RWT vs. NLY

Last updated Jun 3, 2026

RWT (Redwood Trust, Inc.) and NLY (Annaly Capital Management, Inc.) are both stocks. Both operate in the REIT - Mortgage industry within the Real Estate sector. Over the past 10 years, RWT returned -0.98%/yr vs 5.45%/yr for NLY. At a 0.43 correlation, their price movements are largely independent.

Performance

RWT vs. NLY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Redwood Trust, Inc. (RWT) 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, RWT achieves a 0.40% return, which is significantly higher than NLY's -1.50% return. Over the past 10 years, RWT has underperformed NLY with an annualized return of -0.98%, while NLY has yielded a comparatively higher 5.45% annualized return.

RWT

• 1D: 0.94%
• 1M: -6.28%
• YTD: 0.40%
• 6M: 3.47%
• 1Y: 13.13%
• 3Y*: 5.64%
• 5Y*: -4.13%
• 10Y*: -0.98%

NLY

• 1D: -0.98%
• 1M: -6.66%
• YTD: -1.50%
• 6M: -0.41%
• 1Y: 30.45%
• 3Y*: 17.55%
• 5Y*: 1.95%
• 10Y*: 5.45%

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

RWT vs. NLY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
RWT Redwood Trust, Inc.	0.40%	-4.08%	-2.60%	21.61%	-42.26%	60.13%	-42.70%	18.16%	9.40%	4.49%
NLY Annaly Capital Management, Inc.	-1.50%	40.00%	8.07%	4.94%	-21.41%	2.48%	2.38%	7.22%	-7.22%	31.92%

Correlation

The correlation between RWT and NLY is 0.61, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.61
Correlation (3Y) Calculated over the trailing 3-year period	0.68
Correlation (5Y) Calculated over the trailing 5-year period	0.68
Correlation (10Y) Calculated over the trailing 10-year period	0.62
Correlation (All Time) Calculated using the full available price history since Oct 9, 1997	0.43

The correlation between RWT and NLY shifts across timeframes, from 0.43 (all time) to 0.68 (3 years), reflecting how their relationship changes across market environments.

Fundamentals

EPS RWT : -$0.48 NLY : $3.28
PS Ratio RWT : 2.58 NLY : 2.72
Total Revenue (TTM) RWT : $269.15M NLY : $5.21B
Gross Profit (TTM) RWT : $1.06B NLY : $5.17B
EBITDA (TTM) RWT : $1.06B NLY : $5.65B

Return for Risk

RWT vs. NLY — Risk / Return Rank

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

RWT

RWT Risk / Return Rank: 52
RWT Sharpe Ratio Rank: 54
RWT Sortino Ratio Rank: 50
RWT Omega Ratio Rank: 49
RWT Calmar Ratio Rank: 54
RWT Martin Ratio Rank: 53

NLY

NLY Risk / Return Rank: 78
NLY Sharpe Ratio Rank: 83
NLY Sortino Ratio Rank: 79
NLY Omega Ratio Rank: 77
NLY Calmar Ratio Rank: 73
NLY Martin Ratio Rank: 78

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.

RWT vs. NLY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Redwood Trust, Inc. (RWT) 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.

	RWT	NLY	Difference
Sharpe ratio Return per unit of total volatility	0.37	1.65	-1.28
Sortino ratio Return per unit of downside risk	0.85	2.27	-1.42
Omega ratio Gain probability vs. loss probability	1.11	1.28	-0.18
Calmar ratio Return relative to maximum drawdown	0.61	1.93	-1.32
Martin ratio Return relative to average drawdown	1.25	5.97	-4.73
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

RWT vs. NLY - Sharpe Ratio Comparison

The current RWT Sharpe Ratio is 0.37, which is lower than the NLY Sharpe Ratio of 1.65. The chart below compares the historical Sharpe Ratios of RWT 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

	RWT	NLY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.37	1.65	-1.28
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.12	0.08	-0.20
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.02	0.19	-0.21
Sharpe Ratio (All Time) Calculated using the full available price history	0.12	0.31	-0.19

Drawdowns

RWT vs. NLY - Drawdown Comparison

The maximum RWT drawdown since its inception was -88.91%, which is greater than NLY's maximum drawdown of -60.09%. Use the drawdown chart below to compare losses from any high point for RWT and NLY.

Drawdown Indicators

	RWT	NLY	Difference
Max Drawdown Largest peak-to-trough decline	-88.91%	-60.09%	-28.82%
Max Drawdown (1Y) Largest decline over 1 year	-19.91%	-14.88%	-5.03%
Max Drawdown (3Y) Largest decline over 3 years	-33.79%	-26.70%	-7.09%
Max Drawdown (5Y) Largest decline over 5 years	-55.83%	-52.12%	-3.71%
Max Drawdown (10Y) Largest decline over 10 years	-85.40%	-60.09%	-25.31%
Current Drawdown Current decline from peak	-57.75%	-9.73%	-48.02%
Average Drawdown Average peak-to-trough decline	-45.58%	-13.75%	-31.83%
Ulcer Index Depth and duration of drawdowns from previous peaks	9.70%	4.80%	+4.90%

Volatility

RWT vs. NLY - Volatility Comparison

Redwood Trust, Inc. (RWT) has a higher volatility of 6.19% compared to Annaly Capital Management, Inc. (NLY) at 4.35%. This indicates that RWT'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

	RWT	NLY	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.19%	4.35%	+1.84%
Volatility (6M) Calculated over the trailing 6-month period	28.66%	14.60%	+14.06%
Volatility (1Y) Calculated over the trailing 1-year period	35.79%	18.58%	+17.21%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	35.05%	25.53%	+9.52%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	49.03%	28.12%	+20.91%

Dividends

RWT vs. NLY - Dividend Comparison

RWT's dividend yield for the trailing twelve months is around 13.41%, more than NLY's 13.15% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
NLY Annaly Capital Management, Inc.	13.15%	12.52%	14.21%	13.42%	16.70%	11.25%	10.77%	11.15%	12.22%	10.09%	12.04%	12.79%
RWT Redwood Trust, Inc.	13.41%	13.02%	10.26%	9.58%	13.61%	5.91%	8.26%	7.26%	7.83%	7.56%	7.36%	8.48%

Financials

Frequently Asked Questions

Can I hold both RWT and NLY in my portfolio?

RWT and NLY have a correlation of 0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, RWT or NLY?

RWT has higher volatility (6.19%) compared to NLY (4.35%). In terms of maximum drawdown, RWT dropped -88.91% vs NLY's -60.09%.

Which has better risk-adjusted returns?

NLY currently has the higher Sharpe Ratio (1.65 vs 0.37), 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.