NLY vs. IWS
NLY (Annaly Capital Management, Inc.) is a stock, while IWS (iShares Russell Mid-Cap Value ETF) is Mid Cap Value Equities fund tracking the Russell Midcap Value Index. Over the past 10 years, NLY returned 5.29%/yr vs 10.08%/yr for IWS. At a 0.47 correlation, their price movements are largely independent.
Performance
NLY vs. IWS - Performance Comparison
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Returns By Period
In the year-to-date period, NLY achieves a -3.07% return, which is significantly lower than IWS's 13.43% return. Over the past 10 years, NLY has underperformed IWS with an annualized return of 5.29%, while IWS has yielded a comparatively higher 10.08% annualized return.
NLY
- 1D
- -1.23%
- 1M
- -7.30%
- YTD
- -3.07%
- 6M
- -1.18%
- 1Y
- 25.88%
- 3Y*
- 16.16%
- 5Y*
- 1.37%
- 10Y*
- 5.29%
IWS
- 1D
- 0.04%
- 1M
- 1.01%
- YTD
- 13.43%
- 6M
- 13.77%
- 1Y
- 24.70%
- 3Y*
- 16.23%
- 5Y*
- 8.15%
- 10Y*
- 10.08%
NLY vs. IWS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
NLY Annaly Capital Management, Inc. | -3.07% | 40.00% | 8.07% | 4.94% | -21.41% | 2.48% | 2.38% | 7.22% | -7.22% | 31.92% |
IWS iShares Russell Mid-Cap Value ETF | 13.43% | 10.82% | 12.91% | 12.52% | -12.29% | 28.10% | 4.83% | 26.73% | -12.43% | 13.14% |
Correlation
The correlation between NLY and IWS is 0.51, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.51 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.61 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.65 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.57 |
Correlation (All Time) Calculated using the full available price history since Jul 24, 2001 | 0.47 |
The correlation between NLY and IWS shifts across timeframes, from 0.47 (all time) to 0.65 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
NLY vs. IWS — Risk / Return Rank
NLY
IWS
NLY vs. IWS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Annaly Capital Management, Inc. (NLY) and iShares Russell Mid-Cap Value ETF (IWS). 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.
| NLY | IWS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.46 | ||
| Sortino ratioReturn per unit of downside risk | -0.70 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.33 | -0.08 |
| Calmar ratioReturn relative to maximum drawdown | 1.75 | 3.29 | -1.55 |
| Martin ratioReturn relative to average drawdown | 5.22 | 12.38 | -7.16 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| NLY | IWS | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.40 | 1.87 | -0.46 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.05 | 0.47 | -0.42 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.19 | 0.52 | -0.33 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.30 | 0.42 | -0.11 |
Drawdowns
NLY vs. IWS - Drawdown Comparison
The maximum NLY drawdown since its inception was -60.09%, roughly equal to the maximum IWS drawdown of -62.40%. Use the drawdown chart below to compare losses from any high point for NLY and IWS.
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Drawdown Indicators
| NLY | IWS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.09% | -62.40% | +2.31% |
Max Drawdown (1Y)Largest decline over 1 year | -14.88% | -7.53% | -7.35% |
Max Drawdown (3Y)Largest decline over 3 years | -26.70% | -20.57% | -6.13% |
Max Drawdown (5Y)Largest decline over 5 years | -51.97% | -21.23% | -30.74% |
Max Drawdown (10Y)Largest decline over 10 years | -60.09% | -43.83% | -16.26% |
Current DrawdownCurrent decline from peak | -11.17% | -1.83% | -9.34% |
Average DrawdownAverage peak-to-trough decline | -13.75% | -8.02% | -5.73% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.97% | 2.00% | +2.97% |
Volatility
NLY vs. IWS - Volatility Comparison
Annaly Capital Management, Inc. (NLY) has a higher volatility of 3.97% compared to iShares Russell Mid-Cap Value ETF (IWS) at 3.45%. This indicates that NLY's price experiences larger fluctuations and is considered to be riskier than IWS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| NLY | IWS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.97% | 3.45% | +0.52% |
Volatility (6M)Calculated over the trailing 6-month period | 14.66% | 9.74% | +4.92% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.56% | 13.30% | +5.26% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 25.54% | 17.32% | +8.22% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 28.12% | 19.37% | +8.75% |
Dividends
NLY vs. IWS - Dividend Comparison
NLY's dividend yield for the trailing twelve months is around 13.36%, more than IWS's 1.36% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IWS iShares Russell Mid-Cap Value ETF | 1.36% | 1.53% | 1.50% | 1.76% | 1.93% | 1.39% | 1.87% | 1.97% | 2.53% | 1.96% | 2.10% | 2.14% |
NLY Annaly Capital Management, Inc. | 13.36% | 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
NLY and IWS have a correlation of 0.51, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
NLY has higher volatility (3.97%) compared to IWS (3.45%). In terms of maximum drawdown, NLY dropped -60.09% vs IWS's -62.40%.
IWS currently has the higher Sharpe Ratio (1.87 vs 1.40), 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.
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