We consider Canadian Imperial not too risky. Canadian Imperial Bank secures Sharpe Ratio (or Efficiency) of 0.1444 which signifies that Canadian Imperial Bank had 0.1444% 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 0.7127, Risk Adjusted Performance of 0.0949 and Mean Deviation of 0.7692 to double-check if risk estimate we provide are consistent with the epected return of 0.1742%.
|Investment Horizon||30 Days Login to change|
Canadian Imperial Market Sensitivity
|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.One Month Beta |Analyze Canadian Imperial Bank Demand TrendCheck current 30 days Canadian Imperial correlation with market (DOW)|
β = 0.3064
Canadian Imperial Bank Technical Analysis
Projected Return Density Against MarketAllowing for the 30-days total investment horizon, Canadian Imperial has beta of 0.3064 . This suggests as returns on market go up, Canadian Imperial average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Canadian Imperial Bank of Commerce will be expected to be much smaller as well. Moreover, Canadian Imperial Bank of Commerce has an alpha of 0.1373 implying that it can potentially generate 0.1373% excess return over DOW after adjusting for the inherited market risk (beta).
Allowing for the 30-days total investment horizon, the coefficient of variation of Canadian Imperial is 692.65. The daily returns are destributed with a variance of 1.46 and standard deviation of 1.21. The mean deviation of Canadian Imperial Bank of Commerce is currently at 0.74. For similar time horizon, the selected benchmark (DOW) has volatility of 0.47