Bank of Nova Scotia (Mexico) Volatility
| BNS Stock | MXN 1,297 0.00 0.00% |
Sharpe Ratio = 0.1397
| Leading Returns | Top Quartile | |||
| Strong | ||||
| Moderate | ||||
| Modest | ||||
| Cash | Low | Moderate | Elevated | High |
| Below Benchmark | BNS |
Estimated Market Risk
| 0.13 actual daily | 1 Higher volatility than 1% of comparable assets |
Expected Return
| 0.02 actual daily | 0 Below most comparable assets in expected return |
Risk-Adjusted Return
| 0.14 actual daily | 11 11th percentile in risk-adjusted performance |
The Bank of's financial profile includes a Market Risk Adjusted Performance of 0.1%, a Risk of 0.13, and a Risk Adjusted Performance of 0.1%. The stock is currently at approximately 11% of its recent trend range per monthly moving averages.
Key indicators related to Bank of Nova Scotia's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Bank of Nova Scotia (3 Months):
Beta 0.05 | Alpha 0.01 | Risk 0.13 | Sharpe Ratio 0.14 | Expected Return 0.02 |
Moving together with Bank of Stock
| 0.75 | INGN | ING Groep NV | PairCorr |
| 0.89 | C | Citigroup | PairCorr |
| 0.62 | JPM | JPMorgan Chase | PairCorr |
| 0.66 | MS | Morgan Stanley | PairCorr |
| 0.78 | RION | Rio Tinto Group | PairCorr |
| 0.7 | AMAT | Applied Materials | PairCorr |
| 0.69 | EDUN | New Oriental Education | PairCorr |
| 0.8 | UNH | UnitedHealth Group | PairCorr |
| 0.62 | GOOG | Alphabet | PairCorr |
| 0.64 | GOOGL | Alphabet Class A | PairCorr |
Moving Against Bank of Stock
| 0.75 | DBN | Deutsche Bank | PairCorr |
| 0.6 | SONYN | Sony Group Earnings Call This Week | PairCorr |
| 0.4 | HBCN | HSBC Holdings plc Earnings Call Today | PairCorr |
Sensitivity To Market
The Bank of exhibits a beta of 0.049, representing its market-relative sensitivity. This coefficient separates systematic risk from company-specific volatility. Total return dispersion is approximately 0.13%. The Bank of return patterns over the selected horizon reflect a minimal level of variability, based on dispersion and downside-focused statistics. Standard deviation is near 0.12%. Stock volatility reflects changes in expectations about revenue, margins, and competitive position. For The Bank of, price swings may be influenced by sector movement and company-specific headlines.
3 Months Beta |Bank of Nova Scotia Demand TrendCurrent 90-day Bank of Nova Scotia correlation with market (Dow Jones Industrial)Downside Risk
For Bank of, the standard deviation figure expresses the observed spread of daily returns over the selected period. The magnitude of Bank of standard deviation determines where it falls on the volatility spectrum relative to peers. Because standard deviation treats upside and downside moves equally, pairing it with downside deviation isolates asymmetric risk exposure for Bank of.
Standard Deviation | 0.13 |
Upside and downside risks in Bank of Nova Scotia are not symmetric. Downside deviation measures only the risk of loss in Bank of Nova Scotia's returns, unlike standard deviation which includes all moves. The risk profile of Bank of Nova Scotia has two components: upside risk and downside risk. The Bank of's financial profile includes a Maximum Drawdown of 1.01.
Stock Volatility Analysis
Market participants monitor Bank of Nova Scotia volatility to assess the stock's price stability. Sharp price swings in Bank of Nova Scotia's stock often accompany major news events or earnings announcements. A wide deviation implies greater uncertainty and potential reward or loss for Bank of Nova Scotia.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Bank of Nova Scotia's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
Over the selected 90-day horizon, Bank of Nova Scotia has a beta of 0.049 suggesting as returns on the market go up, Bank of Nova Scotia's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding The Bank of tends to be smaller as well.Exposure to the stock market introduces systematic volatility in Bank of Nova Scotia. In contrast, company or sector-specific developments represent asset-level risk that may be diversified away. The Bank of's financial profile includes a Mean Deviation of 0.03 and a Standard Deviation of 0.12.
Predicted Return Distribution |
| Density |
What Drives Bank of Nova Scotia's Price Volatility?
