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NLY

Annaly Capital Management, Inc.
Chart
$21.22
Latest Week 2026-06-05
Real EstateReit - MortgageLARGE
Snapshot 2026-06-07 · 0.0w · Fresh
0.76
OS Score
75.0%
Value
23.0%
Quality
76.0%
Momentum
4/9
F-Score
0.415
QV
StrategiesValueQualityMomentumCompositeInteractionsFactor AnalysisTrendsFundamentals
Strategy Eligibility
4 of 23 passing
★
OS Composite
✗
↗
Trending Value
✗
◆
Quality × Value
✗
🏛
Cornerstone Value
✗
🌿
Cornerstone Growth
✗
💎
Deep Value
✗
◇
VC2 Cheapest
✗
📐
EBITDA/EV
✗
◐
Veiled Value
✗
▣
Piotroski Bargains
✗
🔬
Quality Compounders
✗
📈
Consistent Earners
✗
🌱
GARP
✗
🔄
Shareholder Yield
13.0%
💰
High Yield
✗
🚀
Momentum Leaders
12-1 36%
◉
Market Leaders
✗
◎
Tiny Titans
✗
🔍
Small Cap Value
✗
🛡
Low Volatility
Vol 18%
🏷
Sector Cheapest
✗
🧠
Capital Allocators
✗
⚡
Risk-Adj Momentum
RAM 1.98
V
Value Analysis
Cheapness relative to fundamentals
75.0%ile
P/E
7.0×
P/S
2.2×
P/B
0.9×
E/P
0.1422
FCF Yield
0.004
EBITDA/EV
0.055
SH Yield
0.130
Relative Strength Across Value Dimensions
Multiples & Yields — Decomposition
VC1 (5-Factor)
24.00000000
/100 — 1=cheapest
VC2 (Trending Value)
16.00000000
/100
VC3 (Buyback)
16.00000000
/100
P/E of 7.0x places this firmly in deep value territory.
Q
Quality Analysis
Profitability, efficiency, balance sheet & earnings quality
23.0%ile
ROE
0.134
ROA
0.016
Net Margin
0.320
Op Margin
1.052
GPA
0.049
D/E
7.51
Current
0.03
F-Score
4/9
Quality Radar — Relative Strength
Profitability & Leverage Breakdown
Rev Growth
0.080
Earn Growth
2.295
Stability
1.083
lower=better
Accruals
0.020
lower=better
5yr Consist
No
Highly leveraged with D/E of 7.51 — returns are being amplified by debt.
M
Momentum & Risk
Price trend, volatility regime, risk-adjusted returns
76.0%ile
6M Return
-1.1%
12M Return
27.3%
12-1 Mom
35.6%
Risk-Adj
1.98
Vol 252d
18.0%
Vol 60d
41.4%
↑ Expanding
Max DD 12M
-14.9%
Return Comparison — 6M / 12M / 12-1
Volatility Regime — 60d vs 252d
12-1 momentum of 36% is very strong — a clear uptrend. Risk-adjusted momentum of 1.98 is excellent — strong returns relative to volatility. Near-term vol (41%) is expanding vs long-term (18%) — risk is increasing.
OS
Composite & Factor Heatmap
All factors at a glance
0.76
Pillar Balance — Value / Quality / Momentum
Factor Heatmap — green=strong, red=weak
▦
Sector Context
Real Estate · 252 peers
Sector Value %ile
82.6%
Sector Quality %ile
34.4%
P/E z-score
-0.28
P/B z-score
-0.16
Sector Avg OS
40.5%
Ticker vs Sector Averages
Relative Valuation Z-Score
Top Sector Peers (By OS)
SymbolNameOSValueQualityMomentum
RMR RMR Group Inc 97.0% 91.0% 85.0% 83.0%
IHS IHS Holding Ltd 97.0% 87.0% 92.0% 84.0%
AXR AMREP Corporation 96.0% 92.0% 84.0% 71.0%
CBL CBL & Associates Properties Inc 96.0% 82.0% 88.0% 92.0%
HST Host Hotels & Resorts Inc 92.0% 68.0% 89.0% 87.0%
UNIT Uniti Group Inc 92.0% 79.0% 66.0% 87.0%
JLL Jones Lang LaSalle Incorporated 91.0% 71.0% 85.0% 78.0%
VTMX Corporación Inmobiliaria Vesta, S.A.B de C.V. 91.0% 78.0% 79.0% 74.0%
Factor Interactions
Trending Value Signal
Cheap (75th value) with strong momentum (76th). The market is starting to recognise the value.
