Chimera Investment Corporation

10-Year Study

CIM.US · Real Estate · US · Common Stock

Executive Summary: Chimera Investment Corporation has compounded at -1.0% annually over the last 10 years, with a maximum drawdown of 68.6% and an annualized volatility of 38.2%.

1Y CAGR
+11.2%
3Y CAGR
+7.9%
5Y CAGR
-11.6%
10Y CAGR
-1.0%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
68.6%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.08
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.09
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
35.6%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +60.7%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -57.9%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
70%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
2026-0.610.2-7.86.5————————7.5%
20256.4-4.4-7.2-3.86.88.1-3.66.0-4.1-3.50.20.1-0.6%
2024-3.8-9.25.7-8.4-3.710.614.16.04.7-4.6-1.7-3.13.6%
202332.5-11.0-9.40.7-15.123.58.8-3.7-6.7-12.18.5-2.22.9%
2022-3.8-16.11.6-16.8-2.2-6.618.7-18.8-36.229.31.5-16.4-57.9%
2021-1.514.312.73.57.58.9-2.34.1-0.95.11.9-3.160.7%
20203.1-7.3-51.7-14.66.919.0-6.5-1.1-4.51.822.92.8-43.0%
20196.8-2.84.02.3-4.96.22.2-1.15.23.60.53.427.7%
2018-8.1-1.46.90.55.32.04.5-2.50.02.63.2-4.67.7%
20173.69.17.50.9-8.62.81.01.31.8-3.30.03.720.4%
2016———4.55.68.16.9-1.7-0.4-1.88.23.337.0%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 38.2%. The dominant macroeconomic risk driver is LQD.US, accounting for 22.3% of variance. Idiosyncratic stock-specific factors contribute 24.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110448.87836267763
2016-05-0111030.178449072006
2016-06-0111919.817082253403
2016-07-0112739.818869723238
2016-08-0112519.587690291059
2016-09-0112468.868233681891
2016-10-0112249.977656627045
2016-11-0113258.483033932136
2016-12-0113695.072541484196
2017-01-0114185.95644531832
2017-02-0115481.425209282927
2017-03-0116645.514940268717
2017-04-0116794.02389251348
2017-05-0115342.300473679505
2017-06-0115773.527571722225
2017-07-0115934.399857002412
2017-08-0116146.066076801619
2017-09-0116435.85962403551
2017-10-0115897.235379986294
2017-11-0115897.235379986294
2017-12-0116482.855185152082
2018-01-0115153.871361754105
2018-02-0114948.759198021868
2018-03-0115980.948550659874
2018-04-0116054.383769773885
2018-05-0116898.88878958501
2018-06-0117242.827777281258
2018-07-0118016.280871093633
2018-08-0117572.913873745045
2018-09-0117575.29716686031
2018-10-0118030.878541424616
2018-11-0118602.868889087495
2018-12-0117753.59728304585
2019-01-0118959.02225399946
2019-02-0118421.068311138915
2019-03-0119164.283373551407
2019-04-0119604.0754312271
2019-05-0118652.99252241785
2019-06-0119814.624482378527
2019-07-0120245.10680132273
2019-08-0120024.652188160995
2019-09-0121056.022283790626
2019-10-0121809.515297762686
2019-11-0121927.935174427264
2019-12-0122662.734233026484
2020-01-0123368.18899514404
2020-02-0121659.665743140587
2020-03-0110469.881133255876
2020-04-018939.65799743796
2020-05-019560.952721422826
2020-06-0111375.234605416033
2020-07-0110641.403759644889
2020-08-0110522.983882980308
2020-09-0110050.421544969764
2020-10-0110234.307504394197
2020-11-0112575.29716686031
2020-12-0112924.747519885603
2021-01-0112735.648106771534
2021-02-0114551.41954896178
2021-03-0116398.769624929246
2021-04-0116966.88712127983
2021-05-0118245.22596597849
2021-06-0119871.60008341526
2021-07-0119423.019632377036
2021-08-0120214.645336193287
2021-09-0120026.43965799744
2021-10-0121051.404653379806
2021-11-0121442.488158012333
2021-12-0120774.421306640448
2022-01-0119975.422289748858
2022-02-0116765.57333095004
2022-03-0117031.087079572197
