The Annaly Capital Management (NLY -2.87%) that dividend investors knew and loved over the past decade is no more. In its place is an increasingly nontransparent and risky investment vehicle that's putting shareholders' capital at risk.

The issue stems from Annaly's decision to diversify into riskier asset classes. Previously, the high-yielding mortgage REIT confined itself to agency mortgage-backed securities, which carry effectively zero credit risk (that is, assuming the federal government itself doesn't default). Since the beginning of last year, however, it's begun supplementing its agency MBS holdings with commercial real estate and related assets.

Annaly got the ball rolling with its 2013 acquisition of CreXus, a commercial REIT that Annaly had previously managed. And it's now doubling down on the strategic direction. According to a press release issued last week, earlier this month, it "commenced an initiative [with The Inland Real Estate Group of Companies] to acquire net leased commercial real estate assets across a wide array of markets and industries, including industrial, office, retail and restaurant properties."

What should shareholders take away from this? Motley Fool contributor John Maxfield explains in the video below.