Correlation Analysis Between Citigroup and Bank of Nova Scotia

This module allows you to analyze existing cross correlation between Citigroup and Bank Nova Scotia Halifax Pfd 3. You can compare the effects of market volatilities on Citigroup and Bank of Nova Scotia 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 Citigroup with a short position of Bank of Nova Scotia. See also your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Bank of Nova Scotia.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

Citigroup  
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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  
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 and Bank of Nova Scotia Volatility Contrast

 Predicted Return Density 
      Returns 

Citigroup Inc  vs.  Bank Nova Scotia Halifax Pfd 3

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to under-perform the Bank of Nova Scotia. In addition to that, Citigroup is 2.5 times more volatile than Bank Nova Scotia Halifax Pfd 3. It trades about -0.08 of its total potential returns per unit of risk. Bank Nova Scotia Halifax Pfd 3 is currently generating about -0.19 per unit of volatility. If you would invest  5,414  in Bank Nova Scotia Halifax Pfd 3 on July 25, 2019 and sell it today you would lose (316.00)  from holding Bank Nova Scotia Halifax Pfd 3 or give up 5.84% of portfolio value over 30 days.

Pair Corralation between Citigroup and Bank of Nova Scotia

0.84
Time Period2 Months [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Citigroup and Bank of Nova Scotia

Citigroup Inc diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and Bank Nova Scotia Halifax Pfd 3 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bank of Nova Scotia and Citigroup 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 Citigroup are associated (or correlated) with Bank of Nova Scotia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank of Nova Scotia has no effect on the direction of Citigroup i.e. Citigroup and Bank of Nova Scotia go up and down completely randomly.
See also your portfolio center. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.


 
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