CIM vs. TWO
CIM (Chimera Investment Corporation) and TWO (Two Harbors Investment Corp.) are both stocks. Both operate in the REIT - Mortgage industry within the Real Estate sector. Over the past 10 years, CIM returned -0.98%/yr vs -3.31%/yr for TWO. Their 0.63 correlation means they have sometimes moved together and sometimes differently.
Performance
CIM vs. TWO - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with CIM having a 26.08% return and TWO slightly higher at 27.20%. Over the past 10 years, CIM has outperformed TWO with an annualized return of -0.98%, while TWO has yielded a comparatively lower -3.31% annualized return.
CIM
- 1D
- 0.32%
- 1M
- 11.41%
- 6M
- 26.18%
- YTD
- 26.08%
- 1Y
- 21.38%
- 3Y*
- 4.33%
- 5Y*
- -10.02%
- 10Y*
- -0.98%
- ALL TIME*
- -1.56%
TWO
- 1D
- 0.17%
- 1M
- 1.02%
- 6M
- 9.46%
- YTD
- 27.20%
- 1Y
- 38.50%
- 3Y*
- 10.47%
- 5Y*
- -0.87%
- 10Y*
- -3.31%
- ALL TIME*
- 2.89%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $7.99M | $7.85M | $8.99M | |
| $49.87M | $31.69M | $27.76M |
CIM vs. TWO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CIM Chimera Investment Corporation | 26.08% | -0.65% | 3.61% | 2.95% | -57.95% | 60.73% | -42.97% | 27.65% | 7.71% | 17.30% |
TWO Two Harbors Investment Corp. | 27.20% | 2.52% | -2.73% | 2.31% | -23.25% | 0.03% | -52.19% | 28.73% | -10.33% | 26.53% |
Correlation
The correlation between CIM and TWO is 0.51, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.51 |
Correlation (3Y) Balances recent behavior with more history. | 0.69 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.73 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.73 |
Correlation (All Time) Calculated using the full available price history since Oct 30, 2009 | 0.63 |
The correlation between CIM and TWO shifts across timeframes, from 0.51 (1 year) to 0.73 (5 years), reflecting how their relationship changes across market environments.
Fundamentals
CIM:
$1.06B
TWO:
$1.27B
CIM:
$0.23
TWO:
-$0.44
CIM:
2.10
TWO:
1.48
CIM:
$499.18M
TWO:
$645.74M
CIM:
$465.68M
TWO:
$526.40M
CIM:
$439.34M
TWO:
$249.80M
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Return for Risk
CIM vs. TWO — Risk / Return Rank
CIM
TWO
CIM vs. TWO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Chimera Investment Corporation (CIM) and Two Harbors Investment Corp. (TWO). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| CIM | TWO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.22 | ||
| Sortino ratioReturn per unit of downside risk | -0.34 | ||
| Omega ratioGain probability vs. loss probability | 1.17 | 1.27 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 1.18 | 1.05 | +0.13 |
| Martin ratioReturn relative to average drawdown | 2.87 | 2.98 | -0.12 |
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Drawdowns
CIM vs. TWO - Drawdown Comparison
The maximum CIM drawdown since its inception was -89.69%, which is greater than TWO's maximum drawdown of -84.71%. Use the drawdown chart below to compare losses from any high point for CIM and TWO.
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Drawdown Indicators
| CIM | TWO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -89.69% | -84.71% | -4.98% |
Max Drawdown (1Y)Largest decline over 1 year | -18.18% | -36.81% | +18.63% |
Max Drawdown (3Y)Largest decline over 3 years | -33.07% | -36.81% | +3.74% |
Max Drawdown (5Y)Largest decline over 5 years | -69.09% | -51.13% | -17.96% |
Max Drawdown (10Y)Largest decline over 10 years | -72.35% | -84.71% | +12.36% |
Current DrawdownCurrent decline from peak | -53.92% | -56.00% | +2.08% |
Average DrawdownAverage peak-to-trough decline | -51.80% | -28.84% | -22.96% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.48% | 12.93% | -5.45% |
Volatility
CIM vs. TWO - Volatility Comparison
Chimera Investment Corporation (CIM) has a higher volatility of 14.00% compared to Two Harbors Investment Corp. (TWO) at 1.27%. This indicates that CIM's price experiences larger fluctuations and is considered to be riskier than TWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CIM | TWO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 14.00% | 1.27% | +12.73% |
Volatility (6M)Calculated over the trailing 6-month period | 21.14% | 27.00% | -5.86% |
Volatility (1Y)Calculated over the trailing 1-year period | 28.68% | 39.83% | -11.15% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 35.63% | 32.71% | +2.92% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 36.78% | 47.98% | -11.20% |
Dividends
CIM vs. TWO - Dividend Comparison
CIM's dividend yield for the trailing twelve months is around 26.35%, more than TWO's 12.28% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CIM Chimera Investment Corporation | 26.35% | 11.91% | 10.14% | 14.03% | 20.36% | 8.55% | 13.66% | 9.73% | 11.22% | 8.12% | 14.34% | 28.15% |
TWO Two Harbors Investment Corp. | 12.28% | 15.52% | 15.22% | 15.08% | 12.94% | 11.79% | 7.85% | 11.42% | 14.64% | 23.31% | 10.67% | 12.84% |
Financials
CIM vs. TWO - Financials Comparison
This section allows you to compare key financial metrics between Chimera Investment Corporation and Two Harbors Investment Corp.. You can select fields from income statements, balance sheets, and cash flow statements to easily visualize and compare the financial health of both companies.
Total Revenue: Total amount of money received from sales and other business activities
Frequently Asked Questions
CIM and TWO have a correlation of 0.51, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CIM has higher volatility (14.00%) compared to TWO (1.27%). In terms of maximum drawdown, CIM dropped -89.69% vs TWO's -84.71%.
TWO currently has the higher Sharpe Ratio (0.97 vs 0.75), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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