RLJ vs. NLY

Last updated Jun 4, 2026

RLJ (RLJ Lodging Trust) and NLY (Annaly Capital Management, Inc.) are both stocks. Both are in the Real Estate sector — RLJ in REIT - Hotel & Motel, NLY in REIT - Mortgage. Over the past 10 years, RLJ returned -2.83%/yr vs 5.38%/yr for NLY. At a 0.39 correlation, their price movements are largely independent.

Performance

RLJ vs. NLY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in RLJ Lodging Trust (RLJ) and Annaly Capital Management, Inc. (NLY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, RLJ achieves a 39.56% return, which is significantly higher than NLY's -2.10% return. Over the past 10 years, RLJ has underperformed NLY with an annualized return of -2.83%, while NLY has yielded a comparatively higher 5.38% annualized return.

RLJ

• 1D: 0.99%
• 1M: 22.04%
• YTD: 39.56%
• 6M: 42.53%
• 1Y: 50.48%
• 3Y*: 3.63%
• 5Y*: -4.31%
• 10Y*: -2.83%

NLY

• 1D: -0.61%
• 1M: -5.28%
• YTD: -2.10%
• 6M: -1.06%
• 1Y: 28.01%
• 3Y*: 17.31%
• 5Y*: 1.77%
• 10Y*: 5.38%

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

RLJ vs. NLY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
RLJ RLJ Lodging Trust	39.56%	-21.01%	-8.42%	14.59%	-23.12%	-1.29%	-19.81%	16.53%	-20.12%	-4.62%
NLY Annaly Capital Management, Inc.	-2.10%	40.00%	8.07%	4.94%	-21.41%	2.48%	2.38%	7.22%	-7.22%	31.92%

Correlation

The correlation between RLJ and NLY is 0.37, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.37
Correlation (3Y) Calculated over the trailing 3-year period	0.40
Correlation (5Y) Calculated over the trailing 5-year period	0.46
Correlation (10Y) Calculated over the trailing 10-year period	0.42
Correlation (All Time) Calculated using the full available price history since May 12, 2011	0.39

Fundamentals

Market Cap RLJ : $1.52B NLY : $15.33B
EPS RLJ : $0.17 NLY : $3.28
PE Ratio RLJ : 61.35 NLY : 6.45
PS Ratio RLJ : 1.12 NLY : 2.71
PB Ratio RLJ : 0.71 NLY : 1.06
Total Revenue (TTM) RLJ : $1.36B NLY : $5.21B
Gross Profit (TTM) RLJ : $19.43M NLY : $5.17B
EBITDA (TTM) RLJ : $321.42M NLY : $5.65B

Return for Risk

RLJ vs. NLY — Risk / Return Rank

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

RLJ

RLJ Risk / Return Rank: 83
RLJ Sharpe Ratio Rank: 85
RLJ Sortino Ratio Rank: 83
RLJ Omega Ratio Rank: 78
RLJ Calmar Ratio Rank: 85
RLJ Martin Ratio Rank: 86

NLY

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

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.

RLJ vs. NLY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for RLJ Lodging Trust (RLJ) 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.

	RLJ	NLY	Difference
Sharpe ratio Return per unit of total volatility	1.77	1.52	+0.25
Sortino ratio Return per unit of downside risk	2.57	2.11	+0.46
Omega ratio Gain probability vs. loss probability	1.29	1.26	+0.03
Calmar ratio Return relative to maximum drawdown	3.47	1.89	+1.58
Martin ratio Return relative to average drawdown	9.18	5.80	+3.38
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

RLJ vs. NLY - Sharpe Ratio Comparison

The current RLJ Sharpe Ratio is 1.77, which is comparable to the NLY Sharpe Ratio of 1.52. The chart below compares the historical Sharpe Ratios of RLJ and NLY, 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

	RLJ	NLY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.77	1.52	+0.25
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.13	0.07	-0.20
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.07	0.19	-0.26
Sharpe Ratio (All Time) Calculated using the full available price history	0.02	0.31	-0.29

Drawdowns

RLJ vs. NLY - Drawdown Comparison

The maximum RLJ drawdown since its inception was -83.78%, which is greater than NLY's maximum drawdown of -60.09%. Use the drawdown chart below to compare losses from any high point for RLJ and NLY.

Drawdown Indicators

	RLJ	NLY	Difference
Max Drawdown Largest peak-to-trough decline	-83.78%	-60.09%	-23.69%
Max Drawdown (1Y) Largest decline over 1 year	-14.61%	-14.88%	+0.27%
Max Drawdown (3Y) Largest decline over 3 years	-44.24%	-26.70%	-17.54%
Max Drawdown (5Y) Largest decline over 5 years	-56.59%	-52.12%	-4.47%
Max Drawdown (10Y) Largest decline over 10 years	-79.52%	-60.09%	-19.43%
Current Drawdown Current decline from peak	-52.73%	-10.28%	-42.45%
Average Drawdown Average peak-to-trough decline	-35.34%	-13.75%	-21.59%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.52%	4.84%	+0.68%

Volatility

RLJ vs. NLY - Volatility Comparison

RLJ Lodging Trust (RLJ) has a higher volatility of 8.21% compared to Annaly Capital Management, Inc. (NLY) at 3.96%. This indicates that RLJ'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.

Volatility by Period

	RLJ	NLY	Difference
Volatility (1M) Calculated over the trailing 1-month period	8.21%	3.96%	+4.25%
Volatility (6M) Calculated over the trailing 6-month period	20.91%	14.60%	+6.31%
Volatility (1Y) Calculated over the trailing 1-year period	28.71%	18.54%	+10.17%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	33.24%	25.53%	+7.71%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	43.11%	28.11%	+15.00%

Dividends

RLJ vs. NLY - Dividend Comparison

RLJ's dividend yield for the trailing twelve months is around 5.89%, less than NLY's 13.23% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
NLY Annaly Capital Management, Inc.	13.23%	12.52%	14.21%	13.42%	16.70%	11.25%	10.77%	11.15%	12.22%	10.09%	12.04%	12.79%
RLJ RLJ Lodging Trust	5.89%	8.05%	4.90%	3.07%	1.13%	0.29%	0.28%	7.45%	8.05%	6.01%	5.39%	6.10%

Financials

Frequently Asked Questions

Can I hold both RLJ and NLY in my portfolio?

RLJ and NLY have a correlation of 0.37, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, RLJ or NLY?

RLJ has higher volatility (8.21%) compared to NLY (3.96%). In terms of maximum drawdown, RLJ dropped -83.78% vs NLY's -60.09%.

Which has better risk-adjusted returns?

RLJ currently has the higher Sharpe Ratio (1.77 vs 1.52), 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.