2022-04-0114173.7420681026
2022-05-0113862.49888283135
2022-06-0112943.590431078143
2022-07-0115365.016236184345
2022-08-0112474.007209461673
2022-09-017961.167217803199
2022-10-0110294.634611374267
2022-11-0110447.165370751034
2022-12-018735.811958173206
2023-01-0111578.931688861083
2023-02-0110308.264068877172
2023-03-019334.167485923674
2023-04-019400.378347782047
2023-05-017977.105490511513
2023-06-019850.89522447642
2023-07-0110721.616468555427
2023-08-0110328.894449906156
2023-09-019635.28167545506
2023-10-018470.521643280603
2023-11-019194.074537492179
2023-12-018993.207614621502
2024-01-018650.758185122293
2024-02-017857.79187892871
2024-03-018308.383233532935
2024-04-017613.876724163614
2024-05-017330.56275508684
2024-06-018104.16480471892
2024-07-019250.081925700837
2024-08-019800.92054696577
2024-09-0110256.948788989186
2024-10-019783.939583519528
2024-11-019615.470551434446
2024-12-019318.005779485806
2025-01-019910.328596538267
2025-02-019471.057884231537
2025-03-018787.49962761045
2025-04-018451.902165817619
2025-05-019027.169541513986
2025-06-019756.531712694014
2025-07-019404.847022373166
2025-08-019967.602109214407
2025-09-019561.399588881937
2025-10-019228.70676557333
2025-11-019250.379837340244
2025-12-019257.604194595882
2026-01-019198.021866714333
2026-02-0110136.443530848748
2026-03-019346.97768641821
2026-04-019950.248756218905
Annual Return Matrix
YearAnnual Return
20170.2035609986893696
20180.07709478021978011
20190.2765150561722336
2020-0.42969160795036276
20210.6073367216402172
2022-0.5794919228204521
20230.02946442273262062
20240.036115942028985604
2025-0.006482243767534479
20260.074818986323411
Total Factor Risk
0.38246219661783537
VTI.US Exposure
-0.013162269048676959
VEA.US Exposure
0.05505169617354963
VWO.US Exposure
0.010752713264161346
QQQ.US Exposure
0.20521536144692648
VTV.US Exposure
0.1860446041897637
IJR.US Exposure
0.04505589300842152
QUAL.US Exposure
-0.20741646803344163
SHV.US Exposure
0.06975528804554118
TLT.US Exposure
-0.07609015457909644
LQD.US Exposure
0.22282068139910943
HYG.US Exposure
-0.0015535772433087022
GLD.US Exposure
-0.010824838374794945
USO.US Exposure
-0.00009046510682373825
VNQ.US Exposure
0.16235834167432342
BTC-USD.CC Exposure
-0.002889810492395634
CPER.US Exposure
0.01225099903075055
VIX.INDX Exposure
-0.03128857818817101
UUP.US Exposure
-0.006845783939422819
TIP.US Exposure
0.140586845178354
Idiosyncratic Exposure
0.24026952159523055
Value Score
47
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
100
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
38.2%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →7.6x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →11.53%
Market Cap$1.1B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$335
Avg Yield on Cost
3.35%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$335.153.35%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+1.6%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+3.9%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
5.1% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.83
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Chimera Investment Corporation a high-risk investment?

Chimera Investment Corporation (CIM.US) has an annualized volatility of 38.2% and experienced a maximum drawdown of 68.6% over the last 10 years. Its primary macro risk driver is LQD.US.

What is the 10-year return of CIM.US?

Over the past 10 years, CIM.US has generated a Compound Annual Growth Rate (CAGR) of -1.0%. It has had a positive return in 70% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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