I don't want an easy business for competitors. I want a business with a moat around it. I want a very valuable castle in the middle and then I want a duke who is in charge of that castle to be very honest and hardworking and able.

-- Warren Buffett

If Warren Buffett would buy a stock, you should take note. And the same can be said of a stock that he most certainly wouldn't buy.

Take Annaly Capital Management (NLY -0.35%), one of the biggest and most popular mortgage real estate investment trusts, as an example. It pays a generous 11% dividend and is widely considered to be among the best in its class -- though, I would certainly question whether the latter is true. Annaly has been a huge winner for investors over the course of its existence, but the future may not be as bright.

There's simply no way that the Oracle of Omaha would even remotely consider buying its stock for either himself or Berkshire Hathaway (BRK.A -1.63%) (BRK.B -1.66%).The reason is simple. As Motley Fool contributor John Maxfield explains below, Annaly has absolutely no competitive moat to protect its bottom line.