Bank of Nova Scotia Backtesting

The Bank of Nova Scotia -- Canada Stock  

CAD 83.24  0.36  0.43%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of The Bank of Nova Scotia and determine expected loss or profit from investing in Bank of Nova Scotia over given investment horizon. Check also Bank of Nova Scotia Hype Analysis, Bank of Nova Scotia Correlation, Bank of Nova Scotia Valuation, Bank of Nova Scotia Volatility as well as analyze Bank of Nova Scotia Alpha and Beta and Bank of Nova Scotia Performance
Investment Horizon     30 Days    Login   to change
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Bank of Nova Scotia 'What if' Analysis

November 11, 2017
0.00
No Change 0.00  0.0%
In 31 days
December 11, 2017
0.00
If you would invest  0.00  in Bank of Nova Scotia on November 11, 2017 and sell it all today you would earn a total of 0.00 from holding The Bank of Nova Scotia or generate 0.0% return on investment in Bank of Nova Scotia over 30 days. Bank of Nova Scotia is related to or competes with National Bank, Bank of Montreal, Canadian Imperial, Royal Bank, and Canadian Western. It offers financial advice solutions and daytoday banking products including debit cards checking accounts credit cards ...

Bank of Nova Scotia Upside/Downside Indicators

  

Bank of Nova Scotia Market Premium Indicators

Bank of Nova Scotia lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Bank of Nova Scotia regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Bank of Nova Scotia Backtested Returns

We consider Bank of Nova Scotia not too risky. Bank of Nova Scotia secures Sharpe Ratio (or Efficiency) of 0.0066 which signifies that Bank of Nova Scotia had 0.0066% of return per unit of standard deviation over the last 1 month. Our philosophy in foreseeing volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for The Bank of Nova Scotia which you can use to evaluate future volatility of the firm. Please confirm Bank of Nova Scotia Mean Deviation of 0.4951, Risk Adjusted Performance of 0.007 and Semi Deviation of 0.7033 to double-check if risk estimate we provide are consistent with the epected return of 0.0048%. Bank of Nova Scotia has performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.4611 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.. Although it is extremely important to respect Bank of Nova Scotia historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy in foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Bank of Nova Scotia technical indicators you can presently evaluate if the expected return of 0.0048% will be sustainable into the future. Bank of Nova Scotia right now shows a risk of 0.7317%. Please confirm Bank of Nova Scotia Jensen Alpha, and the relationship between Coefficient Of Variation and Potential Upside to decide if Bank of Nova Scotia will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.42) 

Modest reverse predictability

The Bank of Nova Scotia has modest reverse predictability. Overlapping area represents the amount of predictability between Bank of Nova Scotia time series from November 11, 2017 to November 26, 2017 and November 26, 2017 to December 11, 2017. 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 -0.42 indicates that just about 42.0% 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 -0.42
Spearman Rank Test -0.01
Price Variance 0.7
Lagged Price Variance 0.29

Bank of Nova Scotia Lagged Returns

 Regressed Prices 
      Timeline 

Bank of Nova Scotia Performance vs SPTSX Comp

The median price of Bank of Nova Scotia for the period between Sat, Nov 11, 2017 and Mon, Dec 11, 2017 is 83.23 with a coefficient of variation of 1.31. The daily time series for the period is distributed with a sample standard deviation of 1.09, arithmetic mean of 83.01, and mean deviation of 0.91. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
Bank of Nova Scotia Moves -0.2812/11/2017