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.
 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 generate 0.68 times more return on investment than Citigroup. However, Canadian Imperial Bank of Commerce is 1.46 times less risky than Citigroup. It trades about -0.21 of its potential returns per unit of risk. Citigroup is currently generating about -0.2 per unit of risk. If you would invest  9,095  in Canadian Imperial Bank of Commerce on May 20, 2018 and sell it today you would lose (347.00)  from holding Canadian Imperial Bank of Commerce or give up 3.82% of portfolio value over 30 days.

Pair Corralation between Canadian Imperial and Citigroup

0.93
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

Almost no 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  
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  
0 

Risk-Adjusted Performance

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

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