdown (1Y) Largest decline over 1 year	-7.61%	-14.88%	+7.27%
Max Drawdown (3Y) Largest decline over 3 years	-17.58%	-26.70%	+9.12%
Max Drawdown (5Y) Largest decline over 5 years	-29.39%	-50.21%	+20.82%
Max Drawdown (10Y) Largest decline over 10 years	-52.12%	-60.09%	+7.97%
Current Drawdown Current decline from peak	-2.24%	0.00%	-2.24%
Average Drawdown Average peak-to-trough decline	-8.34%	-13.79%	+5.45%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.93%	5.16%	-2.23%

Volatility

HPS vs. NLY - Volatility Comparison

The current volatility for John Hancock Preferred Income Fund III (HPS) is 2.35%, while Annaly Capital Management, Inc. (NLY) has a volatility of 5.25%. This indicates that HPS experiences smaller price fluctuations and is considered to be less risky than NLY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	HPS	NLY	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.35%	5.25%	-2.90%
Volatility (6M) Calculated over the trailing 6-month period	7.33%	15.39%	-8.06%
Volatility (1Y) Calculated over the trailing 1-year period	9.57%	19.41%	-9.84%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.67%	25.58%	-9.91%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.46%	28.17%	-6.71%

Dividends

HPS vs. NLY - Dividend Comparison

HPS's dividend yield for the trailing twelve months is around 9.22%, less than NLY's 12.17% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
HPS John Hancock Preferred Income Fund III	9.22%	9.16%	8.78%	9.34%	9.15%	7.04%	7.63%	7.41%	9.26%	7.82%	8.27%	7.53%
NLY Annaly Capital Management, Inc.	12.17%	12.52%	14.21%	13.42%	16.70%	11.25%	10.77%	11.15%	12.22%	10.09%	12.04%	12.79%

Frequently Asked Questions

Can I hold both HPS and NLY in my portfolio?

HPS and NLY have a correlation of 0.36, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, HPS or NLY?

NLY has higher volatility (5.25%) compared to HPS (2.35%). In terms of maximum drawdown, HPS dropped -70.04% vs NLY's -60.09%.

Which has better risk-adjusted returns?

NLY currently has the higher Sharpe Ratio (1.85 vs 1.07), 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.