Pair Correlation Between Canadian Imperial and Citigroup

This module allows you to analyze existing cross correlation between Canadian Imperial Bank of Commerce and Citigroup Inc. 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.
 Time 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 Bank of Commerce is expected to under-perform the Citigroup. But the stock apears to be less risky and, when comparing its historical volatility, Canadian Imperial Bank of Commerce is 1.37 times less risky than Citigroup. The stock trades about -0.17 of its potential returns per unit of risk. The Citigroup Inc is currently generating about -0.09 of returns per unit of risk over similar time horizon. If you would invest  8,008  in Citigroup Inc on January 26, 2018 and sell it today you would lose (300.00)  from holding Citigroup Inc or give up 3.75% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Canadian Imperial and Citigroup
0.85

Parameters

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

Diversification

Very poor 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 Inc 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 Inc 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

  
0 

Risk-Adjusted Performance

Over the last 30 days Canadian Imperial Bank of Commerce has generated negative risk-adjusted returns adding no value to investors with long positions.

Citigroup Inc

  
0 

Risk-Adjusted Performance

Over the last 30 days Citigroup Inc has generated negative risk-adjusted returns adding no value to investors with long positions.