Canadian Imperial Risk Analysis

Canadian Imperial Bank of Commerce -- USA Stock  

USD 93.86  0.33  0.35%

Macroaxis considers Canadian Imperial not too risky given 1 month investment horizon. Canadian Imperial Bank secures Sharpe Ratio (or Efficiency) of 0.2417 which signifies that Canadian Imperial Bank had 0.2417% 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 makes use of Canadian Imperial Bank Coefficient Of Variation of 415.41, Risk Adjusted Performance of 0.1266 and Mean Deviation of 0.7348 to double-check if our risk estimates are consistent with your expectations.
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 Trend
Check current 30 days Canadian Imperial correlation with market (DOW)
β = 0.4128
Canadian Imperial Small BetaCanadian Imperial Bank Beta Legend

Canadian Imperial Bank Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Canadian Imperial Bank Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Canadian Imperial has beta of 0.4128 . 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 0.1865 implying that it can potentially generate 0.1865% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Allowing for the 30-days total investment horizon, the coefficient of variation of Canadian Imperial is 413.8. The daily returns are destributed with a variance of 1.34 and standard deviation of 1.16. The mean deviation of Canadian Imperial Bank of Commerce is currently at 0.73. For similar time horizon, the selected benchmark (DOW) has volatility of 0.5
α
Alpha over DOW
=0.19
βBeta against DOW=0.41
σ
Overall volatility
=1.16
 IrInformation ratio =0.0596

Actual Return Volatility

Canadian Imperial Bank of Commerce accepts 1.1591% volatility on return distribution over the 30 days horizon. DOW inherits 0.4723% 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

Below average

30 Days Economic Sensitivity

Slowly supersedes market

Total Debt

Canadian Imperial Bank Total Debt History

Total Debt

Largest Trends

Canadian Imperial Largest Period Trend

Investment Outlook

Canadian Imperial Investment Opportunity
Canadian Imperial Bank of Commerce has a volatility of 1.16 and is 2.47 times more volatile than DOW. 10% 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 10 (%) of all global equities and portfolios over the last 30 days. Use Canadian Imperial Bank of Commerce to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Canadian Imperial to be traded at $98.55 in 30 days. 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.

Canadian Imperial correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Canadian Imperial Bank of Comm and equity matching DJI index in the same portfolio.

Volatility Indicators

Canadian Imperial Current Risk Indicators