NLY vs. XDTE

Last updated Jun 9, 2026

NLY (Annaly Capital Management, Inc.) is a stock, while XDTE (Roundhill S&P 500 0DTE Covered Call Strategy ETF) is Derivative Income fund actively managed by Roundhill. Over the past year, NLY returned 25.88% vs 22.20% for XDTE. At a 0.45 correlation, their price movements are largely independent.

Performance

NLY vs. XDTE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Annaly Capital Management, Inc. (NLY) and Roundhill S&P 500 0DTE Covered Call Strategy ETF (XDTE). 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 XDTE's 6.69% 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%

XDTE

• 1D: 0.31%
• 1M: -0.27%
• YTD: 6.69%
• 6M: 6.52%
• 1Y: 22.20%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

NLY vs. XDTE - Yearly Performance Comparison

	2026 (YTD)	2025	2024
NLY Annaly Capital Management, Inc.	-3.07%	40.00%	7.79%
XDTE Roundhill S&P 500 0DTE Covered Call Strategy ETF	6.69%	12.60%	17.12%

Correlation

The correlation between NLY and XDTE is 0.38, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.38
Correlation (All Time) Calculated using the full available price history since Mar 7, 2024	0.45

Return for Risk

NLY vs. XDTE — 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

XDTE

XDTE Risk / Return Rank: 68
XDTE Sharpe Ratio Rank: 67
XDTE Sortino Ratio Rank: 63
XDTE Omega Ratio Rank: 68
XDTE Calmar Ratio Rank: 64
XDTE Martin Ratio Rank: 76

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. XDTE - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Annaly Capital Management, Inc. (NLY) and Roundhill S&P 500 0DTE Covered Call Strategy ETF (XDTE). 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	XDTE	Difference
Sharpe ratio: Return per unit of total volatility	1.40	1.99	-0.58
Sortino ratio: Return per unit of downside risk	1.97	2.64	-0.67
Omega ratio: Gain probability vs. loss probability	1.24	1.37	-0.12
Calmar ratio: Return relative to maximum drawdown	1.75	2.90	-1.15
Martin ratio: Return relative to average drawdown	5.22	13.13	-7.92
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

NLY vs. XDTE - Sharpe Ratio Comparison

The current NLY Sharpe Ratio is 1.40, which is comparable to the XDTE Sharpe Ratio of 1.99. The chart below compares the historical Sharpe Ratios of NLY and XDTE, 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	XDTE	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.40	1.99	-0.58
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.05	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.19	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.30	1.16	-0.86

Drawdowns

NLY vs. XDTE - Drawdown Comparison

The maximum NLY drawdown since its inception was -60.09%, which is greater than XDTE's maximum drawdown of -19.09%. Use the drawdown chart below to compare losses from any high point for NLY and XDTE.

Drawdown Indicators

	NLY	XDTE	Difference
Max Drawdown Largest peak-to-trough decline	-60.09%	-19.09%	-41.00%
Max Drawdown (1Y) Largest decline over 1 year	-14.88%	-7.68%	-7.20%
Max Drawdown (3Y) Largest decline over 3 years	-26.70%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-51.97%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-60.09%	—	—
Current Drawdown Current decline from peak	-11.17%	-2.61%	-8.56%
Average Drawdown Average peak-to-trough decline	-13.75%	-2.31%	-11.44%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.97%	1.69%	+3.28%

Volatility

NLY vs. XDTE - Volatility Comparison

Annaly Capital Management, Inc. (NLY) has a higher volatility of 3.97% compared to Roundhill S&P 500 0DTE Covered Call Strategy ETF (XDTE) at 3.50%. This indicates that NLY's price experiences larger fluctuations and is considered to be riskier than XDTE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	NLY	XDTE	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.97%	3.50%	+0.47%
Volatility (6M) Calculated over the trailing 6-month period	14.66%	8.68%	+5.98%
Volatility (1Y) Calculated over the trailing 1-year period	18.56%	11.25%	+7.31%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	25.54%	13.92%	+11.62%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	28.12%	13.92%	+14.20%

Dividends

NLY vs. XDTE - Dividend Comparison

NLY's dividend yield for the trailing twelve months is around 13.36%, less than XDTE's 33.68% 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%
XDTE Roundhill S&P 500 0DTE Covered Call Strategy ETF	33.68%	39.16%	20.35%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both NLY and XDTE in my portfolio?

NLY and XDTE have a correlation of 0.38, 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 XDTE?

NLY has higher volatility (3.97%) compared to XDTE (3.50%). In terms of maximum drawdown, NLY dropped -60.09% vs XDTE's -19.09%.

Which has better risk-adjusted returns?

XDTE currently has the higher Sharpe Ratio (1.99 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.