Bank of Nova Scotia Backtested Returns
Macroaxis considers Bank of Nova Scotia to be not too risky. Bank of Nova Scotia
secures Sharpe Ratio (or Efficiency) of -0.3098 which signifies that Bank of Nova Scotia
had -0.3098% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators
. The Bank of Nova Scotia exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Bank of Nova Scotia Mean Deviation
of 0.5713 and Risk Adjusted Performance
of 0.42 to double-check risk estimate we provide. Macroaxis gives Bank of Nova Scotia performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.0211 which signifies that as returns on market increase, returns on owning Bank of Nova Scotia are expected to decrease at a much smaller rate. During bear market, Bank of Nova Scotia is likely to outperform the market.. Even though it is essential to pay attention to Bank of Nova Scotia historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy in foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. The Bank of Nova Scotia exposes twenty-one different technical indicators which can help you to evaluate its performance. Bank of Nova Scotia has expected return of -0.2668%. Please be advised to confirm Bank of Nova Scotia Jensen Alpha, and the relationship between Coefficient Of Variation and Potential Upside to decide if Bank of Nova Scotia past performance will be repeated at some point in the near future.
|15 days auto-correlation||(0.08) |
Very weak reverse predictability
The Bank of Nova Scotia has very weak reverse predictability. Overlapping area represents the amount of predictability between Bank of Nova Scotia time series from January 22, 2018 to February 6, 2018 and February 6, 2018 to February 21, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Bank of Nova Scotia price movement. The serial correlation of -0.08 indicates that barely 8.0% of current Bank of Nova Scotia price fluctuation can be explain by its past prices. Given that The Bank of Nova Scotia has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Bank of Nova Scotia for similar time interval.
|Correlation Coefficient|| -0.08|
|Spearman Rank Test|| -0.12|
|Price Variance|| 0.3|
|Lagged Price Variance|| 0.17|
Bank of Nova Scotia Lagged Returns