Correlation Analysis
JPMorgan Chase & Co. vs Annaly Capital Management. Inc.
JPM vs NLY
-0.259
Light inverse
When one moves up, the other tends to move down.
JPMorgan Chase & Co.
↗JPM
JPMorgan Chase is one of the largest and most complex financial institutions in the United States, with more than $4.4 trillion in assets. It is organized into four major segments: consumer and community banking, corporate and investment banking, commercial banking, and asset and wealth management. JPMorgan operates and is subject to regulation in multiple countries.
Market cap 792.5B
Annaly Capital Management. Inc.
↗NLY
Annaly Capital Management Inc is an American mortgage real estate investment trust. Its business objective is to generate net income for distribution to its stockholders and optimize its returns through prudent management of its diversified investment strategies. The company's reportable operating segments are: the Agency segment, which invests in Agency mortgage-backed securities collateralized by residential mortgages; the Residential Credit segment, which invests in non-Agency residential whole loans and securitized products within the residential and commercial markets; the Mortgage Servicing Rights segment; and Corporate & Other. Maximum revenue for the company is generated from its Agency segment.
Market cap 15.4B · 212 employees
Time Series
Relative Performance
Who Moves First
NLY leads JPM by 6 days
NLY tends to move before JPM.
After testing 13 timing shifts, the strongest relationship was -0.273 (they moved in opposite directions).
Do They Crash Together?
Correlation by Market Regime
How these series behave when markets are rising, falling, or diverging. A correlation that holds in drawdowns is very different from one that only works in rallies.
Both Rising
+0.074
16 periods · Return correlation when both series rose
Both Falling
-0.061
11 periods · Return correlation when both series fell
Diverging
-0.189
8 periods · Return correlation when series moved apart
R-Squared
6.7%
Share of variance in one series explained by the other.
Trend Agreement
66.1%
How often both series moved in the same direction period-to-period.
Overlap Quality
1,254
Deep shared window — 1,254 usable pairs.
Significance
p < 0.001
95% CI: [-0.310, -0.207]
Scatter
XY Regression
Pipeline
Data quality details
Pipeline
Data quality details
Pipeline Summary
1,254 paired data points survived the daily window.
Raw input
1,254
1,254
Normalized
1,254
1,254
Prepared
1,254
1,254
Aligned
1,254
1,254
Invalid removed
0
A: 0 / B: 0
Duplicates removed
0
A: 0 / B: 0
Alignment drops
0
A: 0 / B: 0
Series A
JPMorgan Chase & Co.
JPM
Market cap 792.5B
Stock · 1,254 raw → 1,254 prepared
Series B
Annaly Capital Management. Inc.
NLY
Market cap 15.4B · 212 employees
Stock · 1,254 raw → 1,254 prepared
Sign agreement
100.0%
How often both values share the same sign.
Zero crossings
3
Estimated crossover points between normalized spreads.
Slope
-0.0232
Linear regression slope.
Intercept
27.7116
Linear regression intercept.
Related Extremes
Highest and Lowest Correlated
JPM
JPMorgan Chase & Co.
Highest
+0.977
Royal Caribbean Group
RCL · 1,254 data points
Lowest
-0.873
The Kraft Heinz Company Common Stock
KHC · 1,254 data points
NLY
Annaly Capital Management. Inc.
Highest
+0.155
Johnson & Johnson
JNJ · 1,254 data points
Lowest
-0.808
Exxon Mobil Corporation
XOM · 1,254 data points
Saved 7 hours ago · ID: stock-jpm-vs-stock-nly-daily