Chimera Investment Correlations

CIM-PA Preferred Stock

USD 23.60 0.20 0.85%

The current 90-days correlation between Chimera Investment and Chimera Investment is 0.29 (i.e., Modest diversification). The correlation of Chimera Investment is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

Chimera Investment Correlation With Market

Significant diversification

The correlation between Chimera Investment and DJI is 0.02 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Chimera Investment and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Chimera Investment could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Chimera Investment when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Chimera Investment - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Chimera Investment to buy it.

Moving together with Chimera Preferred Stock

0.91	MITT-PA	AG Mortgage Investment	Pair Corr
0.88	MITT-PB	AG Mortgage Investment	Pair Corr
0.68	MITT-PC	AG Mortgage Investment	Pair Corr
0.79	NREF-PA	NexPoint Real Estate	Pair Corr
0.74	LFT-PA	Lument Finance Trust	Pair Corr
0.66	ACR-PC	ACRES Commercial Realty	Pair Corr
0.88	TRTX-PC	TPG RE Finance Potential Growth	Pair Corr
0.75	GPMT-PA	Granite Point Mortgage	Pair Corr
0.63	RC-PC	Ready Capital	Pair Corr
0.9	RC-PE	Ready Capital	Pair Corr
0.91	ABR-PE	Arbor Realty Trust	Pair Corr
0.87	ABR-PD	Arbor Realty Trust	Pair Corr
0.75	RITM-PD	Rithm Capital Corp	Pair Corr
0.62	RITM-PB	Rithm Capital Corp	Pair Corr
0.89	NYMTZ	New York Mortgage	Pair Corr
0.9	NYMTN	New York Mortgage	Pair Corr
0.79	ARR-PC	ARMOUR Residential REIT	Pair Corr
0.75	CHMI-PA	Cherry Hill Mortgage	Pair Corr
0.76	CHMI-PB	Cherry Hill Mortgage	Pair Corr
0.76	TWO-PC	Two Harbors Investment	Pair Corr
0.76	TWO-PB	Two Harbors Investment	Pair Corr
0.86	TWO-PA	Two Harbors Investment	Pair Corr
0.84	MFA-PB	MFA Financial	Pair Corr

Moving against Chimera Preferred Stock

0.6	MRTI	Maxus Realty Trust	Pair Corr
0.4	ECRO	Ecc Cap Corp	Pair Corr
0.63	EXETF	Extendicare	Pair Corr

Related Correlations Analysis

	CIM-PD	PMT-PB	TWO-PB	CIM-PB	CIM-PC	PMT-PA	PMT-PC	MITT-PB	TWO-PC	IVR-PB
CIM-PD		0.26	0.21	0.93	0.83	0.37	0.21	0.54	0.74	0.72	CIM-PD
PMT-PB	0.26		0.86	0.48	0.35	0.87	0.91	0.83	0.7	0.08	PMT-PB
TWO-PB	0.21	0.86		0.43	0.2	0.73	0.79	0.67	0.57	0.05	TWO-PB
CIM-PB	0.93	0.48	0.43		0.84	0.54	0.43	0.72	0.88	0.65	CIM-PB
CIM-PC	0.83	0.35	0.2	0.84		0.51	0.34	0.71	0.83	0.74	CIM-PC
PMT-PA	0.37	0.87	0.73	0.54	0.51		0.75	0.84	0.76	0.19	PMT-PA
PMT-PC	0.21	0.91	0.79	0.43	0.34	0.75		0.79	0.66	0.17	PMT-PC
MITT-PB	0.54	0.83	0.67	0.72	0.71	0.84	0.79		0.9	0.35	MITT-PB
TWO-PC	0.74	0.7	0.57	0.88	0.83	0.76	0.66	0.9		0.56	TWO-PC
IVR-PB	0.72	0.08	0.05	0.65	0.74	0.19	0.17	0.35	0.56		IVR-PB
	CIM-PD	PMT-PB	TWO-PB	CIM-PB	CIM-PC	PMT-PA	PMT-PC	MITT-PB	TWO-PC	IVR-PB

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Risk-Adjusted Indicators

There is a big difference between Chimera Preferred Stock performing well and Chimera Investment Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Chimera Investment's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
CIM-PD	0.26	0.02	(0.25)	6.56	0.30	(0.27)	0.57	(0.57)	1.56
PMT-PB	0.30	0.02	(0.24)	0.80	0.36	(0.31)	0.74	(0.68)	2.19
TWO-PB	0.46	0.01	(0.20)	(0.31)	0.54	(0.50)	1.01	(0.72)	3.31
CIM-PB	0.27	0.04	(0.24)	(0.44)	0.23	(0.31)	0.59	(0.56)	1.65
CIM-PC	0.52	0.09	(0.01)	0.63	0.51	(0.56)	1.13	(0.97)	3.71
PMT-PA	0.46	0.02	(0.16)	0.87	0.53	(0.56)	1.31	(0.77)	3.79
PMT-PC	0.61	0.03	(0.07)	0.27	0.74	(0.64)	1.28	(1.44)	3.68
MITT-PB	0.70	0.15	0.03	4.05	0.78	(0.75)	1.70	(1.52)	4.86
TWO-PC	0.32	0.04	(0.18)	0.49	0.17	(0.40)	0.62	(0.58)	2.33
IVR-PB	0.49	0.02	(0.13)	0.32	0.55	(0.56)	1.50	(1.00)	4.56

Be your own money manager

Our tools can tell you how much better you can do entering a position in Chimera Investment without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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Dan Thakkar	CoChief Officer	Profile
Subramaniam Viswanathan	Chief Officer	Profile
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