NLY vs. O
NLY (Annaly Capital Management, Inc.) and O (Realty Income Corporation) are both stocks. Both are in the Real Estate sector — NLY in REIT - Mortgage, O in REIT - Retail. Over the past 10 years, NLY returned 5.38%/yr vs 4.58%/yr for O. At a 0.39 correlation, their price movements are largely independent.
Performance
NLY vs. O - Performance Comparison
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Returns By Period
In the year-to-date period, NLY achieves a -2.10% return, which is significantly lower than O's 8.26% return. Over the past 10 years, NLY has outperformed O with an annualized return of 5.38%, while O has yielded a comparatively lower 4.58% annualized return.
NLY
- 1D
- -0.61%
- 1M
- -5.28%
- YTD
- -2.10%
- 6M
- -1.06%
- 1Y
- 28.01%
- 3Y*
- 17.31%
- 5Y*
- 1.77%
- 10Y*
- 5.38%
O
- 1D
- -0.32%
- 1M
- -5.46%
- YTD
- 8.26%
- 6M
- 5.55%
- 1Y
- 12.57%
- 3Y*
- 5.73%
- 5Y*
- 2.47%
- 10Y*
- 4.58%
NLY vs. O - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
NLY Annaly Capital Management, Inc. | -2.10% | 40.00% | 8.07% | 4.94% | -21.41% | 2.48% | 2.38% | 7.22% | -7.22% | 31.92% |
O Realty Income Corporation | 8.26% | 12.20% | -2.11% | -4.55% | -7.38% | 23.95% | -11.60% | 21.27% | 15.94% | 3.67% |
Correlation
The correlation between NLY and O is 0.33, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.33 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.41 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.43 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.41 |
Correlation (All Time) Calculated using the full available price history since Oct 9, 1997 | 0.39 |
Fundamentals
NLY:
$3.28
O:
$1.17
NLY:
6.45
O:
50.86
NLY:
2.71
O:
6.87
NLY:
$5.21B
O:
$5.92B
NLY:
$5.17B
O:
$3.89B
NLY:
$5.65B
O:
$3.93B
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Return for Risk
NLY vs. O — Risk / Return Rank
NLY
O
NLY vs. O - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Annaly Capital Management, Inc. (NLY) and Realty Income Corporation (O). 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 | O | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.73 | ||
| Sortino ratioReturn per unit of downside risk | +0.98 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.14 | +0.12 |
| Calmar ratioReturn relative to maximum drawdown | 1.89 | 1.14 | +0.75 |
| Martin ratioReturn relative to average drawdown | 5.80 | 2.88 | +2.92 |
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 | O | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.52 | 0.79 | +0.73 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.07 | 0.13 | -0.06 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.19 | 0.18 | +0.01 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.31 | 0.48 | -0.18 |
Drawdowns
NLY vs. O - Drawdown Comparison
The maximum NLY drawdown since its inception was -60.09%, which is greater than O's maximum drawdown of -48.45%. Use the drawdown chart below to compare losses from any high point for NLY and O.
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Drawdown Indicators
| NLY | O | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.09% | -48.45% | -11.64% |
Max Drawdown (1Y)Largest decline over 1 year | -14.88% | -11.10% | -3.78% |
Max Drawdown (3Y)Largest decline over 3 years | -26.70% | -26.49% | -0.21% |
Max Drawdown (5Y)Largest decline over 5 years | -52.12% | -34.48% | -17.64% |
Max Drawdown (10Y)Largest decline over 10 years | -60.09% | -48.28% | -11.81% |
Current DrawdownCurrent decline from peak | -10.28% | -10.44% | +0.16% |
Average DrawdownAverage peak-to-trough decline | -13.75% | -9.21% | -4.54% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.84% | 4.37% | +0.47% |
Volatility
NLY vs. O - Volatility Comparison
The current volatility for Annaly Capital Management, Inc. (NLY) is 3.96%, while Realty Income Corporation (O) has a volatility of 5.48%. This indicates that NLY experiences smaller price fluctuations and is considered to be less risky than O based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| NLY | O | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.96% | 5.48% | -1.52% |
Volatility (6M)Calculated over the trailing 6-month period | 14.60% | 11.72% | +2.88% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.54% | 15.95% | +2.59% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 25.53% | 18.87% | +6.66% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 28.11% | 25.63% | +2.48% |
Dividends
NLY vs. O - Dividend Comparison
NLY's dividend yield for the trailing twelve months is around 13.23%, more than O's 5.42% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
NLY Annaly Capital Management, Inc. | 13.23% | 12.52% | 14.21% | 13.42% | 16.70% | 11.25% | 10.77% | 11.15% | 12.22% | 10.09% | 12.04% | 12.79% |
O Realty Income Corporation | 5.42% | 6.19% | 5.37% | 5.33% | 4.68% | 3.87% | 4.51% | 3.69% | 4.19% | 4.45% | 4.18% | 4.41% |
Financials
NLY vs. O - Financials Comparison
This section allows you to compare key financial metrics between Annaly Capital Management, Inc. and Realty Income Corporation. You can select fields from income statements, balance sheets, and cash flow statements to easily visualize and compare the financial health of both companies.
Total Revenue: Total amount of money received from sales and other business activities
Frequently Asked Questions
NLY and O have a correlation of 0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
O has higher volatility (5.48%) compared to NLY (3.96%). In terms of maximum drawdown, NLY dropped -60.09% vs O's -48.45%.
NLY currently has the higher Sharpe Ratio (1.52 vs 0.79), 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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