REM vs. NLY
Compare and contrast key facts about iShares Mortgage Real Estate ETF (REM) and Annaly Capital Management, Inc. (NLY).
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: REM or NLY.
Key characteristics
| REM | NLY | |
|---|---|---|
| YTD Return | 3.35% | 13.03% |
| 1Y Return | 19.17% | 32.93% |
| 3Y Return (Ann) | -6.93% | -4.45% |
| 5Y Return (Ann) | -3.56% | 0.84% |
| 10Y Return (Ann) | 1.91% | 3.81% |
| Sharpe Ratio | 0.98 | 1.70 |
| Sortino Ratio | 1.41 | 2.34 |
| Omega Ratio | 1.18 | 1.30 |
| Calmar Ratio | 0.50 | 0.90 |
| Martin Ratio | 3.50 | 9.91 |
| Ulcer Index | 5.74% | 3.44% |
| Daily Std Dev | 20.58% | 20.11% |
| Max Drawdown | -74.72% | -60.09% |
| Current Drawdown | -28.32% | -17.50% |
Correlation
The correlation between REM and NLY 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
REM vs. NLY - Performance Comparison
In the year-to-date period, REM achieves a 3.35% return, which is significantly lower than NLY's 13.03% return. Over the past 10 years, REM has underperformed NLY with an annualized return of 1.91%, while NLY has yielded a comparatively higher 3.81% 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
REM vs. NLY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Mortgage Real Estate ETF (REM) 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.
Dividends
REM vs. NLY - Dividend Comparison
REM's dividend yield for the trailing twelve months is around 9.31%, less than NLY's 13.11% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
REM iShares Mortgage Real Estate ETF | 9.31% | 9.46% | 11.13% | 7.29% | 7.72% | 8.16% | 10.00% | 9.97% | 10.03% | 11.99% | 14.53% | 16.12% |
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% |
Drawdowns
REM vs. NLY - Drawdown Comparison
The maximum REM drawdown since its inception was -74.72%, which is greater than NLY's maximum drawdown of -60.09%. Use the drawdown chart below to compare losses from any high point for REM and NLY. For additional features, visit the drawdowns tool.
Volatility
REM vs. NLY - Volatility Comparison
The current volatility for iShares Mortgage Real Estate ETF (REM) is 4.54%, while Annaly Capital Management, Inc. (NLY) has a volatility of 5.37%. This indicates that REM experiences smaller price fluctuations and is considered to be less risky than NLY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.