Correlation Analysis Between Canadian Imperial and Citigroup

This module allows you to analyze existing cross correlation between Canadian Imperial Bank of Commerce and Citigroup. You can compare the effects of market volatilities on Canadian Imperial and Citigroup 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 Canadian Imperial with a short position of Citigroup. See also your portfolio center. Please also check ongoing floating volatility patterns of Canadian Imperial and Citigroup.
Horizon     30 Days    Login   to change
Symbolsvs

Canadian Imperial Bank of Comm  vs.  Citigroup Inc

 Performance (%) 
      Timeline 

Pair Volatility

Allowing for the 30-days total investment horizon, Canadian Imperial is expected to generate 1.85 times less return on investment than Citigroup. But when comparing it to its historical volatility, Canadian Imperial Bank of Commerce is 1.9 times less risky than Citigroup. It trades about 0.15 of its potential returns per unit of risk. Citigroup is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest  7,112  in Citigroup on August 22, 2018 and sell it today you would earn a total of  260.00  from holding Citigroup or generate 3.66% return on investment over 30 days.

Pair Corralation between Canadian Imperial and Citigroup

0.56
Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding Canadian Imperial Bank of Comm and Citigroup Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and Canadian Imperial 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 Canadian Imperial Bank of Commerce are associated (or correlated) with Citigroup. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citigroup has no effect on the direction of Canadian Imperial i.e. Canadian Imperial and Citigroup go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
Canadian Imperial Bank  
10 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Canadian Imperial Bank of Commerce are ranked lower than 10 (%) of all global equities and portfolios over the last 30 days.
Citigroup  
9 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 9 (%) of all global equities and portfolios over the last 30 days.

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