Correlation Analysis Between Canadian Imperial and Citigroup

This module allows you to analyze 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  
99

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Canadian Imperial Bank of Comme are ranked lower than 9 (%) of all global equities and portfolios over the last 30 days. Even with considerably weak technical indicators, Canadian Imperial may actually be approaching a critical reversion point that can send shares even higher in October 2019.
Citigroup  
22

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 2 (%) of all global equities and portfolios over the last 30 days. Despite somewhat strong basic indicators, Citigroup is not utilizing all of its potentials. The new stock price disturbance, may contribute to short term losses for the investors.

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 generate 0.5 times more return on investment than Citigroup. However, Canadian Imperial Bank of Comme is 1.99 times less risky than Citigroup. It trades about 0.14 of its potential returns per unit of risk. Citigroup is currently generating about 0.04 per unit of risk. If you would invest  7,836  in Canadian Imperial Bank of Comme on August 21, 2019 and sell it today you would earn a total of  587.00  from holding Canadian Imperial Bank of Comme or generate 7.49% return on investment over 30 days.

Pair Corralation between Canadian Imperial and Citigroup

0.73
Time Period3 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Canadian Imperial and Citigroup

Canadian Imperial Bank of Comm diversification synergy

Poor 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.
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