Canadian Imperial Risk Analysis And Volatility Evaluation

CM -- USA Stock  

USD 88.18  0.28  0.32%

We consider Canadian Imperial not too risky. Canadian Imperial Bank secures Sharpe Ratio (or Efficiency) of 0.0523 which signifies that Canadian Imperial Bank had 0.0523% 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 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 1.27, Risk Adjusted Performance of 0.01 and Mean Deviation of 0.5599 to double-check if risk estimate we provide are consistent with the epected return of 0.0409%.
 Time Horizon     30 Days    Login   to change

Canadian Imperial Bank Technical Analysis

Transformation
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Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Canadian Imperial has beta of 0.0 . This suggests unless we do not have required data, the returns on DOW and Canadian Imperial are completely uncorrelated. Furthermore, Canadian Imperial Bank of CommerceIt does not look like Canadian Imperial alpha can have any bearing on the equity current valuation.
Allowing for the 30-days total investment horizon, the coefficient of variation of Canadian Imperial is 1911.11. The daily returns are destributed with a variance of 0.61 and standard deviation of 0.78. The mean deviation of Canadian Imperial Bank of Commerce is currently at 0.58. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.78
Ir
Information ratio =0.00

Actual Return Volatility

Canadian Imperial Bank of Commerce accepts 0.7816% volatility on return distribution over the 30 days horizon. DOW inherits 0.0% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Canadian Imperial Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Close to average

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

Canadian Imperial Investment Opportunity
Canadian Imperial Bank of Commerce has a volatility of 0.78 and is 9.223372036854776E16 times more volatile than DOW. 7% of all equities and portfolios are less risky than Canadian Imperial. Compared to the overall equity markets, volatility of historical daily returns of Canadian Imperial Bank of Commerce is lower than 7 (%) of all global equities and portfolios over the last 30 days.
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