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REM vs. NLY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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.


-0.50.00.51.00.8

Performance

REM vs. NLY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Mortgage Real Estate ETF (REM) and Annaly Capital Management, Inc. (NLY). The values are adjusted to include any dividend payments, if applicable.

0.00%50.00%100.00%150.00%JulyAugustSeptemberOctoberNovemberDecember
-30.00%
162.25%
REM
NLY

Key characteristics

Sharpe Ratio

REM:

-0.03

NLY:

0.46

Sortino Ratio

REM:

0.08

NLY:

0.72

Omega Ratio

REM:

1.01

NLY:

1.09

Calmar Ratio

REM:

-0.02

NLY:

0.28

Martin Ratio

REM:

-0.10

NLY:

2.36

Ulcer Index

REM:

6.02%

NLY:

3.61%

Daily Std Dev

REM:

19.05%

NLY:

18.71%

Max Drawdown

REM:

-74.72%

NLY:

-60.09%

Current Drawdown

REM:

-31.05%

NLY:

-20.87%

Returns By Period

In the year-to-date period, REM achieves a -0.58% return, which is significantly lower than NLY's 8.42% return. Over the past 10 years, REM has underperformed NLY with an annualized return of 1.58%, while NLY has yielded a comparatively higher 3.54% annualized return.


REM

YTD

-0.58%

1M

-1.51%

6M

2.44%

1Y

-2.36%

5Y*

-5.11%

10Y*

1.58%

NLY

YTD

8.42%

1M

-2.31%

6M

1.59%

1Y

6.83%

5Y*

-0.99%

10Y*

3.54%

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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.


Sharpe ratio
The chart of Sharpe ratio for REM, currently valued at -0.03, compared to the broader market0.002.004.00-0.030.46
The chart of Sortino ratio for REM, currently valued at 0.08, compared to the broader market-2.000.002.004.006.008.0010.000.080.72
The chart of Omega ratio for REM, currently valued at 1.01, compared to the broader market0.501.001.502.002.503.001.011.09
The chart of Calmar ratio for REM, currently valued at -0.02, compared to the broader market0.005.0010.0015.00-0.020.28
The chart of Martin ratio for REM, currently valued at -0.10, compared to the broader market0.0020.0040.0060.0080.00100.00-0.102.36
REM
NLY

The current REM Sharpe Ratio is -0.03, which is lower than the NLY Sharpe Ratio of 0.46. The chart below compares the historical Sharpe Ratios of REM and NLY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
-0.03
0.46
REM
NLY

Dividends

REM vs. NLY - Dividend Comparison

REM's dividend yield for the trailing twelve months is around 9.57%, less than NLY's 13.67% yield.


TTM20232022202120202019201820172016201520142013
REM
iShares Mortgage Real Estate ETF
9.57%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.
13.67%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.


-30.00%-25.00%-20.00%-15.00%JulyAugustSeptemberOctoberNovemberDecember
-31.05%
-20.87%
REM
NLY

Volatility

REM vs. NLY - Volatility Comparison

iShares Mortgage Real Estate ETF (REM) has a higher volatility of 5.10% compared to Annaly Capital Management, Inc. (NLY) at 4.80%. This indicates that REM'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.


3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
5.10%
4.80%
REM
NLY
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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