Credit Performance and Loan Quality
Credit performance across Bank of Nova Scotia's loan portfolio is a primary driver of earnings surprise risk and return dispersion.Interest Rate Environment
The yield curve shape and rate expectations directly influence Bank of Nova Scotia's spread income and valuation multiples.Capital Markets and Funding Conditions
Market conditions for asset-backed securities and structured finance products affect Bank of Nova Scotia's funding cost and balance sheet flexibility.Regulatory and Policy Developments
Shifts in financial regulation, capital requirements, and consumer protection rules affect Bank of Nova Scotia's operating environment.Stock Risk Measures
Over the selected 90-day horizon, the coefficient of variation of Bank of Nova Scotia is 715.99. The daily returns are distributed with a variance of 0.02 and standard deviation of 0.13. The mean deviation of The Bank of is currently at 0.04. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | 0.01 | |
β | Beta against Dow Jones | 0.05 | |
σ | Overall volatility | 0.13 | |
Ir | Information ratio | 0.13 |
Stock Return Volatility
Bank of Nova Scotia return volatility captures the typical daily swing in stock returns relative to the mean over the selected period. The company has volatility of 0.1305% on return distribution over a 90-day investment horizon. Meanwhile, Dow Jones Industrial reported 0.9714% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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
| High negative correlations
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Risk-Adjusted Indicators
Bank of Nova Scotia Company can look attractive on recent price action while risk efficiency lags the peer group. Peer-relative risk metrics add context on drawdown behavior, consistency, and return quality. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| VZ | 1.45 | 0.31 | 0.19 | -4.65 | 1.21 | 3.88 | 16.75 | |||
| MLM | 0.17 | -0.10 | 0.00 | -6.42 | 0.00 | 0.00 | 5.25 | |||
| MNST | 0.65 | -0.16 | 0.00 | -2.31 | 0.00 | 1.54 | 12.00 | |||
| HOTEL | 1.67 | 0.34 | 0.12 | -1.68 | 1.87 | 3.70 | 13.08 | |||
| TTWO | 1.43 | -0.15 | 0.00 | -4.96 | 0.00 | 3.67 | 13.02 | |||
| UBER | 1.69 | -0.13 | 0.00 | 0.34 | 0.00 | 3.73 | 9.28 | |||
| HD | 1.08 | -0.28 | 0.00 | -1.18 | 0.00 | 2.59 | 7.37 | |||
| COF | 1.04 | -0.18 | 0.00 | -1.43 | 0.00 | 3.32 | 10.69 |
Risk Metrics, Assumptions & Methodology
Volatility regime analysis for Bank of Nova Scotia identifies whether current dispersion is elevated, compressed, or transitioning between states. Compression regimes can persist, but breakouts from low volatility tend to produce outsized moves. Bank of Nova Scotia has a market cap of 1.22 trillion, P/E of 201.08, ROE of 13.78%.
Reported values for The Bank of are derived from periodic company reporting and market reference feeds and standardized for analysis. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Raphi Shpitalnik, Junior Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that The Bank of is less volatile than Dow Jones Industrial by approximately 7.46x over the selected horizon. This differential reflects the relative dispersion of returns and frames how each asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 1% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.The Bank of exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This short-horizon analysis focuses on what the latest move may imply for immediate market context. It gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. a normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Bank of Nova Scotia probability analysis.
Moderate diversification
Across the chosen horizon, Bank of Nova Scotia and Dow Jones show a correlation of 0.3 and fall into the Moderate diversification bucket. This chart measures the degree of risk overlap between Bank of Nova Scotia and Dow Jones.
Additional Risk Indicators
Risk analysis around The Bank of gains depth when secondary indicators confirm, refine, or challenge the basic volatility picture. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | 0.0606 | |||
| Market Risk Adjusted Performance | 0.1442 | |||
| Mean Deviation | 0.0321 | |||
| Coefficient Of Variation | 751.06 | |||
| Standard Deviation | 0.1245 | |||
| Variance | 0.0155 | |||
| Information Ratio | 0.1292 |
Bank of Nova Scotia Suggested Diversification Pairs
A paired position built around The Bank of reduces directional market exposure while expressing a relative-value view. A disciplined pair structure still requires monitoring because correlation weakens when market regimes change.
While pairing positions reduces portfolio risk, some forms of risk persist no matter which instruments are combined. No matter how well a pair is constructed around Bank of Nova Scotia, market-wide risk remains. What pair trading can address is Bank of Nova Scotia's unsystematic risk - the portion driven by company or sector-specific factors rather than broad market forces.
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