Cheap for a Reason?
Looks cheap (75th value) but weak quality (23th). Classic value trap risk.
Volatility Expanding
60-day vol (41%) significantly exceeds 252-day (18%). Near-term risk is elevated.
⚖
Factor Analysis
Comprehensive factor intelligence — strengths, weaknesses & cross-factor profile
Value
B
73.6% avg (7 factors)
Quality
D
38.5% avg (8 factors)
Momentum
B
63.8% avg (4 factors)
Risk
A
86.7% avg (1 factors)
Deep value territory, but quality is concerning. This is either a turnaround opportunity or a value trap — the F-Score and accruals ratio will be key differentiators.
▲ Top Strengths — highest scoring factors
▼ Key Weaknesses — lowest scoring factors
Factor Persistence1 snapshots
FactorCurrentStreakTrendSpark
OS Composite0.760—1—
Value %ile0.750—1—
Quality %ile0.230—1—
Momentum %ile0.760—1—
F-Score4.000—1—
Confidence0.970—1—
Volatility0.180—1—
Value FactorsCheapness relative to fundamentals — lower multiples = cheaper
P/E Ratio
7.03
Earnings Yield (E/P)
0.1422
Price / Sales
2.25
Price / Book
0.94
FCF Yield
0.4%
EBITDA / EV
5.5%
Sales Yield (1/P·S)
0.0519
Shareholder Yield
Div + net buyback / mktcap
13.0%
Quality FactorsProfitability, efficiency, and balance sheet strength
Return on Equity
13.4%
Return on Assets
1.6%
Net Margin
32.0%
Operating Margin
105.2%
Gross Profit / Assets
Novy-Marx GPA
4.9%
Debt / Equity
7.51
Current Ratio
0.03
Accruals Ratio
(NI-OCF)/Assets — lower=better
0.020
MomentumPrice trend strength over different horizons
6M Return
-1.1%
12M Return
27.3%
12-1 Momentum
Jegadeesh-Titman (skip recent month)
35.6%
Risk-Adjusted Momentum
Mom 12-1 ÷ Vol
1.98
Growth & StabilityEarnings trajectory, consistency, and capital allocation
Revenue Growth (YoY)
8.0%
Earnings Growth (YoY)
229.5%
Earnings Stability (CV)
Lower = more stable
1.083
5yr Consistent
EPS up every year for 5 years
No
Piotroski F-Score
4
Dividend Yield
13.0%
Buyback Yield
0.0%
O'Shaughnessy CompositesValue Composites (WWOWS 4th Ed) — 1=cheapest, 100=most expensive
VC1 (5-factor)
P/E+P/S+P/B+P/CF+EBITDA/EV
24
VC2 (6-factor)
VC1 + Shareholder Yield — used for Trending Value
16
VC3 (6-factor)
VC1 + Buyback Yield — no dividend preference
16
Capital Allocation & AlphaAlpha within factors — quality of management decisions
Veiled Value
Expensive by P/B, cheap by everything else
No
Market Leader
Above-avg mcap+revenue, non-utility
No
All Stocks Universe
Market cap > $200M
Yes
Tiny Titan
Micro-cap, low P/S, positive momentum
No
Quarterly Fundamentals
Revenue
Net Income
FCF
Net Margin
Show all
Op Income
OCF
CapEx
Equity
Annual Fundamentals
Revenue
Net Income
FCF
Net Margin
Show all
Op Income
OCF
CapEx
Equity