Canadian Imperial Backtesting

CM -- USA Stock  

USD 95.56  0.89  0.92%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Canadian Imperial Bank of Commerce and determine expected loss or profit from investing in Canadian Imperial over given investment horizon. Check also Canadian Imperial Hype Analysis, Canadian Imperial Correlation, Canadian Imperial Valuation, Canadian Imperial Volatility as well as analyze Canadian Imperial Alpha and Beta and Canadian Imperial Performance.
Horizon     30 Days    Login   to change

Canadian Imperial 'What if' Analysis

August 23, 2018
No Change 0.00  0.0%
In 31 days
September 22, 2018
If you would invest  0.00  in Canadian Imperial on August 23, 2018 and sell it all today you would earn a total of 0.00 from holding Canadian Imperial Bank of Commerce or generate 0.0% return on investment in Canadian Imperial over 30 days. Canadian Imperial is related to or competes with Citigroup, Credit Suisse, East West, B of A, Barclays PLC, and Bank of Montreal. Canadian Imperial Bank of Commerce, a diversified financial institution, provides various financial products and service...

Canadian Imperial Upside/Downside Indicators

Downside Deviation0.6479
Information Ratio0.07
Maximum Drawdown1.89
Value At Risk0.86
Potential Upside0.9314

Canadian Imperial Market Premium Indicators

Risk Adjusted Performance0.0996
Jensen Alpha0.0134
Total Risk Alpha0.11
Sortino Ratio0.07
Treynor Ratio0.1863

Canadian Imperial Bank Backtested Returns

We consider Canadian Imperial not too risky. Canadian Imperial Bank secures Sharpe Ratio (or Efficiency) of 0.2222 which signifies that Canadian Imperial Bank had 0.2222% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Canadian Imperial Bank of Commerce which you can use to evaluate future volatility of the firm. Please confirm Canadian Imperial Bank Downside Deviation of 0.6479, Risk Adjusted Performance of 0.0996 and Mean Deviation of 0.4899 to double-check if risk estimate we provide are consistent with the epected return of 0.1393%. Canadian Imperial has performance score of 14 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.6654 which signifies that as returns on market increase, Canadian Imperial returns are expected to increase less than the market. However during bear market, the loss on holding Canadian Imperial will be expected to be smaller as well.. Although it is extremely important to respect Canadian Imperial Bank historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Canadian Imperial Bank technical indicators you can presently evaluate if the expected return of 0.1393% will be sustainable into the future. Canadian Imperial Bank right now shows a risk of 0.627%. Please confirm Canadian Imperial Bank Jensen Alpha as well as the relationship between Potential Upside and Skewness to decide if Canadian Imperial Bank will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.33) 

Poor reverse predictability

Canadian Imperial Bank of Commerce has poor reverse predictability. Overlapping area represents the amount of predictability between Canadian Imperial time series from August 23, 2018 to September 7, 2018 and September 7, 2018 to September 22, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Canadian Imperial Bank price movement. The serial correlation of -0.33 indicates that nearly 33.0% of current Canadian Imperial price fluctuation can be explain by its past prices. Given that Canadian Imperial Bank of Commerce has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Canadian Imperial for similar time interval.
Correlation Coefficient-0.33
Spearman Rank Test-0.03
Residual Average0.0
Price Variance0.74

Canadian Imperial Bank lagged returns against current returns

 Current and Lagged Values 

Canadian Imperial regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Canadian Imperial Lagged Returns

 Regressed Prices 

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Canadian Imperial Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Canadian Imperial and Citigroup. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Check also Canadian Imperial Hype Analysis, Canadian Imperial Correlation, Canadian Imperial Valuation, Canadian Imperial Volatility as well as analyze Canadian Imperial Alpha and Beta and Canadian Imperial Performance. Please also try Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.