Chimera Investment Correlations

CIM-PC Preferred Stock

USD 24.04 0.16 0.66%

The current 90-days correlation between Chimera Investment and Chimera Investment is 0.1 (i.e., Average 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

Modest diversification

The correlation between Chimera Investment and DJI is 0.2 (i.e., Modest 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

0.71	MITT-PB	AG Mortgage Investment	Pair Corr
0.84	MITT-PC	AG Mortgage Investment	Pair Corr
0.69	NREF-PA	NexPoint Real Estate	Pair Corr
0.79	LFT-PA	Lument Finance Trust	Pair Corr
0.65	ACR-PD	ACRES Commercial Realty	Pair Corr
0.91	ACR-PC	ACRES Commercial Realty	Pair Corr
0.86	GPMT	Granite Point Mortgage	Pair Corr
0.7	TRTX-PC	TPG RE Finance Potential Growth	Pair Corr
0.77	GPMT-PA	Granite Point Mortgage	Pair Corr
0.72	NLY-PI	Annaly Capital Management	Pair Corr
0.83	NLY-PF	Annaly Capital Management	Pair Corr
0.72	NLY-PG	Annaly Capital Management	Pair Corr
0.74	IVR-PB	Invesco Mortgage Capital	Pair Corr
0.83	ABR-PF	Arbor Realty Trust	Pair Corr
0.92	RITM-PC	Rithm Capital Corp	Pair Corr
0.84	RITM-PD	Rithm Capital Corp	Pair Corr
0.85	RITM-PA	Rithm Capital Corp	Pair Corr
0.87	RITM-PB	Rithm Capital Corp	Pair Corr
0.87	NYMTL	New York Mortgage	Pair Corr
0.88	NYMTM	New York Mortgage	Pair Corr
0.64	ARR-PC	ARMOUR Residential REIT	Pair Corr

Moving against Chimera Preferred Stock

0.62	ECRO	Ecc Cap Corp	Pair Corr
0.45	MITT	AG Mortgage Investment	Pair Corr
0.39	IVR-PC	Invesco Mortgage Capital	Pair Corr
0.68	MRTI	Maxus Realty Trust	Pair Corr
0.58	NYMT	New York Mortgage	Pair Corr

Related Correlations Analysis

	CIM-PA	PMT-PB	PMT-PA	TWO-PB	CIM-PD	TWO-PA	PMT-PC	TWO-PC	IVR-PB	MFA-PB
CIM-PA		0.83	0.75	0.76	0.35	0.86	0.85	0.76	0.26	0.84	CIM-PA
PMT-PB	0.83		0.87	0.86	0.26	0.88	0.91	0.7	0.08	0.78	PMT-PB
PMT-PA	0.75	0.87		0.73	0.37	0.85	0.75	0.76	0.19	0.67	PMT-PA
TWO-PB	0.76	0.86	0.73		0.21	0.88	0.79	0.57	0.05	0.74	TWO-PB
CIM-PD	0.35	0.26	0.37	0.21		0.45	0.21	0.74	0.72	-0.05	CIM-PD
TWO-PA	0.86	0.88	0.85	0.88	0.45		0.8	0.82	0.26	0.73	TWO-PA
PMT-PC	0.85	0.91	0.75	0.79	0.21	0.8		0.66	0.17	0.83	PMT-PC
TWO-PC	0.76	0.7	0.76	0.57	0.74	0.82	0.66		0.56	0.51	TWO-PC
IVR-PB	0.26	0.08	0.19	0.05	0.72	0.26	0.17	0.56		0.06	IVR-PB
MFA-PB	0.84	0.78	0.67	0.74	-0.05	0.73	0.83	0.51	0.06		MFA-PB
	CIM-PA	PMT-PB	PMT-PA	TWO-PB	CIM-PD	TWO-PA	PMT-PC	TWO-PC	IVR-PB	MFA-PB

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

PMT-PC	+ 0.91	PMT-PB
TWO-PA	+ 0.88	PMT-PB
TWO-PA	+ 0.88	TWO-PB
PMT-PA	+ 0.87	PMT-PB
TWO-PA	+ 0.86	CIM-PA
TWO-PB	+ 0.86	PMT-PB

High negative correlations

MFA-PB

- 0.05

CIM-PD

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-PA	0.55	0.07	(0.06)	4.77	0.65	(0.63)	1.14	(1.16)	4.52
PMT-PB	0.30	0.02	(0.24)	0.80	0.36	(0.31)	0.74	(0.68)	2.19
PMT-PA	0.46	0.02	(0.16)	0.87	0.53	(0.56)	1.31	(0.77)	3.79
TWO-PB	0.46	0.01	(0.20)	(0.31)	0.54	(0.50)	1.01	(0.72)	3.31
CIM-PD	0.26	0.02	(0.25)	6.56	0.30	(0.27)	0.57	(0.57)	1.56
TWO-PA	0.39	0.03	(0.18)	(0.79)	0.42	(0.45)	0.89	(0.69)	2.69
PMT-PC	0.61	0.03	(0.07)	0.27	0.74	(0.64)	1.28	(1.44)	3.68
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
MFA-PB	0.60	0.07	(0.06)	1.23	0.53	(0.67)	1.40	(0.98)	3.29

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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Chimera Investment Corporate Management

Dan Thakkar	CoChief Officer	Profile
Subramaniam Viswanathan	Chief Officer	Profile
Emily Mohr	Investor Officer	Profile
Kelley Kortman	Chief Officer	Profile
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