NLY vs VXX: Correlation
Measured on weekly returns over the past three years, Annaly Capital Management Inc. (NLY) and iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) carry a correlation of -0.49, a negative link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are NLY and VXX?
Across a 3-year window, the weekly returns of NLY and VXX correlate at -0.49, negative, meaning they tend to move in opposite directions. Recent behaviour matches the longer record: -0.41 over 1 year against -0.49 over 3. Stretching to 5 years gives -0.46, with an annualized covariance of -690.4 %².
Among the 26 assets we track against NLY, VXX sits near the bottom by co-movement, at rank #25. Correlation aside, the last 12 months split them widely, with NLY ahead by 75.1 points (+25.4% versus -49.7%). Note the risk asymmetry: VXX runs 2.7 times the annualized volatility of the other leg, so equal-weighting the two is not an equal-risk position.
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 VXX: side by side
| NLY (Annaly Capital Management Inc.) | VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) | |
|---|---|---|
| 1-year return | +25.4% | -49.7% |
| 5-year return | +30.4% | -95.6% |
| Volatility (ann.) | 22.9% | 60.9% |
| Beta vs S&P 500 | 0.81 | -3.31 |
| Max drawdown (3Y) | -26.3% | -83.3% |
| Market cap | $17.4B | – |
| P/E (trailing) | 5.6 | – |
| Dividend yield | 12.47% | 0.00% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | NLY | VXX |
|---|---|---|
| 2022 | -21.4% | -23.8% |
| 2023 | +4.9% | -72.5% |
| 2024 | +8.1% | -26.2% |
| 2025 | +40.0% | -42.2% |
| 2026 | +10.2% | -31.6% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are NLY and VXX good diversifiers for each other?
By historical standards, yes. A correlation of -0.49 means the two rarely move for the same reasons.
FAQ
What is the correlation between NLY and VXX?
Using weekly returns as of 2026-08-27: -0.49 over 3 years, with -0.41 over the last year and -0.46 over 5 years.
Is VXX a good diversifier for NLY?
By historical standards, yes. A correlation of -0.49 means the two rarely move for the same reasons.
What does a correlation of -0.49 mean?
On the −1 to +1 scale, -0.49 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-vxx.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/nly-vs-vxx/)
Free with attribution; caching and terms are described in the API documentation.
Related comparisons
Hubs: NLY correlations · VXX correlations
