Annaly Capital could help build a million-dollar nest egg, but only if you understand what management is trying to achieve.Investors should exercise caution when considering Annaly Capital (NLY +0.80%) and its huge 12.5% yield. This is because too much of a good thing can sometimes turn out to be a bad thing. Here's how Annaly Capital could help you build a million-dollar portfolio -- and why a huge dividend yield doesn't make this mortgage real estate investment trust (REIT) a reliable dividend stock.What ...