Bank of America Correlations

BAC Stock

USD 42.47 0.01 0.02%

The current 90-days correlation between Bank of America and Citigroup is 0.78 (i.e., Poor diversification). The correlation of Bank of America 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.

Bank of America Correlation With Market

Very weak diversification

The correlation between Bank of America and DJI is 0.58 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Bank of America 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 Bank of America. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in nation.

For information on how to trade Bank Stock refer to our How to Trade Bank Stock guide.

Moving together with Bank Stock

0.75	C	Citigroup Aggressive Push	Pair Corr
0.76	CM	Canadian Imperial Bank	Pair Corr
0.81	RY	Royal Bank	Pair Corr
0.92	EWBC	East West Bancorp	Pair Corr
0.74	JPM	JPMorgan Chase	Pair Corr
0.7	WFC	Wells Fargo Aggressive Push	Pair Corr
0.67	BAC-PE	Bank of America	Pair Corr

Moving against Bank Stock

0.66	ING	ING Group NV	Pair Corr
0.49	SAN	Banco Santander SA	Pair Corr
0.47	HSBC	HSBC Holdings PLC	Pair Corr
0.46	NWG	Natwest Group PLC	Pair Corr
0.31	BCS	Barclays PLC ADR	Pair Corr
0.74	CB	Chubb	Pair Corr
0.48	BBVA	Banco Bilbao Viscaya	Pair Corr
0.33	MUFG	Mitsubishi UFJ Financial Buyout Trend	Pair Corr

Related Correlations Analysis

	C	WFC	TD	RY	JPM	NU	HSBC	CM	BMO	BNS
C		0.97	0.55	0.44	0.97	0.76	0.12	0.29	0.65	0.05	C
WFC	0.97		0.6	0.37	0.98	0.78	0.21	0.22	0.65	-0.02	WFC
TD	0.55	0.6		-0.4	0.54	0.46	0.86	-0.59	0.67	-0.73	TD
RY	0.44	0.37	-0.4		0.43	0.33	-0.66	0.94	0.09	0.86	RY
JPM	0.97	0.98	0.54	0.43		0.78	0.14	0.28	0.64	0.04	JPM
NU	0.76	0.78	0.46	0.33	0.78		0.07	0.21	0.36	0.04	NU
HSBC	0.12	0.21	0.86	-0.66	0.14	0.07		-0.82	0.54	-0.85	HSBC
CM	0.29	0.22	-0.59	0.94	0.28	0.21	-0.82		-0.09	0.95	CM
BMO	0.65	0.65	0.67	0.09	0.64	0.36	0.54	-0.09		-0.24	BMO
BNS	0.05	-0.02	-0.73	0.86	0.04	0.04	-0.85	0.95	-0.24		BNS
	C	WFC	TD	RY	JPM	NU	HSBC	CM	BMO	BNS

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

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

JPM	+ 0.98	WFC
WFC	+ 0.97	C
JPM	+ 0.97	C
BNS	+ 0.95	CM
CM	+ 0.94	RY
HSBC	+ 0.86	TD

High negative correlations

BNS	- 0.85	HSBC
CM	- 0.82	HSBC
BNS	- 0.73	TD
HSBC	- 0.66	RY
CM	- 0.59	TD
RY	- 0.4	TD

Risk-Adjusted Indicators

There is a big difference between Bank Stock performing well and Bank of America 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 Bank of America'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
C	1.40	0.13	0.04	0.02	2.07	(1.32)	2.45	(3.48)	12.74
WFC	1.24	0.14	0.07	0.04	1.74	(1.38)	2.32	(2.25)	12.70
TD	0.73	0.23	0.31	0.34	0.56	(0.82)	1.39	(1.34)	5.80
RY	0.90	(0.06)	0.00	(0.13)	0.00	0.00	1.55	(2.67)	6.21
JPM	1.10	0.07	0.04	(0.01)	1.72	(1.04)	1.99	(3.35)	6.85
NU	2.35	0.12	0.00	(0.01)	0.00	0.00	4.58	(4.60)	25.98
HSBC	0.94	0.36	0.25	0.44	1.07	(0.98)	2.59	(2.11)	7.68
CM	0.88	(0.17)	0.00	(0.31)	0.00	0.00	1.37	(2.36)	6.74
BMO	0.76	(0.05)	0.00	0.10	0.00	0.00	1.74	(2.05)	6.84
BNS	0.71	(0.16)	0.00	(0.46)	0.00	0.00	1.44	(1.76)	5.17

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC