_edited.png)
RISK CONCERN
Investment Strategy, Risk Analysis, and Insights by Chartered Professionals
Annaly Capital Management, Inc. (XNYS:NLY) In-Depth Stock/Fundamental/Options Analysis Today
Primary Facts
NLY
Name:
ANNALY CAPITAL MANAGEMENT, INC. (XNYS:NLY)
Sector:
1.60B
Industry:
REIT�Mortgage
CEO:
Mr. David Finkelstein
Total Employees:
171
Our Technological Advancement Rating
Our Rating:
A
Technological advancement compared to industry is 132.40% higher
ANALYSIS OF ALL CRITICAL FACTORS & RISKS RELATED TO THE STOCK & FUNDAMENTAL/LONG-TERM ANALYSIS OF ANNALY CAPITAL MANAGEMENT, INC.(NLY) AS PER DATA ANALYSIS OF LAST 3 YEARS AND COMPARISON WITH COMPETITORS/PEERS, AND REIT�MORTGAGE INDUSTRY. DATE: 07/09/2022
Primary Targets/Price Insights
Previous Close ($) :
6.38
One Month Price Target:
$6.42
Six Month Price Target :
$6.64
Likely Price in One Year's Time:
Ticker:
$6.9
Likely Trading Range Today Under (Normal Volatility)
$6.35
Price Upper limit ($) :
$6.41
Price Lower limit ($) :
Crash Risk Prep/Key Price Levels (High Volatility/Risk)
Price, as per data analysis, isn't likely to fall below:
Today:
$6.04
This week:
$5.61
This month :
$4.84
Other Primary facts
Market Cap:
11.33B
Market Cap Classification:
Mid Cap
Number of Shares
IPO Date:
1.74B
Best/Worst Daily Performance (Last 3+ Years)
Highest Daily Appreciation:
29.21%
-20.12%
Worst Daily Decline:
Our Options Trading Entry Points
Iron Condor entry points for options expiring in 1 week's time
Low risk (<2%) entry points
Buy Call:
Sell Call:
Buy Put:
Sell Put:
$7.98
$7.26
$4.78
$5.50
Medium risk (<10%) entry points
Buy Call
Sell Call
$7.02
Buy Put:
Sell Put:
$6.87
$5.74
$5.89
These entry points can be used for other strategies, such as butterflies, straddles, etc.
Risk-Adjusted returns (Sharpe Ratio) of
NLY
Sharpe Ratio:
-1.18%
Comparison:
NLY, is amongst the top 40% stocks with lowest risk-adjusted returns
Sharpe ratio is 130.92% higher than the industry
& is -151.78% lower than the market/S&P 500 average
Average Returns/Yield of
NLY
Daily returns:
-0.02%
Weekly returns:
-0.11%
Monthly returns:
-0.44%
Yearly returns:
-0.12%
Comparison of returns:
Average annual returns/yield (last 3 years) is 4385.91% above industry average
Classification:
NLY, is amongst the top 40% lowest yielding stocks in terms of daily returns
Results of T-Test of Returns:
0.51
Statistical test of Returns:
NLY has yielded returns statistically similar to the market
Volatility (measured by Standard Deviation)
Daily Volatility:
2.62%
Weekly Volatility:
5.85%
Monthly Volatility:
11.71%
Yearly Volatility:
40.55%
Volitlilty of last five days (Measured by Standard Deviation)
Average Volatility of this Week:
0.82%
Volatility in last five trading days has been -68.59% below long-term volatility
Value at Risk Analysis (VaR)
Daily VaR:
-5.40%
Weekly VaR:
-12.07%
Monthly VaR:
-24.14%
How Much Can the price of
NLY
Decline in a Recession?
Likely price decline in a recession:
Base case (decline):
-22%
Worst case (decline):
-83.62%
This translates to price declining to:
$5.00
This translates to price declining to:
$1.04
Severe Crash Probability
Risk of crash in next 6/12 months: Low (<25%)
What is Value at Risk (VaR)?
