NLY vs SPY: Correlation
How closely do Annaly Capital Management Inc. (NLY) and SPDR S&P 500 ETF Trust (SPY) trade together? Their weekly returns over three years give a correlation of 0.51, which is moderate.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are NLY and SPY?
On 3 years of weekly data the NLY/SPY correlation comes out at 0.51, moderate. The past 12 months show a weaker link (0.41) than the 3-year average (0.51). The 5-year figure is 0.61, and annualized covariance runs at 168.7 %².
Within NLY's tracked universe of 26 assets, SPY comes in at #18 by 3-year correlation. Neither side won the trailing year by much: +25.4% against +20.6%. Risk is not evenly split, since NLY carries 1.6 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.
NLY vs SPY: side by side
| NLY (Annaly Capital Management Inc.) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +25.4% | +20.6% |
| 5-year return | +30.4% | +82.4% |
| Volatility (ann.) | 22.9% | 14.5% |
| Beta vs S&P 500 | 0.81 | 1.00 |
| Max drawdown (3Y) | -26.3% | -18.8% |
| Market cap | $17.4B | – |
| P/E (trailing) | 5.6 | – |
| Dividend yield | 12.47% | 1.01% |
| Expense ratio | – | 0.09% |
| Assets under management | – | $795.3B |
| Sector / category | US Listed | ETF · US Large Cap |
SPY is a Large Blend fund from State Street Investment Management: $795.3B under management, 504 holdings, a 0.09% expense ratio, a 1.01% trailing dividend yield.
Year-by-year returns
| Year | NLY | SPY |
|---|---|---|
| 2022 | -21.4% | -18.2% |
| 2023 | +4.9% | +26.2% |
| 2024 | +8.1% | +24.9% |
| 2025 | +40.0% | +17.7% |
| 2026 | +10.2% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are NLY and SPY good diversifiers for each other?
Somewhat, no more. With 0.51 correlation, most large moves hit both names, and the diversification benefit stays modest.
FAQ
What is the correlation between NLY and SPY?
Using weekly returns as of 2026-08-27: 0.51 over 3 years, with 0.41 over the last year and 0.61 over 5 years.
Is SPY a good diversifier for NLY?
Somewhat, no more. With 0.51 correlation, most large moves hit both names, and the diversification benefit stays modest.
What does a correlation of 0.51 mean?
On the −1 to +1 scale, 0.51 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/nly-vs-spy.json
Embed this badge (it refreshes with the data), with attribution:
[](https://www.pairbook.io/pair/nly-vs-spy/)
Free with attribution; caching and terms are described in the API documentation.
Related comparisons
Hubs: NLY correlations · SPY correlations
