index pressure

I met a small time retail investor. Even smaller and less educated than myself (hard to imagine). He’s dead certain that commercial real estate is going down the tubes. He is short (with leverage) IYR, the commercial real estate ishare. He was so passionate about it that I looked at their largest holdings, one of which was NLY ,which happens to be my largest holding. I think NLY is cheap. Could it be cheap because of of pressure from the index, i.e. everybody shorting the index like crazy even though NLY doesn’t participate in commercial real estate at all? Afterall, consensus is that real estate is crap. NLY actually doesn’t hold real estate or even have much credit risk.