CHMI vs NLY: Correlation
How closely do Cherry Hill Mortgage Investment Corporation (CHMI) and Annaly Capital Management Inc. (NLY) trade together? Their weekly returns over three years give a correlation of 0.57, which is moderate.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CHMI and NLY?
Over the past 3 years, CHMI and NLY moved with a correlation of 0.57, which is moderate. The link has loosened recently: the 1-year correlation (0.40) runs below the 3-year figure (0.57). Over 5 years the correlation is 0.61, and the annualized covariance of weekly returns is 498.8 %².
NLY is one of the assets that tracks CHMI most closely: it ranks #2 out of the 13 assets we track against CHMI. Over the last 12 months NLY came out ahead by 6.3 percentage points (+19.1% against +25.4%). Risk is not evenly split, since CHMI carries 1.7 times the volatility of the other side.
How is this computed?
Pearson correlation on weekly returns: ρ(A,B) = cov(rA, rB) / (σA · σB), over windows of 52, 156 and 260 weeks. Covariance is annualized (×52) and expressed in %². Full definitions on the methodology page.
CHMI vs NLY: side by side
| CHMI (Cherry Hill Mortgage Investment Corporation) | NLY (Annaly Capital Management Inc.) | |
|---|---|---|
| 1-year return | +19.1% | +25.4% |
| 5-year return | -27.0% | +30.4% |
| Volatility (ann.) | 38.1% | 22.9% |
| Beta vs S&P 500 | 0.85 | 0.81 |
| Max drawdown (3Y) | -32.7% | -26.3% |
| Market cap | $0.1B | $17.4B |
| P/E (trailing) | 13.9 | 5.6 |
| Dividend yield | 13.65% | 12.47% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | CHMI | NLY |
|---|---|---|
| 2022 | -17.2% | -21.4% |
| 2023 | -18.9% | +4.9% |
| 2024 | -21.9% | +8.1% |
| 2025 | +14.9% | +40.0% |
| 2026 | +24.3% | +10.2% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are CHMI and NLY good diversifiers for each other?
To a limited degree. At 0.57 the two still catch most of the same waves, so the pair smooths returns a little without insulating either from a shared selloff.
FAQ
What is the correlation between CHMI and NLY?
The CHMI/NLY correlation stands at 0.57 on a 3-year window (1 year: 0.40, 5 years: 0.61), computed from weekly returns as of 2026-08-27.
Is NLY a good diversifier for CHMI?
To a limited degree. At 0.57 the two still catch most of the same waves, so the pair smooths returns a little without insulating either from a shared selloff.
What does a correlation of 0.57 mean?
On the −1 to +1 scale, 0.57 describes how much the two returns move together: +1 is lockstep, 0 is independence, negative values mean opposite directions. It says nothing about which performed better.
Use this data
$ curl https://www.pairbook.io/api/v1/pairs/chmi-vs-nly.json
Markdown for the live badge, attribution link included:
[](https://www.pairbook.io/pair/chmi-vs-nly/)
The core API is free. Terms and every endpoint in the API documentation.
Related comparisons
Hubs: CHMI correlations · NLY correlations
