Bank of Nova Scotia Correlations

BNS Stock

USD 47.96 0.27 0.56%

The current 90-days correlation between Bank of Nova Scotia and Toronto Dominion Bank is 0.3 (i.e., Weak diversification). The correlation of Bank of Nova Scotia 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. If the correlation is 0, the equities are not correlated; they are entirely random.

Bank of Nova Scotia Correlation With Market

Weak diversification

The correlation between Bank of Nova and DJI is 0.39 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Bank of Nova 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 Nova. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in board of governors.

Moving together with Bank Stock

0.95	CM	Canadian Imperial Bank	Pair Corr
0.86	RY	Royal Bank	Pair Corr

Moving against Bank Stock

0.73	TD	Toronto Dominion Bank	Pair Corr
0.42	JPM-PC	JPMorgan Chase	Pair Corr
0.41	BML-PG	Bank of America	Pair Corr
0.4	ING	ING Group NV	Pair Corr
0.4	SAN	Banco Santander SA	Pair Corr
0.4	HSBC	HSBC Holdings PLC	Pair Corr
0.38	BCS	Barclays PLC ADR Aggressive Push	Pair Corr
0.36	BML-PH	Bank of America	Pair Corr
0.32	NWG	Natwest Group PLC Normal Trading	Pair Corr
0.87	BBVA	Banco Bilbao Viscaya	Pair Corr
0.57	V	Visa Class A	Pair Corr
0.31	WFC-PL	Wells Fargo	Pair Corr

Related Correlations Analysis

	TD	RY	CM	JPM	BMO	BAC	WFC	NU
TD		-0.41	-0.59	0.57	0.71	-0.06	0.61	0.36	TD
RY	-0.41		0.94	0.39	0.17	0.8	0.34	0.3	RY
CM	-0.59	0.94		0.24	-0.03	0.76	0.18	0.21	CM
JPM	0.57	0.39	0.24		0.7	0.72	0.98	0.7	JPM
BMO	0.71	0.17	-0.03	0.7		0.33	0.73	0.32	BMO
BAC	-0.06	0.8	0.76	0.72	0.33		0.69	0.58	BAC
WFC	0.61	0.34	0.18	0.98	0.73	0.69		0.7	WFC
NU	0.36	0.3	0.21	0.7	0.32	0.58	0.7		NU
	TD	RY	CM	JPM	BMO	BAC	WFC	NU

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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

WFC	+ 0.98	JPM
CM	+ 0.94	RY
BAC	+ 0.8	RY
BAC	+ 0.76	CM
WFC	+ 0.73	BMO
BAC	+ 0.72	JPM

High negative correlations

CM	- 0.59	TD
RY	- 0.41	TD
BAC	- 0.06	TD
BMO	- 0.03	CM

Risk-Adjusted Indicators

There is a big difference between Bank Stock performing well and Bank of Nova Scotia 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 Nova Scotia'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
TD	0.73	0.23	0.32	0.34	0.56	(0.84)	1.39	(1.34)	5.80
RY	0.91	(0.07)	0.00	(0.15)	0.00	0.00	1.55	(2.67)	6.21
CM	0.90	(0.19)	0.00	(0.34)	0.00	0.00	1.37	(2.36)	6.74
JPM	1.11	0.06	0.00	(0.02)	0.00	0.00	1.99	(3.35)	6.85
BMO	0.76	0.02	0.00	(0.05)	0.00	0.00	1.74	(2.05)	6.84
BAC	1.13	(0.04)	0.00	(0.12)	0.00	0.00	1.81	(2.37)	10.83
WFC	1.25	0.13	0.06	0.03	1.76	(1.38)	2.32	(2.25)	12.70
NU	2.28	0.24	0.09	(0.44)	3.85	(2.66)	4.58	(2.72)	25.98

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