Correlation Between Citigroup and Bank of Nova Scotia
Can any of the company-specific risk be diversified away by investing in both Citigroup and Bank of Nova Scotia at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Citigroup and Bank of Nova Scotia into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Bank of Nova, 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. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Bank of Nova Scotia.
Diversification Opportunities for Citigroup and Bank of Nova Scotia
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Citigroup and Bank is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Bank of Nova 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.
Pair Corralation between Citigroup and Bank of Nova Scotia
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.26 times more return on investment than Bank of Nova Scotia. However, Citigroup is 1.26 times more volatile than Bank of Nova. It trades about -0.12 of its potential returns per unit of risk. Bank of Nova is currently generating about -0.25 per unit of risk. If you would invest 6,133 in Citigroup on January 21, 2024 and sell it today you would lose (219.00) from holding Citigroup or give up 3.57% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.45% |
| Values | Daily Returns |
Citigroup vs. Bank of Nova
Performance |
| Timeline |
| Citigroup |
| Bank of Nova Scotia |
Citigroup and Bank of Nova Scotia Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Bank of Nova Scotia
The main advantage of trading using opposite Citigroup and Bank of Nova Scotia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Bank of Nova Scotia can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Bank of Nova Scotia will offset losses from the drop in Bank of Nova Scotia's long position.| Citigroup vs. JPMorgan Chase Co | Citigroup vs. Wells Fargo | Citigroup vs. Toronto Dominion Bank | Citigroup vs. Nu Holdings |
| Bank of Nova Scotia vs. Toronto Dominion Bank | Bank of Nova Scotia vs. Royal Bank of | Bank of Nova Scotia vs. Canadian Imperial Bank | Bank of Nova Scotia vs. JPMorgan Chase Co |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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