Correlation Analysis Between Canadian Imperial and Citigroup

Analyzing existing cross correlation between Canadian Imperial Bank Of Comme 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.
Horizon     30 Days    Login   to change
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Comparative Performance

Canadian Imperial Bank  
00

Risk-Adjusted Performance

Over the last 30 days Canadian Imperial Bank Of Comme has generated negative risk-adjusted returns adding no value to investors with long positions. Even with considerably steady technical indicators, Canadian Imperial is not utilizing all of its potentials. The current stock price chaos, may contribute to medium term losses for the stakeholders.
Citigroup  
1010

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 10 (%) of all global equities and portfolios over the last 30 days. Despite somewhat sluggish basic indicators, Citigroup may actually be approaching a critical reversion point that can send shares even higher in February 2020.

Canadian Imperial and Citigroup Volatility Contrast

 Predicted Return Density 
    
  Returns 

Canadian Imperial Bank Of Comm  vs.  Citigroup Inc

 Performance (%) 
    
  Timeline 

Pair Volatility

Allowing for the 30-days total investment horizon, Canadian Imperial Bank Of Comme is expected to under-perform the Citigroup. But the stock apears to be less risky and, when comparing its historical volatility, Canadian Imperial Bank Of Comme is 1.33 times less risky than Citigroup. The stock trades about -0.06 of its potential returns per unit of risk. The Citigroup is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest  7,230  in Citigroup on December 23, 2019 and sell it today you would earn a total of  765.00  from holding Citigroup or generate 10.58% return on investment over 30 days.

Pair Corralation between Canadian Imperial and Citigroup

-0.64
Time Period3 Months [change]
DirectionNegative 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Canadian Imperial and Citigroup

Canadian Imperial Bank Of Comm diversification synergy

Excellent 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 Comme 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.
See also your portfolio center. Please also try Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.