Canadian Imperial Backtesting

Canadian Imperial Bank of Commerce -- USA Stock  

USD 89.22  1.12  1.24%

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
Investment Horizon     30 Days    Login   to change

Canadian Imperial 'What if' Analysis

September 20, 2017
No Change 0.00  0.0%
In 31 days
October 20, 2017
If you would invest  0.00  in Canadian Imperial on September 20, 2017 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, Bank of New York, Byline Bancorp, Deutsche Bank. It operates through three business units Retail and Business Banking Wealth Management and Capital Markets

Canadian Imperial Upside/Downside Indicators


Canadian Imperial Market Premium Indicators

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 Bank Backtested Returns

We consider Canadian Imperial not too risky. Canadian Imperial Bank secures Sharpe Ratio (or Efficiency) of 0.1378 which signifies that Canadian Imperial Bank had 0.1378% 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 company 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 0.9086, Risk Adjusted Performance of 0.0268 and Mean Deviation of 0.5324 to double-check if risk estimate we provide are consistent with the epected return of 0.0983%. Canadian Imperial has performance score of 9 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.4439 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 patternss. 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 0.0983% will be sustainable into the future. Canadian Imperial Bank right now shows a risk of 0.7136%. 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 0.13 

Insignificant predictability

Canadian Imperial Bank of Commerce has insignificant predictability. Overlapping area represents the amount of predictability between Canadian Imperial time series from September 20, 2017 to October 5, 2017 and October 5, 2017 to October 20, 2017. 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 0.13 indicates that less than 13.0% of current Canadian Imperial price fluctuation can be explain by its past prices.
Correlation Coefficient 0.13
Spearman Rank Test 0.08
Price Variance 0.58
Lagged Price Variance 0.35

Canadian Imperial Lagged Returns

 Regressed Prices 

Canadian Imperial Performance vs DOW

The median price of Canadian Imperial for the period between Wed, Sep 20, 2017 and Fri, Oct 20, 2017 is 88.91 with a coefficient of variation of 1.04. The daily time series for the period is distributed with a sample standard deviation of 0.92, arithmetic mean of 88.92, and mean deviation of 0.74. The Stock received some media coverage during the period.
Price Growth (%)  
How Analysts Rated Canadian Imperial Bank of Commerce Last W...10/19/2017