EFC vs NLY: Correlation
Ellington Financial Inc. (EFC) and Annaly Capital Management Inc. (NLY) show a strong relationship: their 3-year correlation of weekly returns is 0.67.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are EFC and NLY?
Over the past 3 years, EFC and NLY moved with a correlation of 0.67, which is strong. The relationship has been stable: the 1-year correlation (0.64) sits close to the 3-year figure. Over 5 years the correlation is 0.75, and the annualized covariance of weekly returns is 286.8 %².
Few assets follow EFC as closely as NLY, which ranks #2 of 13 tracked partners. The trailing year gives NLY the advantage: +10.7% versus +25.4%, a 14.7-point spread.
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.
EFC vs NLY: side by side
| EFC (Ellington Financial Inc.) | NLY (Annaly Capital Management Inc.) | |
|---|---|---|
| 1-year return | +10.7% | +25.4% |
| 5-year return | +35.9% | +30.4% |
| Volatility (ann.) | 18.8% | 22.9% |
| Beta vs S&P 500 | 0.54 | 0.81 |
| Max drawdown (3Y) | -18.9% | -26.3% |
| Market cap | $1.8B | $17.4B |
| P/E (trailing) | 8.4 | 5.6 |
| Dividend yield | 11.59% | 12.47% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | EFC | NLY |
|---|---|---|
| 2022 | -18.3% | -21.4% |
| 2023 | +18.2% | +4.9% |
| 2024 | +8.7% | +8.1% |
| 2025 | +26.1% | +40.0% |
| 2026 | +7.2% | +10.2% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are EFC and NLY good diversifiers for each other?
Somewhat, no more. With 0.67 correlation, most large moves hit both names, and the diversification benefit stays modest.
FAQ
What is the correlation between EFC and NLY?
The EFC/NLY correlation stands at 0.67 on a 3-year window (1 year: 0.64, 5 years: 0.75), computed from weekly returns as of 2026-08-27.
Is NLY a good diversifier for EFC?
Somewhat, no more. With 0.67 correlation, most large moves hit both names, and the diversification benefit stays modest.
What does a correlation of 0.67 mean?
A reading of 0.67 sits on a scale from −1 (opposite moves) through 0 (unrelated) to +1 (identical moves). Correlation captures direction, not magnitude or performance.
Use this data
$ curl https://www.pairbook.io/api/v1/pairs/efc-vs-nly.json
Markdown for the live badge, attribution link included:
[](https://www.pairbook.io/pair/efc-vs-nly/)
The core API is free. Terms and every endpoint in the API documentation.
Related comparisons
Hubs: EFC correlations · NLY correlations
