SCHH vs. NLY

Last updated Jun 9, 2026

SCHH (Schwab US REIT ETF) is REIT fund tracking the Dow Jones Equity All REIT Capped Index, while NLY (Annaly Capital Management, Inc.) is a stock. Over the past 10 years, SCHH returned 4.14%/yr vs 5.29%/yr for NLY. At a 0.48 correlation, their price movements are largely independent.

Performance

SCHH vs. NLY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schwab US REIT ETF (SCHH) 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, SCHH achieves a 12.43% return, which is significantly higher than NLY's -3.07% return. Over the past 10 years, SCHH has underperformed NLY with an annualized return of 4.14%, while NLY has yielded a comparatively higher 5.29% annualized return.

SCHH

• 1D: -1.35%
• 1M: -0.72%
• YTD: 12.43%
• 6M: 12.55%
• 1Y: 12.92%
• 3Y*: 9.97%
• 5Y*: 2.78%
• 10Y*: 4.14%

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%

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

SCHH vs. NLY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SCHH Schwab US REIT ETF	12.43%	2.20%	4.99%	11.18%	-24.99%	41.07%	-14.81%	22.85%	-4.26%	3.68%
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 SCHH and NLY is 0.54, 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	0.54
Correlation (3Y) Calculated over the trailing 3-year period	0.56
Correlation (5Y) Calculated over the trailing 5-year period	0.58
Correlation (10Y) Calculated over the trailing 10-year period	0.52
Correlation (All Time) Calculated using the full available price history since Jan 13, 2011	0.48

The correlation between SCHH and NLY has been stable across timeframes, ranging from 0.48 to 0.58 - a consistent structural relationship.

Return for Risk

SCHH vs. NLY — Risk / Return Rank

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

SCHH

SCHH Risk / Return Rank: 31
SCHH Sharpe Ratio Rank: 29
SCHH Sortino Ratio Rank: 28
SCHH Omega Ratio Rank: 28
SCHH Calmar Ratio Rank: 35
SCHH Martin Ratio Rank: 35

NLY

NLY Risk / Return Rank: 76
NLY Sharpe Ratio Rank: 81
NLY Sortino Ratio Rank: 75
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.

SCHH vs. NLY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab US REIT ETF (SCHH) 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.

	SCHH	NLY	Difference
Sharpe ratio: Return per unit of total volatility	0.97	1.40	-0.43
Sortino ratio: Return per unit of downside risk	1.39	1.97	-0.58
Omega ratio: Gain probability vs. loss probability	1.17	1.24	-0.07
Calmar ratio: Return relative to maximum drawdown	1.57	1.75	-0.18
Martin ratio: Return relative to average drawdown	4.92	5.22	-0.29
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SCHH vs. NLY - Sharpe Ratio Comparison

The current SCHH Sharpe Ratio is 0.97, which is lower than the NLY Sharpe Ratio of 1.40. The chart below compares the historical Sharpe Ratios of SCHH 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

	SCHH	NLY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.97	1.40	-0.43
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.15	0.05	+0.10
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.20	0.19	+0.01
Sharpe Ratio (All Time) Calculated using the full available price history	0.34	0.30	+0.04

Drawdowns

SCHH vs. NLY - Drawdown Comparison

The maximum SCHH drawdown since its inception was -44.22%, smaller than the maximum NLY drawdown of -60.09%. Use the drawdown chart below to compare losses from any high point for SCHH and NLY.

Drawdown Indicators

	SCHH	NLY	Difference
Max Drawdown Largest peak-to-trough decline	-44.22%	-60.09%	+15.87%
Max Drawdown (1Y) Largest decline over 1 year	-8.28%	-14.88%	+6.60%
Max Drawdown (3Y) Largest decline over 3 years	-17.76%	-26.70%	+8.94%
Max Drawdown (5Y) Largest decline over 5 years	-33.28%	-51.97%	+18.69%
Max Drawdown (10Y) Largest decline over 10 years	-44.22%	-60.09%	+15.87%
Current Drawdown Current decline from peak	-2.01%	-11.17%	+9.16%
Average Drawdown Average peak-to-trough decline	-9.45%	-13.75%	+4.30%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.63%	4.97%	-2.34%

Volatility

SCHH vs. NLY - Volatility Comparison

Schwab US REIT ETF (SCHH) has a higher volatility of 4.21% compared to Annaly Capital Management, Inc. (NLY) at 3.97%. This indicates that SCHH'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

	SCHH	NLY	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.21%	3.97%	+0.24%
Volatility (6M) Calculated over the trailing 6-month period	9.75%	14.66%	-4.91%
Volatility (1Y) Calculated over the trailing 1-year period	13.39%	18.56%	-5.17%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.72%	25.54%	-6.82%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.98%	28.12%	-7.14%

Dividends

SCHH vs. NLY - Dividend Comparison

SCHH's dividend yield for the trailing twelve months is around 2.79%, 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%
SCHH Schwab US REIT ETF	2.79%	3.04%	3.22%	3.24%	2.55%	1.50%	2.86%	2.86%	3.64%	2.22%	2.81%	2.48%

Frequently Asked Questions

Can I hold both SCHH and NLY in my portfolio?

SCHH and NLY have a correlation of 0.54, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SCHH or NLY?

SCHH has higher volatility (4.21%) compared to NLY (3.97%). In terms of maximum drawdown, SCHH dropped -44.22% vs NLY's -60.09%.

Which has better risk-adjusted returns?

NLY currently has the higher Sharpe Ratio (1.40 vs 0.97), 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.