Annaly Capital Management, Inc. (NLY)
Dividend Opportunity — Ex-Date Wednesday, December 31, 2025
Ex-date passed
Ex-Date
Dec 31, 2025
Dividend
$0.7000
Forward Yield
12.18%
Payment Date
Jan 30, 2026
Opportunity Scores
Tier 3Medium Confidence
Capture Score
53Long-Term Score
15Quality
15Opportunity Rank
64Capture Playbook
Strategy for dividend capture trade
Only -107 days until ex-date
Trade Timeline
Entry
Wed, Dec 24
If trading, enter gradually 7 days before the 2025-12-31 ex-dividend date, monitoring for price weakness rather than chasing short-term strength.
Ex-Date
Wed, Dec 31
Dividend locked in
Exit
Thu, Jan 1
Plan to exit the full position 1 trading day after the ex-dividend date unless price action is unusually favorable; do not hold purely for recovery given the weak statistics.
Expected Return
-1.43%
Historical Win Rate
29%
Risk Factors
- •Historical performance of the recommended Quick Capture strategy is poor, with an average return of -1.43% and only a 28.9% win rate (Buy 7d / Sell 1d, n=114).
- •All tested scenarios show negative average returns, from -1.44% (Buy 14d / Sell 7d) to -2.65% (Buy 1d / Sell 7d), indicating systematic difficulty capturing the dividend profitably.
- •High volatility (14-day ATR of 2.20% on a $23.07 stock) means day-to-day swings can easily overwhelm the $0.70 dividend amount.
- •Despite strong gap-fill rates (89.5% over 7 and 14 days), the average recovery period of 63.5 days is far longer than a ‘quick capture’ horizon, tying up capital and adding mark-to-market risk.
- •Medium overall confidence level and only a 53/100 Capture Score signal that historical behavior is inconsistent and not reliably exploitable for short-term capture.
- •Momentum slopes are mildly positive (0.1354%/day over 5d, 0.0950%/day over 20d), but too small to offset the negative average capture returns and high volatility.
Action Checklist
- 1.Decide if NLY fits your risk profile as a speculative income/mREIT play rather than a core dividend holding.
- 2.If considering long-term income, compare NLY’s 15/100 Quality and Long-Term Scores against higher-quality alternatives with safer yields.
- 3.If considering a capture trade, size positions small relative to portfolio due to negative average returns and low win rates.
- 4.Time any speculative capture entry around 7 days before ex-dividend, but only if price action is favorable and spreads are reasonable.
- 5.Set a predefined exit 1 day after ex-dividend for the capture trade and avoid extending the holding period hoping for recovery.
- 6.Use stop-loss or max drawdown rules, given 2.20% ATR volatility that can quickly erase dividend gains.
- 7.Monitor interest rate news and sector sentiment (mREITs) as macro shifts can materially move NLY around the ex-date.
- 8.Review post-trade performance against the historical averages to decide if NLY should remain in your capture universe.
Scenario Analysis
| Strategy | Avg Return | Win Rate | Historical Events |
|---|---|---|---|
Buy 14D, Sell 7D After Buy 14 days before ex-date, sell 7 days after | -1.44% | 46% | 114 ex-dates |
Quick CaptureBest Buy 7 days before ex-date, sell 1 day after | -1.43% | 29% | 114 ex-dates |
14-Day Hold Buy 1 day before ex-date, sell 14 days after | -2.13% | 26% | 114 ex-dates |
Same-Day Buy 1 day before ex-date, sell 1 day after | -2.06% | 20% | 114 ex-dates |
Classic Capture Buy 1 day before ex-date, sell 7 days after | -2.65% | 18% | 114 ex-dates |
* Returns include dividend capture yield plus price change. Past performance does not guarantee future results.
Analysis Summary
NLY offers a very high 12.13% forward yield, but its low Quality Score (15/100) and Long-Term Score (15/100) make it unsuitable as a core dividend holding. For short-term dividend capture, every tested strategy shows negative average returns and low win rates, with high volatility and slow recovery, so any trade here should be treated as speculative and tightly risk-managed.
Historical Capture Performance
Based on past dividend events for NLY
Avg Capture Yield
1.02%
Avg Recovery Days
63.5
7-Day Gap Fill
89%
14-Day Gap Fill
89%
This analysis is for informational purposes only and is not financial advice. Past performance does not guarantee future results. Always conduct your own research before making investment decisions.