We consider Canadian Imperial not too risky. Canadian Imperial Bank secures Sharpe Ratio (or Efficiency) of 0.0274 which signifies that Canadian Imperial Bank had 0.0274% 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 1.03, Risk Adjusted Performance of 0.0282 and Mean Deviation of 0.7413 to double-check if risk estimate we provide are consistent with the epected return of 0.0279%.
|Time Horizon||30 Days Login to change|
Canadian Imperial Market Sensitivity
|As returns on market increase, returns on owning Canadian Imperial are expected to decrease at a much smaller rate. During bear market, Canadian Imperial is likely to outperform the market.One Month Beta |Analyze Canadian Imperial Bank Demand TrendCheck current 30 days Canadian Imperial correlation with market (DOW)|
β = -0.0091
Canadian Imperial Bank Technical Analysis
Projected Return Density Against MarketAllowing for the 30-days total investment horizon, Canadian Imperial Bank of Commerce has beta of -0.0091 . This suggests as returns on benchmark increase, returns on holding Canadian Imperial are expected to decrease at a much smaller rate. During bear market, however, Canadian Imperial Bank of Commerce is likely to outperform the market. Moreover, Canadian Imperial Bank of Commerce has an alpha of 0.0173 implying that it can potentially generate 0.0173% 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 3655.69. The daily returns are destributed with a variance of 1.04 and standard deviation of 1.02. 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 1.04