Chipotle Mexican Correlations

CMG Stock

USD 49.60 1.07 2.20%

The current 90-days correlation between Chipotle Mexican Grill and Starbucks is 0.32 (i.e., Weak diversification). The correlation of Chipotle Mexican is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

Chipotle Mexican Correlation With Market

Very weak diversification

The correlation between Chipotle Mexican Grill and DJI is 0.41 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Chipotle Mexican Grill 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 Chipotle Mexican Grill. 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 Chipotle Stock

0.65	BH	Biglari Holdings	Pair Corr
0.86	WING	Wingstop	Pair Corr
0.78	DIN	Dine Brands Global	Pair Corr
0.7	LOCO	El Pollo Loco	Pair Corr
0.8	BLMN	Bloomin Brands	Pair Corr
0.78	M	Macys Inc	Pair Corr
0.8	W	Wayfair Buyout Trend	Pair Corr
0.69	HD	Home Depot	Pair Corr
0.84	RH	RH Earnings Call Tomorrow	Pair Corr
0.85	UA	Under Armour C	Pair Corr
0.94	VSCO	Victorias Secret	Pair Corr
0.88	ETSY	Etsy Inc	Pair Corr
0.61	BBY	Best Buy	Pair Corr
0.77	BZH	Beazer Homes USA	Pair Corr
0.72	CCS	Century Communities	Pair Corr
0.66	DKS	Dicks Sporting Goods	Pair Corr
0.81	XELB	Xcel Brands	Pair Corr
0.82	FND	Floor Decor Holdings	Pair Corr
0.81	HOV	Hovnanian Enterprises	Pair Corr

Moving against Chipotle Stock

0.81	VIPS	Vipshop Holdings	Pair Corr
0.77	YUM	Yum Brands	Pair Corr
0.69	NATH	Nathans Famous	Pair Corr
0.69	JD	JD Inc Adr	Pair Corr
0.61	MCD	McDonalds	Pair Corr
0.6	PZZA	Papa Johns International	Pair Corr
0.48	DRI	Darden Restaurants	Pair Corr
0.79	AZO	AutoZone	Pair Corr
0.63	JWN	Nordstrom	Pair Corr

Related Correlations Analysis

	SBUX	DPZ	YUM	WEN	MCD	BROS	PZZA	WING	DRI	SHAK
SBUX		0.83	0.52	-0.48	0.54	0.85	0.54	-0.12	0.7	-0.39	SBUX
DPZ	0.83		0.7	-0.22	0.72	0.78	0.66	-0.23	0.62	-0.46	DPZ
YUM	0.52	0.7		0.1	0.93	0.6	0.82	-0.75	0.47	-0.81	YUM
WEN	-0.48	-0.22	0.1		0.13	-0.35	0.15	-0.17	-0.43	0.21	WEN
MCD	0.54	0.72	0.93	0.13		0.57	0.86	-0.56	0.45	-0.67	MCD
BROS	0.85	0.78	0.6	-0.35	0.57		0.67	-0.33	0.61	-0.41	BROS
PZZA	0.54	0.66	0.82	0.15	0.86	0.67		-0.55	0.37	-0.55	PZZA
WING	-0.12	-0.23	-0.75	-0.17	-0.56	-0.33	-0.55		-0.17	0.77	WING
DRI	0.7	0.62	0.47	-0.43	0.45	0.61	0.37	-0.17		-0.42	DRI
SHAK	-0.39	-0.46	-0.81	0.21	-0.67	-0.41	-0.55	0.77	-0.42		SHAK
	SBUX	DPZ	YUM	WEN	MCD	BROS	PZZA	WING	DRI	SHAK

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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

MCD	+ 0.93	YUM
PZZA	+ 0.86	MCD
BROS	+ 0.85	SBUX
DPZ	+ 0.83	SBUX
PZZA	+ 0.82	YUM
BROS	+ 0.78	DPZ

High negative correlations

SHAK	- 0.81	YUM
WING	- 0.75	YUM
SHAK	- 0.67	MCD
WING	- 0.56	MCD
SHAK	- 0.55	PZZA
WING	- 0.55	PZZA

Risk-Adjusted Indicators

There is a big difference between Chipotle Stock performing well and Chipotle Mexican 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 Chipotle Mexican'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
SBUX	1.26	0.09	0.05	0.07	1.80	(1.25)	2.25	(2.69)	13.70
DPZ	1.56	0.11	0.06	0.08	1.92	(1.75)	3.48	(3.10)	12.17
YUM	1.10	0.25	0.21	0.47	1.11	(1.30)	2.05	(2.43)	12.45
WEN	1.21	(0.14)	0.00	(0.80)	0.00	0.00	3.46	(2.70)	7.39
MCD	0.91	0.06	0.07	0.10	1.08	(0.97)	1.92	(1.76)	8.10
BROS	2.97	0.45	0.14	2.78	3.09	(3.50)	5.21	(5.21)	37.63
PZZA	2.79	0.15	0.05	0.20	2.90	(3.31)	5.55	(5.03)	25.57
WING	2.28	(0.36)	0.00	(0.27)	0.00	0.00	3.32	(5.34)	17.94
DRI	1.52	0.41	0.24	0.28	1.33	(1.72)	4.32	(2.27)	19.32
SHAK	2.45	(0.38)	0.00	(0.28)	0.00	0.00	5.69	(5.33)	23.18

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