TWO vs. CIM

Last updated Jun 4, 2026

TWO (Two Harbors Investment Corp.) and CIM (Chimera Investment Corporation) are both stocks. Both operate in the REIT - Mortgage industry within the Real Estate sector. Over the past 10 years, TWO returned -2.76%/yr vs -1.22%/yr for CIM. A 0.63 correlation means they provide meaningful diversification when combined.

Performance

TWO vs. CIM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Two Harbors Investment Corp. (TWO) and Chimera Investment Corporation (CIM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, TWO achieves a 25.39% return, which is significantly higher than CIM's 9.61% return. Over the past 10 years, TWO has underperformed CIM with an annualized return of -2.76%, while CIM has yielded a comparatively higher -1.22% annualized return.

TWO

• 1D: -0.40%
• 1M: 1.06%
• YTD: 25.39%
• 6M: 29.08%
• 1Y: 34.40%
• 3Y*: 12.13%
• 5Y*: -3.67%
• 10Y*: -2.76%

CIM

• 1D: -2.95%
• 1M: -3.60%
• YTD: 9.61%
• 6M: 8.26%
• 1Y: 10.98%
• 3Y*: 5.92%
• 5Y*: -11.53%
• 10Y*: -1.22%

*Multi-year figures are annualized to reflect compound growth (CAGR)

TWO vs. CIM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
TWO Two Harbors Investment Corp.	25.39%	2.52%	-2.73%	2.31%	-23.25%	0.03%	-52.19%	28.73%	-10.33%	26.53%
CIM Chimera Investment Corporation	9.61%	-0.65%	3.61%	2.95%	-57.95%	60.73%	-42.97%	27.65%	7.71%	17.30%

Correlation

The correlation between TWO and CIM is 0.59, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.59
Correlation (3Y) Calculated over the trailing 3-year period	0.71
Correlation (5Y) Calculated over the trailing 5-year period	0.74
Correlation (10Y) Calculated over the trailing 10-year period	0.74
Correlation (All Time) Calculated using the full available price history since Nov 2, 2009	0.63

The correlation between TWO and CIM shifts across timeframes, from 0.59 (1 year) to 0.74 (5 years), reflecting how their relationship changes across market environments.

Fundamentals

EPS TWO : -$4.56 CIM : $0.23
PS Ratio TWO : 1.77 CIM : 2.17
Total Revenue (TTM) TWO : $546.33M CIM : $499.18M
Gross Profit (TTM) TWO : $524.61M CIM : $465.68M
EBITDA (TTM) TWO : -$7.58M CIM : $439.34M

Return for Risk

TWO vs. CIM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

TWO

TWO Risk / Return Rank: 65
TWO Sharpe Ratio Rank: 67
TWO Sortino Ratio Rank: 65
TWO Omega Ratio Rank: 68
TWO Calmar Ratio Rank: 60
TWO Martin Ratio Rank: 64

CIM

CIM Risk / Return Rank: 52
CIM Sharpe Ratio Rank: 56
CIM Sortino Ratio Rank: 48
CIM Omega Ratio Rank: 48
CIM Calmar Ratio Rank: 54
CIM Martin Ratio Rank: 56

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

TWO vs. CIM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Two Harbors Investment Corp. (TWO) and Chimera Investment Corporation (CIM). 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.

	TWO	CIM	Difference
Sharpe ratio Return per unit of total volatility	0.85	0.44	+0.41
Sortino ratio Return per unit of downside risk	1.50	0.77	+0.73
Omega ratio Gain probability vs. loss probability	1.22	1.10	+0.12
Calmar ratio Return relative to maximum drawdown	0.94	0.61	+0.33
Martin ratio Return relative to average drawdown	2.70	1.48	+1.22
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

TWO vs. CIM - Sharpe Ratio Comparison

The current TWO Sharpe Ratio is 0.85, which is higher than the CIM Sharpe Ratio of 0.44. The chart below compares the historical Sharpe Ratios of TWO and CIM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	TWO	CIM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.85	0.44	+0.41
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.11	-0.33	+0.22
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.06	-0.03	-0.02
Sharpe Ratio (All Time) Calculated using the full available price history	0.08	-0.05	+0.13

Drawdowns

TWO vs. CIM - Drawdown Comparison

The maximum TWO drawdown since its inception was -84.71%, smaller than the maximum CIM drawdown of -89.69%. Use the drawdown chart below to compare losses from any high point for TWO and CIM.

Drawdown Indicators

	TWO	CIM	Difference
Max Drawdown Largest peak-to-trough decline	-84.71%	-89.69%	+4.98%
Max Drawdown (1Y) Largest decline over 1 year	-36.81%	-18.18%	-18.63%
Max Drawdown (3Y) Largest decline over 3 years	-36.81%	-35.80%	-1.01%
Max Drawdown (5Y) Largest decline over 5 years	-57.23%	-69.09%	+11.86%
Max Drawdown (10Y) Largest decline over 10 years	-84.71%	-72.35%	-12.36%
Current Drawdown Current decline from peak	-56.63%	-59.94%	+3.31%
Average Drawdown Average peak-to-trough decline	-28.55%	-51.74%	+23.19%
Ulcer Index Depth and duration of drawdowns from previous peaks	12.77%	7.45%	+5.32%

Volatility

TWO vs. CIM - Volatility Comparison

The current volatility for Two Harbors Investment Corp. (TWO) is 3.09%, while Chimera Investment Corporation (CIM) has a volatility of 4.93%. This indicates that TWO experiences smaller price fluctuations and is considered to be less risky than CIM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	TWO	CIM	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.09%	4.93%	-1.84%
Volatility (6M) Calculated over the trailing 6-month period	37.09%	17.80%	+19.29%
Volatility (1Y) Calculated over the trailing 1-year period	40.91%	25.31%	+15.60%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	33.25%	35.25%	-2.00%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	48.00%	36.47%	+11.53%

Dividends

TWO vs. CIM - Dividend Comparison

TWO's dividend yield for the trailing twelve months is around 11.41%, less than CIM's 11.87% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CIM Chimera Investment Corporation	11.87%	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.	11.41%	15.52%	15.22%	15.08%	12.94%	11.79%	7.85%	11.42%	14.64%	23.31%	10.67%	12.84%

Financials

Frequently Asked Questions

Can I hold both TWO and CIM in my portfolio?

TWO and CIM have a correlation of 0.59, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, TWO or CIM?

CIM has higher volatility (4.93%) compared to TWO (3.09%). In terms of maximum drawdown, TWO dropped -84.71% vs CIM's -89.69%.

Which has better risk-adjusted returns?

TWO currently has the higher Sharpe Ratio (0.85 vs 0.44), 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.