NLY vs. VBR

Last updated Jun 9, 2026

NLY (Annaly Capital Management, Inc.) is a stock, while VBR (Vanguard Small-Cap Value ETF) is Small Cap Value Equities fund tracking the CRSP US Small Cap Value Index. Over the past 10 years, NLY returned 5.29%/yr vs 10.50%/yr for VBR. At a 0.48 correlation, their price movements are largely independent.

Performance

NLY vs. VBR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Annaly Capital Management, Inc. (NLY) and Vanguard Small-Cap Value ETF (VBR). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, NLY achieves a -3.07% return, which is significantly lower than VBR's 11.45% return. Over the past 10 years, NLY has underperformed VBR with an annualized return of 5.29%, while VBR has yielded a comparatively higher 10.50% 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%

VBR

• 1D: 0.16%
• 1M: 0.48%
• YTD: 11.45%
• 6M: 12.14%
• 1Y: 24.85%
• 3Y*: 15.60%
• 5Y*: 7.78%
• 10Y*: 10.50%

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

NLY vs. VBR - 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%
VBR Vanguard Small-Cap Value ETF	11.45%	9.09%	12.40%	16.00%	-9.38%	28.08%	5.90%	22.78%	-12.28%	11.81%

Correlation

The correlation between NLY and VBR is 0.52, 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	0.52
Correlation (3Y) Calculated over the trailing 3-year period	0.62
Correlation (5Y) Calculated over the trailing 5-year period	0.65
Correlation (10Y) Calculated over the trailing 10-year period	0.56
Correlation (All Time) Calculated using the full available price history since Jan 30, 2004	0.48

The correlation between NLY and VBR shifts across timeframes, from 0.48 (all time) to 0.65 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

NLY vs. VBR — Risk / Return Rank

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

NLY

NLY Risk / Return Rank: 76
NLY Sharpe Ratio Rank: 81
NLY Sortino Ratio Rank: 75
NLY Omega Ratio Rank: 74
NLY Calmar Ratio Rank: 73
NLY Martin Ratio Rank: 77

VBR

VBR Risk / Return Rank: 57
VBR Sharpe Ratio Rank: 53
VBR Sortino Ratio Rank: 56
VBR Omega Ratio Rank: 51
VBR Calmar Ratio Rank: 62
VBR Martin Ratio Rank: 61

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.

NLY vs. VBR - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Annaly Capital Management, Inc. (NLY) and Vanguard Small-Cap Value ETF (VBR). 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	VBR	Difference
Sharpe ratio: Return per unit of total volatility	1.40	1.65	-0.25
Sortino ratio: Return per unit of downside risk	1.97	2.43	-0.46
Omega ratio: Gain probability vs. loss probability	1.24	1.29	-0.04
Calmar ratio: Return relative to maximum drawdown	1.75	2.82	-1.07
Martin ratio: Return relative to average drawdown	5.22	9.94	-4.72
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

NLY vs. VBR - Sharpe Ratio Comparison

The current NLY Sharpe Ratio is 1.40, which is comparable to the VBR Sharpe Ratio of 1.65. The chart below compares the historical Sharpe Ratios of NLY and VBR, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	NLY	VBR	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.40	1.65	-0.25
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.05	0.40	-0.34
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.19	0.49	-0.30
Sharpe Ratio (All Time) Calculated using the full available price history	0.30	0.42	-0.11

Drawdowns

NLY vs. VBR - Drawdown Comparison

The maximum NLY drawdown since its inception was -60.09%, roughly equal to the maximum VBR drawdown of -61.98%. Use the drawdown chart below to compare losses from any high point for NLY and VBR.

Drawdown Indicators

	NLY	VBR	Difference
Max Drawdown Largest peak-to-trough decline	-60.09%	-61.98%	+1.89%
Max Drawdown (1Y) Largest decline over 1 year	-14.88%	-8.85%	-6.03%
Max Drawdown (3Y) Largest decline over 3 years	-26.70%	-24.19%	-2.51%
Max Drawdown (5Y) Largest decline over 5 years	-51.97%	-24.19%	-27.78%
Max Drawdown (10Y) Largest decline over 10 years	-60.09%	-45.28%	-14.81%
Current Drawdown Current decline from peak	-11.17%	-0.95%	-10.22%
Average Drawdown Average peak-to-trough decline	-13.75%	-8.26%	-5.49%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.97%	2.51%	+2.46%

Volatility

NLY vs. VBR - Volatility Comparison

Annaly Capital Management, Inc. (NLY) has a higher volatility of 3.97% compared to Vanguard Small-Cap Value ETF (VBR) at 3.67%. This indicates that NLY's price experiences larger fluctuations and is considered to be riskier than VBR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	NLY	VBR	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.97%	3.67%	+0.30%
Volatility (6M) Calculated over the trailing 6-month period	14.66%	10.49%	+4.17%
Volatility (1Y) Calculated over the trailing 1-year period	18.56%	15.16%	+3.40%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	25.54%	19.77%	+5.77%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	28.12%	21.74%	+6.38%

Dividends

NLY vs. VBR - Dividend Comparison

NLY's dividend yield for the trailing twelve months is around 13.36%, more than VBR's 1.76% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
VBR Vanguard Small-Cap Value ETF	1.76%	1.95%	1.98%	2.12%	2.03%	1.75%	1.68%	2.06%	2.35%	1.79%	1.77%	1.99%

Frequently Asked Questions

Can I hold both NLY and VBR in my portfolio?

NLY and VBR have a correlation of 0.52, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, NLY or VBR?

NLY has higher volatility (3.97%) compared to VBR (3.67%). In terms of maximum drawdown, NLY dropped -60.09% vs VBR's -61.98%.

Which has better risk-adjusted returns?

VBR currently has the higher Sharpe Ratio (1.65 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.