NLY vs. REM
NLY (Annaly Capital Management, Inc.) is a stock, while REM (iShares Mortgage Real Estate ETF) is REIT fund tracking the FTSE NAREIT All Mortgage Capped Index. Over the past 10 years, NLY returned 5.47%/yr vs 2.70%/yr for REM. A 0.80 correlation means they provide meaningful diversification when combined.
Performance
NLY vs. REM - Performance Comparison
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Returns By Period
In the year-to-date period, NLY achieves a -1.64% return, which is significantly lower than REM's -0.83% return. Over the past 10 years, NLY has outperformed REM with an annualized return of 5.47%, while REM has yielded a comparatively lower 2.70% annualized return.
NLY
- 1D
- 0.47%
- 1M
- -4.96%
- YTD
- -1.64%
- 6M
- -0.38%
- 1Y
- 28.21%
- 3Y*
- 17.56%
- 5Y*
- 1.86%
- 10Y*
- 5.47%
REM
- 1D
- 1.30%
- 1M
- -4.17%
- YTD
- -0.83%
- 6M
- -0.35%
- 1Y
- 12.88%
- 3Y*
- 8.72%
- 5Y*
- -2.23%
- 10Y*
- 2.70%
NLY vs. REM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
NLY Annaly Capital Management, Inc. | -1.64% | 40.00% | 8.07% | 4.94% | -21.41% | 2.48% | 2.38% | 7.22% | -7.22% | 31.92% |
REM iShares Mortgage Real Estate ETF | -0.83% | 13.30% | -1.00% | 14.43% | -27.56% | 16.14% | -19.99% | 21.34% | -3.09% | 18.43% |
Correlation
The correlation between NLY and REM is 0.89, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.89 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.90 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.89 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.86 |
Correlation (All Time) Calculated using the full available price history since May 7, 2007 | 0.80 |
The correlation between NLY and REM has been stable across timeframes, ranging from 0.80 to 0.90 - a consistent structural relationship.
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Return for Risk
NLY vs. REM — Risk / Return Rank
NLY
REM
NLY vs. REM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Annaly Capital Management, Inc. (NLY) and iShares Mortgage Real Estate ETF (REM). 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 | REM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.76 | ||
| Sortino ratioReturn per unit of downside risk | +0.98 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.14 | +0.13 |
| Calmar ratioReturn relative to maximum drawdown | 1.90 | 0.91 | +1.00 |
| Martin ratioReturn relative to average drawdown | 5.79 | 2.59 | +3.20 |
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 | REM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.53 | 0.77 | +0.76 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.07 | -0.10 | +0.17 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.20 | 0.10 | +0.10 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.31 | -0.04 | +0.35 |
Drawdowns
NLY vs. REM - Drawdown Comparison
The maximum NLY drawdown since its inception was -60.09%, smaller than the maximum REM drawdown of -74.73%. Use the drawdown chart below to compare losses from any high point for NLY and REM.
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Drawdown Indicators
| NLY | REM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.09% | -74.73% | +14.64% |
Max Drawdown (1Y)Largest decline over 1 year | -14.88% | -14.25% | -0.63% |
Max Drawdown (3Y)Largest decline over 3 years | -26.70% | -21.91% | -4.79% |
Max Drawdown (5Y)Largest decline over 5 years | -52.12% | -43.31% | -8.81% |
Max Drawdown (10Y)Largest decline over 10 years | -60.09% | -68.52% | +8.43% |
Current DrawdownCurrent decline from peak | -9.86% | -22.86% | +13.00% |
Average DrawdownAverage peak-to-trough decline | -13.75% | -38.34% | +24.59% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.88% | 4.98% | -0.10% |
Volatility
NLY vs. REM - Volatility Comparison
Annaly Capital Management, Inc. (NLY) and iShares Mortgage Real Estate ETF (REM) have volatilities of 4.01% and 4.03%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| NLY | REM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.01% | 4.03% | -0.02% |
Volatility (6M)Calculated over the trailing 6-month period | 14.61% | 13.08% | +1.53% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.50% | 16.82% | +1.68% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 25.53% | 23.57% | +1.96% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 28.11% | 28.27% | -0.16% |
Dividends
NLY vs. REM - Dividend Comparison
NLY's dividend yield for the trailing twelve months is around 13.16%, more than REM's 9.07% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
NLY Annaly Capital Management, Inc. | 13.16% | 12.52% | 14.21% | 13.42% | 16.70% | 11.25% | 10.77% | 11.15% | 12.22% | 10.09% | 12.04% | 12.79% |
REM iShares Mortgage Real Estate ETF | 9.07% | 8.70% | 9.61% | 9.46% | 11.13% | 7.29% | 7.72% | 8.16% | 10.00% | 9.97% | 10.03% | 11.99% |
Frequently Asked Questions
NLY and REM have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
REM has higher volatility (4.03%) compared to NLY (4.01%). In terms of maximum drawdown, NLY dropped -60.09% vs REM's -74.73%.
NLY currently has the higher Sharpe Ratio (1.53 vs 0.77), 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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