Canadian Imperial Correlations

CM Stock

USD 57.59 0.86 1.52%

The current 90-days correlation between Canadian Imperial Bank and Bank of Montreal is 0.48 (i.e., Very weak diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Canadian Imperial moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Canadian Imperial Bank moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Canadian Imperial Correlation With Market

Very weak diversification

The correlation between Canadian Imperial Bank and DJI is 0.51 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Canadian Imperial Bank and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Canadian Imperial Bank. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in population.

Moving together with Canadian Stock

0.94	RY	Royal Bank	Pair Corr
0.73	BML-PL	Bank of America	Pair Corr
0.84	EWBC	East West Bancorp	Pair Corr
0.77	BAC	Bank of America Sell-off Trend	Pair Corr
0.95	BNS	Bank of Nova Scotia	Pair Corr

Moving against Canadian Stock

0.92	ING	ING Group NV	Pair Corr
0.84	SAN	Banco Santander SA	Pair Corr
0.82	HSBC	HSBC Holdings PLC	Pair Corr
0.71	BCS	Barclays PLC ADR	Pair Corr
0.61	JPM-PC	JPMorgan Chase	Pair Corr
0.58	TD	Toronto Dominion Bank	Pair Corr
0.45	BAC-PB	Bank of America	Pair Corr
0.4	JPM-PD	JPMorgan Chase	Pair Corr
0.35	BML-PJ	Bank of America	Pair Corr
0.35	JPM-PM	JPMorgan Chase	Pair Corr
0.32	BML-PG	Bank of America	Pair Corr
0.31	NTB	Bank of NT	Pair Corr
0.85	DB	Deutsche Bank AG	Pair Corr
0.84	BBVA	Banco Bilbao Viscaya	Pair Corr
0.74	CB	Chubb	Pair Corr
0.71	MUFG	Mitsubishi UFJ Financial Buyout Trend	Pair Corr
0.65	SMFG	Sumitomo Mitsui Financial Normal Trading	Pair Corr
0.41	BAC-PK	Bank of America	Pair Corr
0.4	V	Visa Class A	Pair Corr
0.37	L	Loews Corp	Pair Corr
0.36	WFC-PL	Wells Fargo	Pair Corr

Related Correlations Analysis

	BMO	TD	RY	C	BNS	BAC	JPM	WFC	NU
BMO		0.71	0.17	0.74	-0.2	0.33	0.72	0.74	0.44	BMO
TD	0.71		-0.39	0.53	-0.73	-0.07	0.52	0.58	0.46	TD
RY	0.17	-0.39		0.48	0.86	0.81	0.46	0.41	0.33	RY
C	0.74	0.53	0.48		0.09	0.76	0.97	0.97	0.77	C
BNS	-0.2	-0.73	0.86	0.09		0.6	0.08	0.02	0.03	BNS
BAC	0.33	-0.07	0.81	0.76	0.6		0.75	0.72	0.61	BAC
JPM	0.72	0.52	0.46	0.97	0.08	0.75		0.98	0.79	JPM
WFC	0.74	0.58	0.41	0.97	0.02	0.72	0.98		0.79	WFC
NU	0.44	0.46	0.33	0.77	0.03	0.61	0.79	0.79		NU
	BMO	TD	RY	C	BNS	BAC	JPM	WFC	NU

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

WFC	+ 0.98	JPM
JPM	+ 0.97	C
WFC	+ 0.97	C
BNS	+ 0.86	RY
BAC	+ 0.81	RY
NU	+ 0.79	JPM

High negative correlations

BNS	- 0.73	TD
RY	- 0.39	TD
BNS	- 0.2	BMO
BAC	- 0.07	TD

Risk-Adjusted Indicators

There is a big difference between Canadian Stock performing well and Canadian Imperial Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Canadian Imperial's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
BMO	0.75	0.02	0.00	(0.04)	0.00	0.00	1.74	(2.05)	6.84
TD	0.73	0.22	0.30	0.33	0.57	(0.82)	1.39	(1.34)	5.80
RY	0.90	(0.06)	0.00	(0.14)	0.00	0.00	1.55	(2.67)	6.21
C	1.39	0.13	0.05	0.03	2.10	(1.29)	2.45	(3.48)	12.74
BNS	0.70	(0.17)	0.00	(0.48)	0.00	0.00	1.44	(1.76)	5.17
BAC	1.13	(0.03)	0.00	(0.09)	0.00	0.00	1.81	(2.37)	10.83
JPM	1.10	0.09	0.05	0.02	1.74	(1.04)	1.99	(3.35)	6.85
WFC	1.24	0.14	0.07	0.05	1.74	(1.38)	2.32	(2.25)	12.70
NU	2.37	0.14	0.02	0.01	4.25	(2.56)	4.58	(4.60)	25.98

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