O vs. NLY
O (Realty Income Corporation) and NLY (Annaly Capital Management, Inc.) are both stocks. Both are in the Real Estate sector — O in REIT - Retail, NLY in REIT - Mortgage. Over the past 10 years, O returned 4.43%/yr vs 5.29%/yr for NLY. At a 0.39 correlation, their price movements are largely independent.
Performance
O vs. NLY - Performance Comparison
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Returns By Period
In the year-to-date period, O achieves a 8.78% return, which is significantly higher than NLY's -3.07% return. Over the past 10 years, O has underperformed NLY with an annualized return of 4.43%, while NLY has yielded a comparatively higher 5.29% annualized return.
O
- 1D
- -1.36%
- 1M
- -2.66%
- YTD
- 8.78%
- 6M
- 7.49%
- 1Y
- 13.14%
- 3Y*
- 5.19%
- 5Y*
- 2.41%
- 10Y*
- 4.43%
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%
O vs. NLY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
O Realty Income Corporation | 8.78% | 12.20% | -2.11% | -4.55% | -7.38% | 23.95% | -11.60% | 21.27% | 15.94% | 3.67% |
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% |
Correlation
The correlation between O and NLY 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 | 0.42 |
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 8, 1997 | 0.39 |
Fundamentals
O:
$1.17
NLY:
$3.28
O:
51.10
NLY:
6.38
O:
6.91
NLY:
2.68
O:
$5.92B
NLY:
$5.21B
O:
$3.89B
NLY:
$5.17B
O:
$3.93B
NLY:
$5.65B
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Return for Risk
O vs. NLY — Risk / Return Rank
O
NLY
O vs. NLY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Realty Income Corporation (O) and Annaly Capital Management, Inc. (NLY). 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.
| O | NLY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.58 | ||
| Sortino ratioReturn per unit of downside risk | -0.80 | ||
| Omega ratioGain probability vs. loss probability | 1.14 | 1.24 | -0.10 |
| Calmar ratioReturn relative to maximum drawdown | 1.19 | 1.75 | -0.56 |
| Martin ratioReturn relative to average drawdown | 2.93 | 5.22 | -2.29 |
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
| O | NLY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.82 | 1.40 | -0.58 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.13 | 0.05 | +0.07 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.17 | 0.19 | -0.02 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.48 | 0.30 | +0.18 |
Drawdowns
O vs. NLY - Drawdown Comparison
The maximum O drawdown since its inception was -48.45%, smaller than the maximum NLY drawdown of -60.09%. Use the drawdown chart below to compare losses from any high point for O and NLY.
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Drawdown Indicators
| O | NLY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -48.45% | -60.09% | +11.64% |
Max Drawdown (1Y)Largest decline over 1 year | -11.10% | -14.88% | +3.78% |
Max Drawdown (3Y)Largest decline over 3 years | -26.49% | -26.70% | +0.21% |
Max Drawdown (5Y)Largest decline over 5 years | -34.48% | -51.97% | +17.49% |
Max Drawdown (10Y)Largest decline over 10 years | -48.28% | -60.09% | +11.81% |
Current DrawdownCurrent decline from peak | -10.00% | -11.17% | +1.17% |
Average DrawdownAverage peak-to-trough decline | -9.21% | -13.75% | +4.54% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.50% | 4.97% | -0.47% |
Volatility
O vs. NLY - Volatility Comparison
Realty Income Corporation (O) has a higher volatility of 4.81% compared to Annaly Capital Management, Inc. (NLY) at 3.97%. This indicates that O's price experiences larger fluctuations and is considered to be riskier than NLY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| O | NLY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.81% | 3.97% | +0.84% |
Volatility (6M)Calculated over the trailing 6-month period | 11.89% | 14.66% | -2.77% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.10% | 18.56% | -2.46% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.89% | 25.54% | -6.65% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 25.64% | 28.12% | -2.48% |
Dividends
O vs. NLY - Dividend Comparison
O's dividend yield for the trailing twelve months is around 5.39%, less than NLY's 13.36% 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% |
O Realty Income Corporation | 5.39% | 6.19% | 5.37% | 5.33% | 4.68% | 3.87% | 4.51% | 3.69% | 4.19% | 4.45% | 4.18% | 4.41% |
Financials
O vs. NLY - Financials Comparison
This section allows you to compare key financial metrics between Realty Income Corporation and Annaly Capital Management, Inc.. 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
O and NLY 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 (4.81%) compared to NLY (3.97%). In terms of maximum drawdown, O dropped -48.45% vs NLY's -60.09%.
NLY currently has the higher Sharpe Ratio (1.40 vs 0.82), 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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