Correlation Analysis Between Bank of Nova Scotia and Citigroup

This module allows you to analyze existing cross correlation between Bank Nova Scotia Halifax Pfd 3 and Citigroup. You can compare the effects of market volatilities on Bank of Nova Scotia and Citigroup and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Bank of Nova Scotia with a short position of Citigroup. See also your portfolio center. Please also check ongoing floating volatility patterns of Bank of Nova Scotia and Citigroup.
Horizon     30 Days    Login   to change
Symbolsvs
Check Efficiency

Comparative Performance

Bank of Nova Scotia  
00

Risk-Adjusted Performance

Over the last 30 days Bank Nova Scotia Halifax Pfd 3 has generated negative risk-adjusted returns adding no value to investors with long positions. In defiance of latest weak performance, the Stock's forward-looking signals remain invariable and the latest agitation on Wall Street may also be a sign of long running gains for the enterprise management.
Citigroup  
00

Risk-Adjusted Performance

Over the last 30 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest sluggish performance, the Stock's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.

Bank of Nova Scotia and Citigroup Volatility Contrast

 Predicted Return Density 
      Returns 

Bank Nova Scotia Halifax Pfd 3  vs.  Citigroup Inc

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, Bank Nova Scotia Halifax Pfd 3 is expected to under-perform the Citigroup. But the stock apears to be less risky and, when comparing its historical volatility, Bank Nova Scotia Halifax Pfd 3 is 2.46 times less risky than Citigroup. The stock trades about -0.19 of its potential returns per unit of risk. The Citigroup is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest  6,741  in Citigroup on July 23, 2019 and sell it today you would lose (388.00)  from holding Citigroup or give up 5.76% of portfolio value over 30 days.

Pair Corralation between Bank of Nova Scotia and Citigroup

0.79
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy97.73%
ValuesDaily Returns

Diversification Opportunities for Bank of Nova Scotia and Citigroup

Bank Nova Scotia Halifax Pfd 3 diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Bank Nova Scotia Halifax Pfd 3 and Citigroup Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and Bank of Nova Scotia is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Bank Nova Scotia Halifax Pfd 3 are associated (or correlated) with Citigroup. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citigroup has no effect on the direction of Bank of Nova Scotia i.e. Bank of Nova Scotia and Citigroup go up and down completely randomly.
See also your portfolio center. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.


 
Search macroaxis.com