Annaly Capital Correlations

NLY-PF Preferred Stock

USD 25.97 0.07 0.27%

The current 90-days correlation between Annaly Capital Management and AGNC Investment Corp is 0.56 (i.e., Very weak diversification). The correlation of Annaly Capital is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

Annaly Capital Correlation With Market

Significant diversification

The correlation between Annaly Capital Management and DJI is 0.06 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Annaly Capital Management and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Annaly Capital could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Annaly Capital when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Annaly Capital - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Annaly Capital Management to buy it.

Moving together with Annaly Preferred Stock

0.91	DX	Dynex Capital	Pair Corr
0.84	MITT	AG Mortgage Investment	Pair Corr
0.81	MITT-PA	AG Mortgage Investment	Pair Corr
0.72	MITT-PB	AG Mortgage Investment	Pair Corr
0.8	MITT-PC	AG Mortgage Investment	Pair Corr
0.89	RITM-PC	Rithm Capital Corp	Pair Corr
0.89	RITM-PD	Rithm Capital Corp	Pair Corr
0.77	RITM-PA	Rithm Capital Corp	Pair Corr
0.91	RITM-PB	Rithm Capital Corp	Pair Corr
0.7	NREF	Nexpoint Real Estate	Pair Corr
0.88	NYMT	New York Mortgage	Pair Corr
0.83	FBRT	Franklin BSP Realty	Pair Corr
0.72	NREF-PA	NexPoint Real Estate	Pair Corr
0.72	ARR-PC	ARMOUR Residential REIT	Pair Corr
0.93	ACR	Acres Commercial Realty	Pair Corr
0.82	ARI	Apollo Commercial Real	Pair Corr
0.64	ARR	ARMOUR Residential REIT	Pair Corr
0.87	EFC	Ellington Financial	Pair Corr
0.72	IVR	Invesco Mortgage Capital	Pair Corr
0.81	LFT	Lument Finance Trust	Pair Corr
0.85	MFA	MFA Financial Sell-off Trend	Pair Corr
0.84	NLY	Annaly Capital Management	Pair Corr
0.69	ORC	Orchid Island Capital	Pair Corr
0.63	CHMI-PB	Cherry Hill Mortgage	Pair Corr
0.9	PMT	PennyMac Mortgage	Pair Corr
0.62	TWO-PC	Two Harbors Investment	Pair Corr
0.81	TWO-PB	Two Harbors Investment	Pair Corr

Moving against Annaly Preferred Stock

0.85	RC	Ready Capital Corp	Pair Corr
0.7	ABR	Arbor Realty Trust	Pair Corr
0.57	EARN	Ellington Residential	Pair Corr
0.36	NYMTL	New York Mortgage	Pair Corr
0.45	LFT-PA	Lument Finance Trust	Pair Corr
0.42	CHMI-PA	Cherry Hill Mortgage	Pair Corr
0.4	CIM	Chimera Investment	Pair Corr

Related Correlations Analysis

	AGNCN	AGNCM	NLY-PI	MFA-PB	NLY-PG	AGNCP	AGNCO	IVR-PC
AGNCN		0.63	0.88	0.53	0.93	0.84	0.95	0.7	AGNCN
AGNCM	0.63		0.67	0.53	0.68	0.62	0.67	0.25	AGNCM
NLY-PI	0.88	0.67		0.65	0.94	0.91	0.93	0.44	NLY-PI
MFA-PB	0.53	0.53	0.65		0.58	0.79	0.65	0.29	MFA-PB
NLY-PG	0.93	0.68	0.94	0.58		0.89	0.95	0.56	NLY-PG
AGNCP	0.84	0.62	0.91	0.79	0.89		0.93	0.49	AGNCP
AGNCO	0.95	0.67	0.93	0.65	0.95	0.93		0.62	AGNCO
IVR-PC	0.7	0.25	0.44	0.29	0.56	0.49	0.62		IVR-PC
	AGNCN	AGNCM	NLY-PI	MFA-PB	NLY-PG	AGNCP	AGNCO	IVR-PC

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Risk-Adjusted Indicators

There is a big difference between Annaly Preferred Stock performing well and Annaly Capital Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Annaly Capital's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
AGNCN	0.25	0.06	0.17	13.78	0.11	(0.32)	0.58	(0.43)	2.62
AGNCM	0.25	0.02	0.04	0.39	0.35	(0.27)	0.36	(0.48)	3.21
NLY-PI	0.24	0.07	0.18	(9.31)	0.15	(0.30)	0.68	(0.32)	2.18
MFA-PB	0.58	0.04	0.05	0.17	0.71	(0.60)	1.13	(0.98)	4.21
NLY-PG	0.19	0.04	0.12	1.06	0.14	(0.21)	0.44	(0.32)	2.37
AGNCP	0.18	0.05	0.22	0.83	0.00	(0.22)	0.44	(0.32)	1.00
AGNCO	0.22	0.05	0.18	(47.98)	0.00	(0.26)	0.47	(0.43)	2.46
IVR-PC	0.55	0.09	0.11	23.11	0.59	(0.58)	1.78	(1.22)	5.15

Be your own money manager

Our tools can tell you how much better you can do entering a position in Annaly Capital without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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Annaly Capital Corporate Management

Jessica LaScala	Chief Officer	Profile
Don Choe	Chief Officer	Profile
Serena Wolfe	Chief Officer	Profile
Steven Campbell	Chief Officer	Profile
Wellington DenahanNorris	CoFounder Board	Profile
Anthony JD	Chief Officer	Profile
Audrey JD	Deputy Officer	Profile

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