Pair Correlation Between DOW and Canadian Imperial

This module allows you to analyze existing cross correlation between DOW and Canadian Imperial Bank of Commerce. You can compare the effects of market volatilities on DOW and Canadian Imperial and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in DOW with a short position of Canadian Imperial. See also your portfolio center. Please also check ongoing floating volatility patterns of DOW and Canadian Imperial.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 DOW  vs   Canadian Imperial Bank of Comm
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, DOW is expected to generate 0.37 times more return on investment than Canadian Imperial. However, DOW is 2.74 times less risky than Canadian Imperial. It trades about 0.73 of its potential returns per unit of risk. Canadian Imperial Bank of Commerce is currently generating about 0.04 per unit of risk. If you would invest  2,234,959  in DOW on September 22, 2017 and sell it today you would earn a total of  97,904  from holding DOW or generate 4.38% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between DOW and Canadian Imperial
0.71

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy95.45%
ValuesDaily Returns

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding DOW and Canadian Imperial Bank of Comm in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Canadian Imperial Bank and DOW is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on DOW are associated (or correlated) with Canadian Imperial. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Canadian Imperial Bank has no effect on the direction of DOW i.e. DOW and Canadian Imperial go up and down completely randomly.
    Optimize

Comparative Volatility

 Predicted Return Density 
      Returns