NLY vs. REM
Compare and contrast key facts about Annaly Capital Management, Inc. (NLY) and iShares Mortgage Real Estate ETF (REM).
REM is a passively managed fund by iShares that tracks the performance of the FTSE NAREIT All Mortgage Capped Index. It was launched on May 4, 2007.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: NLY or REM.
Key characteristics
| NLY | REM | |
|---|---|---|
| YTD Return | 13.03% | 3.04% |
| 1Y Return | 34.11% | 19.71% |
| 3Y Return (Ann) | -4.59% | -7.22% |
| 5Y Return (Ann) | 0.73% | -3.71% |
| 10Y Return (Ann) | 3.94% | 1.92% |
| Sharpe Ratio | 1.48 | 0.82 |
| Sortino Ratio | 2.06 | 1.22 |
| Omega Ratio | 1.26 | 1.15 |
| Calmar Ratio | 0.78 | 0.42 |
| Martin Ratio | 8.73 | 2.98 |
| Ulcer Index | 3.44% | 5.73% |
| Daily Std Dev | 20.33% | 20.68% |
| Max Drawdown | -60.09% | -74.72% |
| Current Drawdown | -17.50% | -28.54% |
Correlation
The correlation between NLY and REM is 0.79, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
NLY vs. REM - Performance Comparison
In the year-to-date period, NLY achieves a 13.03% return, which is significantly higher than REM's 3.04% return. Over the past 10 years, NLY has outperformed REM with an annualized return of 3.94%, while REM has yielded a comparatively lower 1.92% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
NLY vs. REM - Risk-Adjusted Performance 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.
Dividends
NLY vs. REM - Dividend Comparison
NLY's dividend yield for the trailing twelve months is around 13.11%, more than REM's 9.33% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
NLY Annaly Capital Management, Inc. | 13.11% | 13.42% | 16.70% | 11.25% | 10.77% | 11.15% | 12.22% | 10.09% | 12.04% | 12.79% | 11.10% | 15.05% |
REM iShares Mortgage Real Estate ETF | 9.33% | 9.46% | 11.13% | 7.29% | 7.72% | 8.16% | 10.00% | 9.97% | 10.03% | 11.99% | 14.53% | 16.12% |
Drawdowns
NLY vs. REM - Drawdown Comparison
The maximum NLY drawdown since its inception was -60.09%, smaller than the maximum REM drawdown of -74.72%. Use the drawdown chart below to compare losses from any high point for NLY and REM. For additional features, visit the drawdowns tool.
Volatility
NLY vs. REM - Volatility Comparison
Annaly Capital Management, Inc. (NLY) has a higher volatility of 5.46% compared to iShares Mortgage Real Estate ETF (REM) at 4.56%. This indicates that NLY's price experiences larger fluctuations and is considered to be riskier than REM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.