Statistically a number of studies have shown this to be a true for the majority of quick buck folks. There are a few who do all right--but you have to time both the down and up, and then you have the friction of commission and taxes if you should win occassinally --all lowering final return if there is any at all.
The big successes, be it Buffet or Miller of Value Trust--buy and hold something that makes sense.
Does NLY make sense? It all depends on how your investment strategy. I have it in my IRA, so I collect the divy tax deferred and drip (and this is partiucarly important since NLY is not 15% dividend qualified.) Since retirement is about ten years away, I just keep acucumulating. Yes the dividend might go down--but then so does the price and the number of shares keep accumulating. At sometime in the future--over 5 years from now and up to ten years the time will be right on an upswing to sell the accumulated shares that just keep dripping away.
For those who are looking for the quick kill--bon chance--statistically, more often than not you are the one who gets run over. For those of us who are buying in tax deferred accounts and dripping---well, we will need a lot less luck.