Chipotle Mexican Correlations

CMG Stock

USD 57.52 0.84 1.44%

The current 90-days correlation between Chipotle Mexican Grill and Yum Brands is 0.35 (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

Average diversification

The correlation between Chipotle Mexican Grill and DJI is 0.11 (i.e., Average 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

0.74	H	Hyatt Hotels	Pair Corr
0.68	DPZ	Dominos Pizza Common	Pair Corr
0.69	HLT	Hilton Worldwide Holdings Sell-off Trend	Pair Corr
0.63	IHG	InterContinental Hotels	Pair Corr

Moving against Chipotle Stock

0.72	AGS	PlayAGS	Pair Corr
0.52	FLL	Full House Resorts	Pair Corr

Related Correlations Analysis

	YUM	WEN	MCD	WING	SHAK	PZZA	DRI	YUMC
YUM		0.44	0.44	0.4	0.4	0.48	-0.23	0.62	YUM
WEN	0.44		0.56	0.72	-0.39	0.94	-0.78	0.0	WEN
MCD	0.44	0.56		0.74	-0.34	0.56	-0.46	-0.02	MCD
WING	0.4	0.72	0.74		-0.54	0.7	-0.67	-0.14	WING
SHAK	0.4	-0.39	-0.34	-0.54		-0.26	0.51	0.63	SHAK
PZZA	0.48	0.94	0.56	0.7	-0.26		-0.75	0.02	PZZA
DRI	-0.23	-0.78	-0.46	-0.67	0.51	-0.75		0.07	DRI
YUMC	0.62	0.0	-0.02	-0.14	0.63	0.02	0.07		YUMC
	YUM	WEN	MCD	WING	SHAK	PZZA	DRI	YUMC

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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

PZZA	+ 0.94	WEN
WING	+ 0.74	MCD
WING	+ 0.72	WEN
PZZA	+ 0.7	WING
YUMC	+ 0.63	SHAK
YUMC	+ 0.62	YUM

High negative correlations

DRI	- 0.78	WEN
DRI	- 0.75	PZZA
DRI	- 0.67	WING
SHAK	- 0.54	WING
DRI	- 0.46	MCD
SHAK	- 0.39	WEN

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
YUM	0.83	(0.09)	0.00	(0.23)	0.00	0.00	1.37	(2.30)	5.52
WEN	1.26	(0.32)	0.00	8.41	0.00	0.00	3.13	(2.44)	10.30
MCD	0.83	(0.12)	0.00	(0.53)	0.00	0.00	1.48	(1.76)	6.70
WING	1.90	(0.52)	0.00	(0.48)	0.00	0.00	3.21	(4.14)	23.67
SHAK	1.66	0.14	0.07	0.44	1.80	(1.96)	3.67	(3.30)	13.11
PZZA	2.24	(0.44)	0.00	(0.55)	0.00	0.00	4.30	(4.87)	11.12
DRI	1.32	0.25	0.20	0.32	1.01	(1.74)	2.26	(2.00)	16.74
YUMC	1.53	(0.12)	0.00	(1.39)	0.00	0.00	3.28	(4.09)	11.42

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