MODEL VERDICT
Chimera Investment Corporation (CIM)
Relative Valuation•Peer multiples, Monte Carlo simulation & quality-adjusted fair value
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Composite score derived from valuation, quality, and risk factors
Quantitative model thresholds · For educational and research purposes only
Each row records the model's monthly assessment. High Conviction = the model detected notable undervaluation vs peers. Neutral = no notable divergence was found. The return column shows the actual price change over 90 days for reference. This is a quantitative observation log — not investment advice.
| Date | Assessment | Score | Price | Status | 90d Fwd Return |
|---|---|---|---|---|---|
| May 1, 2026 | MODERATE | 0.66 | $13.95 | CURRENT | — |
| Apr 24, 2026 | NEUTRAL | 0.39 | $13.57 | CURRENT | — |
| Apr 17, 2026 | MODERATE | 0.67 | $13.70 | CURRENT | — |
| Apr 16, 2026 | MODERATE | 0.67 | $13.68 | CURRENT | — |
| Apr 10, 2026 | MODERATE | 0.61 | $13.36 | CURRENT | — |
Historical model observations for research purposes only. Past quantitative patterns do not predict future results. Not a recommendation to buy, sell, or hold any security.
| Methodology | Fair Value | vs Current | Weight | Quality | Status |
|---|---|---|---|---|---|
| Price / FFO 1 REIT peers | $20.40 | +46.2% | 30% | A | REIT Primary |
| Dividend Yield 9 industry peers | $8.03 | -42.4% | 12% | B | Supplementary |
| Price / Book 9 industry peers | $24.64 | +76.6% | 8% | B | Model Driven |
| Industry Median P/E 7 industry peers | $31.66 | +127.0% | 5% | A | Peer Data |
| Forward P/E 9 analyst estimates | $15.60 | +11.8% | 5% | A- | Analyst Est. |
| Price / Sales 9 industry peers | $23.06 | +65.3% | 2% | B | Model Driven |
| Weighted Output Blended model output | $21.70 | +55.5% | 100% | 77 | SIGNIFICANTLY UNDERVALUED |
| EPS Growth ↓ | P/E Multiple → | 4× | 4× | 5× (Current) | 7× | 9× |
|---|---|---|---|---|---|
| Bear Case (19%) | $13 | $13 | $16 | $23 | $29 |
| Conservative (31%) | $14 | $14 | $18 | $25 | $32 |
| Base Case (47.8%) | $16 | $16 | $20 | $28 | $37 |
| Bull Case (65%) | $18 | $18 | $23 | $32 | $41 |
Cross-sectional regression predicting expected multiples based on growth, margins, ROIC, and beta.
| Multiple | Avg | Median | Min | Max | Std |
|---|---|---|---|---|---|
| P/E Ratio | 29.42 | 23.17 | 4.52 | 78.85 | 26.39 |
| P/FCF | 15.03 | 6.36 | 3.95 | 59.56 | 21.87 |
| P/FFO | 7.10 | 6.52 | 4.39 | 11.41 | 2.82 |
| P/TBV | 0.62 | 0.48 | 0.41 | 0.99 | 0.25 |
| P/B Ratio | 0.62 | 0.48 | 0.41 | 0.99 | 0.25 |
| Div Yield | 0.13 | 0.10 | 0.08 | 0.22 | 0.05 |
| P/S Ratio | 5.42 | 5.09 | 1.27 | 9.64 | 3.04 |
Based on our peer multiples analysis with 19 valuation metrics, the model estimates CIM's fair value at $21.70 vs the current price of $13.95, implying +55.5% upside potential. Model verdict: Significantly Undervalued. Confidence: 77/100. This is a quantitative estimate, not a recommendation.
The blended fair value of $21.70 is calculated using four lenses: industry median multiples (40%), historical multiples (30%), forward estimates (20%), and quality-adjusted multiples (10%). Monte Carlo simulation (10,000 iterations) gives a range of $12.16 (P10) to $21.94 (P90), with a median of $16.76.
CIM's current P/E of 5.1x compares to the industry median of 11.5x (7 peers in the group). This represents a -55.9% discount to the industry. The historical average P/E is 29.4x over 6 years. Signal: Deep Discount.
16 analysts cover CIM with a consensus rating of Hold. The consensus price target is $14.25 (range: $13.00 — $15.50), implying +2.2% upside from the current price. Grade breakdown: Strong Buy (0), Buy (3), Hold (10), Sell (3), Strong Sell (0).
The model confidence score is 77/100, based on: data completeness (26), peer quality (25), historical depth (20), earnings stability (4), and model agreement (2). Cyclicality penalty: -0 points. The model shows strong agreement across inputs.
The model flags several key risks: (1) Margin reversion: Current net margin of 33.1% is 10.1 percentage points above the 6-year average (23.0%), with a Z-score of +1.3σ. If margins normalize, fair value could drop to ~$56. (2) Macro/regulatory risks are not captured in this model but remain material.
Peak earnings risk refers to the possibility that CIM's current profitability is above its sustainable long-term trend. The model detects a margin Z-score of +1.3σ, meaning margins are 1.3 standard deviations above their historical average. If margins revert to the 6-year mean (23.0%), the model estimates fair value drops by 30320.0% to approximately $56. This isn't a prediction — it's a scenario analysis.
No. This dashboard is a quantitative research tool for educational and informational purposes only. It is not investment advice, a solicitation, or a recommendation to buy, sell, or hold any security. The operator of this platform is not a registered investment advisor (RIA), broker-dealer, or financial planner. All model outputs, fair value estimates, signals, and scenarios are the result of automated quantitative computations and should not be construed as professional financial guidance. You should consult a qualified, licensed financial advisor before making any investment decisions. Past model performance is not indicative of future results.