Risk Fundamentals
NLY is a 70.38% riskier investment compared to the market/S&P 500 & is 45.96% riskier than Nasdaq (IXIC)
Risk (measured by volatility) is -13.80% below industry average
Overall, it is amongst the top 50% most risky stocks
Beta Examination of
NLY
Beta in relation to market/S&P 500--1.21
Expected beta in 1 year's time:
0.994
Expected beta in 3 year's time:
1.406
Unlevered (debt free) Beta:
0.21
Beta in relation to Nasdaq (XNAS):
0.636
Beta in relation to all global stocks::
0.698
Beta Comparison & Analysis
Beta of competitors/peers::
0.929
Beta is 30.39% higher than peers
Average Industry Beta:
1.365
Beta is -11.24% below industry average
Sustainable Growth Rate Analysis
Sustainable growth rate for this stock/firm:
9.71%
Sustainable growth rate is 13.39% above industry average
Alpha provided | Alpha Analysis
Alpha provided:
-0.167
Alpha is 32.67% above industry average alpha yield
Alpha is -1065% below the market average
Analysis of Cost of Capital of
NLY
Equity cost of capital:
0.114
Equity cost of capital is -8.41% below industry mean WACC
Unlevered (without debt) cost of capital:
1.99%
Before-tax cost of debt:
-
After-tax cost of debt:
-
Overall debt rating:
-
Weighted average cost of capital (WACC):
-
-
Key Per-Share Metrics & Analysis
Revenue per share:
$1.65
Revenue growth rate per share of (3Y):
0.97
Annual revenue growth rate is -82.19% below industry average
EPS:
$1.74
Expected Annual growth rate of EPS (3Y):
0.00%
-
Free cash flow (FCF) per share:
$2.05
Balance sheet equity growth per share: -25.22%
Equity growth rate per share is 24.33% higher than the industry
Debt per share
$0.00
EBITDA per share
$1.70
Valuation Analysis Today of
NLY
P/E Ratio:
2.53
P/E Ratio of Competitors/Peers:
31.58
P/E ratio is -91.97% lower than main peers & is -72.65% lower than the industry
Stock price/value with industry average P/E ratio: $16.12
NLY is -60.43% undervalued if valued using industry average P/E ratio
Share value as per dividend discount (DDM) model: $30.69
Present value of the expected future dividends only: $6.87
P/S (Price to Sales ratio):
3.88
Price to sales ratio is -28.76% below the industry mean
P/B (Price to book value ratio):
0.97
Price to free cash flow: 3.12
Price to free cash flow ratio is -14.76% lower than the industry
Net income growth rate (3Y):
3622.25%
Net income growth rate is 357.70% higher than the average industry net income growth rate
Dividend Analysis
Dividend payout rate: 13.08%
Dividend yeild: 13.79%
Previous Dividend: $0.22
Previous adjusted dividend: $0.22
Previous Dividend: $0.88
Expected next dividend best case: $0.23
Expected next dividend worst case: $0.21
Average dividend payment (long-term): $0.23
Average dividend increase/decrease (growth rate) % per period: -1.20%
Expected next dividend payment date: 27/10/2022
Expected next dividend record date: 28/09/2022
-
Previous dividend payment date: 29/07/2022
Previous dividend record date: 30/06/2022
-
Dividend History:
2022-06-29--$0.22
2021-12-30--$0.22
2021-06-29--$0.22
2022-03-30--$0.22
2021-09-29--$0.22
2021-03-30--$0.22
Dividend growth rate is -71.45% lower than the industry average
In-depth Debt & Leverage Analysis
Debt to equity ratio:
481.75%
Net debt to equity ratio:
-8.36%
Debt to assets ratio:
82.81%
Net debt to assets ratio:
-1.25%
Debt-to-asset ratio is 974.40% above industry average
Ability to repay debt:
Interest coverage ratio:
11.93
Interest coverage ratio is 11601.68% more than industry average
Looking forward:
Debt growth rate:
1.02%
Annual debt growth is -234% lower than industry average debt growth rate
Debt repayment rate in last quarter: 100.00%
Analysis of Key Statistics
Correlation of price movement with the market:
0.56
Statistical significance of correlation:
NLY has a statistically significant correlation with the market
Average Correlation of the industry with the market:
0.543
Stock price is 2.99% more correlated with the market, compared to the industry average correlation
R Squared (percentage of price movement explained by movement of the market):
0.543
Correlation of price movement with Nasdaq (^IXIC):
0.024
Covariance of price movement with the market:
0.037
Kurtosis
34.618
Returns have severe fat-tails (leptokurtic), i.e., returns considerably higher or lower than the mean returns are considerably more likely, compared to assets with normally distributed returns
Skewness of returns:
0.955
Returns are right (positive) skewed; mean returns are greater than median and mode returns
