CIM vs NLY: Correlation
Chimera Investment Corporation (CIM) and Annaly Capital Management Inc. (NLY) show a strong relationship: their 3-year correlation of weekly returns is 0.66.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CIM and NLY?
Over the past 3 years, CIM and NLY moved with a correlation of 0.66, which is strong. The relationship has been stable: the 1-year correlation (0.59) sits close to the 3-year figure. Over 5 years the correlation is 0.76, and the annualized covariance of weekly returns is 442.7 %².
Few assets follow CIM as closely as NLY, which ranks #3 of 11 tracked partners. Their recent paths diverged sharply: over the last 12 months NLY outperformed by 32.3 percentage points (-6.9% for CIM against +25.4% for NLY).
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.
CIM vs NLY: side by side
| CIM (Chimera Investment Corporation) | NLY (Annaly Capital Management Inc.) | |
|---|---|---|
| 1-year return | -6.9% | +25.4% |
| 5-year return | -54.1% | +30.4% |
| Volatility (ann.) | 29.4% | 22.9% |
| Beta vs S&P 500 | 0.76 | 0.81 |
| Max drawdown (3Y) | -33.1% | -26.3% |
| Market cap | $1.0B | $17.4B |
| P/E (trailing) | – | 5.6 |
| Dividend yield | 14.29% | 12.47% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | CIM | NLY |
|---|---|---|
| 2022 | -57.9% | -21.4% |
| 2023 | +2.9% | +4.9% |
| 2024 | +3.6% | +8.1% |
| 2025 | -0.6% | +40.0% |
| 2026 | -0.7% | +10.2% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are CIM and NLY good diversifiers for each other?
Only partially. A correlation of 0.66 means CIM and NLY share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
FAQ
What is the correlation between CIM and NLY?
Using weekly returns as of 2026-08-27: 0.66 over 3 years, with 0.59 over the last year and 0.76 over 5 years.
Is NLY a good diversifier for CIM?
Only partially. A correlation of 0.66 means CIM and NLY share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
What does a correlation of 0.66 mean?
On the −1 to +1 scale, 0.66 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/cim-vs-nly.json
Markdown for the live badge, attribution link included:
[](https://www.pairbook.io/pair/cim-vs-nly/)
The core API is free. Terms and every endpoint in the API documentation.
Related comparisons
Hubs: CIM correlations · NLY correlations