Fundamental Analysis & Dupont Analysis of
NLY
Gross Profit Margin Ratio:
100%
Operating Profit Margin Ratio:
0.00%
-
Net Profit Margin Ratio:
100%
Effective Tax Rate:
1.17%
Effective tax rate is -77.50% lower than the industry
Dupont Method
Net Profit Margin
Return on Equity Ratio (ROE):
×
ROA
=
×
23.29%
Return on equity (ROE) is 91.04% higher than the industry
Financial Leverage
Asset Turnover Ratio (ROA):
3.49%
Return on assets (ROA) is -67.96% lower than the industry
Financial Leverage:
5.8x
Current Ratio:
0.05
Current ratio is -99.97% below industry average
Cash Conversion Cycle (days):
0
-
The remaining useful life of property plant & equipment is: 42.6 years
Stock based compensation to net income ratio:
-
In-depth Efficiency Analysis
Revenue generated per employee:
16.7M
Each employee generates 1179% more revenue than industry average revenue per employee
EBITDA generated per employee:
17.3M
Each employee generates -5% less EBITDA than industry average revenue per employee
Profit generated per employee:
15.6M
Each employee generates -8% less net income/profit than industry average revenue per employee
Free cash flow (FCF) generated per employee:
9.4M
Each employee generates 277% more free cash flow than industry average revenue per employee
Assets/Capital per employee
135.1K
Each employee generates 277% more free cash flow than industry average revenue per employee
Research & Development (R&D) Analysis
-
-
Competitors/Peer firms of
NLY
Verbund AG (XWBO:VER)
REXFORD INDUSTRIAL REALTY, INC (XNYS:REXR)
LIFE STORAGE, INC. (XNYS:LSI)
FEDERAL REALTY INVESTMENT TRUST (XNYS:FRT)
FRT-PC
JONES LANG LASALLE INCORPORATED (XNYS:JLL)
HOST HOTELS & RESORTS, INC. (XNAS:HST)
IRON MOUNTAIN INCORPORATED (XNYS:IRM)
MAA-PI
Current Analyst Ratings
Strong buy�0%
Buy�0%
Hold�25%
Sell�4%
Strong sell�4%
Overall analyst sentiment is: Hold
Income Statement
Period:
TTM
Date:
3/31/22
Revenue:
2.86B
Cost of Revenue:
Gross Profit:
R&D Expense
General & Admin Expenses:
Selling, General & Admin Expenses
Sales and Marketing Expenses
Other Expenses :
Operating Expenses :
Cost & Expenses :
Interest Income:
Interest Expenses:
Depreciation & Amortization:
EBITDA:
Operating Income:
Other Income Expenses:
Income Before Tax:
Income Tax Expense:
Net Income:
Balance Sheet
Date:
Calendar Year:
Period:
Cash & Cash Equivalents:
Short Term Investments:
Cash & Short Term Investments:
Net Receivables:
Inventory:
Other Current Assets:
Total Current Assets:
PP&E:
Goodwill:
Intangible Assets:
Long Term Investments:
Tax Assets:
Other Non-Current Assets:
Total Non-Current Assets:
Other Assets:
Total Assets:
Accounts Payable:
Short Term Debt:
Tax Payables:
Deferred Revenue:
Other Current Liabilities:
Total Current Liabilities:
Long Term Debt:
Other Non-Current Liabilities:
Total Non Current Liabilities:
Other Liabilities:
Total Liabilities:
Common Stock:
Retained Earnings:
Accumulated Other Comprehensive Loss:
Other Total Stockholders' Equity:
Total Stockholders' Equity:
Total Liabilities and Stockholders' Equity:
Total Investments:
Total Debt:
Net Debt:
-
455.88M
-
183.87M
183.87M
-
47.82M
67.56M
1.88B
248.19M
20.97M
2.96B
-
2.66B
2.70B
31.54M
2.66B
Statement of Cash Flow
Date:
Period:
4.75M
Differed Income Tax :
-
Stock Based Compensation :
-
Change in Working Capital :
710.25M
Accounts Receivables:
- 8069.00K
Other Working Capital:
-
Other Non-Cash Items:
- 709738.00K
Net Cash Provided by Operating Activities:
2.03B
Investments in PP&E:
-
Net Acquisitions:
-
Purchases of Investments:
- 5061300.00K
Sales/Maturities of Investments:
Other Investing Activities:
Net Cash Used for Investing Activities:
Debt Repayment:
Common Stock Issued:
Common Stock Repurchased:
Dividend Paid:
Other Financing Activities:
Net Cash Used Provided by Financing Activities:
Effect of FOREX on Changes in Cash:
Net Changes in Cash:
Cash at End of Period:
Cash at Beginning of Period:
Operating Cash Flow:
Capital Expenditure:
Free Cash Flow (FCF):
3/31/22
2022
Q1
955.84M
-
955.84M
1.06B
-
-
2.02B
-
-
-
-
-
-
23.11M
74.19B
76.19B
-
-
-
-
-
-
-
-
-
64.71B
64.71B
14.61M
- 7980407.00K
- 2465482.0K
21.86B
March 31, 2022 at 6:00:00 AM
-
11.43B
76.13B
-
-
- 955840.0K
5.44B
- 2010369.00K
- 1631144.00K
- 1304556.00K
6.10M
-
- 348080.00K
862.28M
- 784254.00K
-
- 386250.00K
955.84M
1.34B
2.03B
- 425925.00K
1.60B
Our Proprietary Portfolio Rating
Our Rating:
D
Price Forecast/Expected Price in Next 5 Years of
NLY
2023
2024
2025
2026
2027
$6.93
$20.71
$22.40
$24.22
$26.19