Bmo Concentrated Global Fund Market Value
| 0P0001D8QF | CAD 18.38 0.12 0.66% |
| Symbol | BMO |
BMO Concentrated 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to BMO Concentrated's fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of BMO Concentrated.
| 10/25/2024 |
| 11/24/2024 |
If you would invest 0.00 in BMO Concentrated on October 25, 2024 and sell it all today you would earn a total of 0.00 from holding BMO Concentrated Global or generate 0.0% return on investment in BMO Concentrated over 30 days. BMO Concentrated is related to or competes with RBC Global, CI Black, and TD Comfort. This funds objective is to achieve long-term capital appreciation through investment in a portfolio of high quality equi... More
BMO Concentrated Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure BMO Concentrated's fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess BMO Concentrated Global upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3794 | |||
| Information Ratio | (0.10) | |||
| Maximum Drawdown | 2.73 | |||
| Value At Risk | (0.56) | |||
| Potential Upside | 0.7166 |
BMO Concentrated Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BMO Concentrated's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BMO Concentrated's standard deviation. In reality, there are many statistical measures that can use BMO Concentrated historical prices to predict the future BMO Concentrated's volatility.| Risk Adjusted Performance | 0.1305 | |||
| Jensen Alpha | 0.0484 | |||
| Total Risk Alpha | (0.0001) | |||
| Sortino Ratio | (0.13) | |||
| Treynor Ratio | 0.3556 |
BMO Concentrated Global Backtested Returns
At this point, BMO Concentrated is very steady. BMO Concentrated Global secures Sharpe Ratio (or Efficiency) of 0.19, which signifies that the fund had a 0.19% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for BMO Concentrated Global, which you can use to evaluate the volatility of the entity. Please confirm BMO Concentrated's risk adjusted performance of 0.1305, and Mean Deviation of 0.3473 to double-check if the risk estimate we provide is consistent with the expected return of 0.0912%. The fund shows a Beta (market volatility) of 0.21, which signifies not very significant fluctuations relative to the market. As returns on the market increase, BMO Concentrated's returns are expected to increase less than the market. However, during the bear market, the loss of holding BMO Concentrated is expected to be smaller as well.
Auto-correlation | -0.52 |
Good reverse predictability
BMO Concentrated Global has good reverse predictability. Overlapping area represents the amount of predictability between BMO Concentrated time series from 25th of October 2024 to 9th of November 2024 and 9th of November 2024 to 24th of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of BMO Concentrated Global price movement. The serial correlation of -0.52 indicates that about 52.0% of current BMO Concentrated price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.52 | |
| Spearman Rank Test | -0.55 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
BMO Concentrated Global lagged returns against current returns
Autocorrelation, which is BMO Concentrated fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting BMO Concentrated's fund expected returns. We can calculate the autocorrelation of BMO Concentrated returns to help us make a trade decision. For example, suppose you find that BMO Concentrated has exhibited high autocorrelation historically, and you observe that the fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
BMO Concentrated regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If BMO Concentrated fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BMO Concentrated fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BMO Concentrated fund over time.
Current vs Lagged Prices |
| Timeline |
BMO Concentrated Lagged Returns
When evaluating BMO Concentrated's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BMO Concentrated fund have on its future price. BMO Concentrated autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, BMO Concentrated autocorrelation shows the relationship between BMO Concentrated fund current value and its past values and can show if there is a momentum factor associated with investing in BMO Concentrated Global.
Regressed Prices |
| Timeline |
Pair Trading with BMO Concentrated
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if BMO Concentrated position performs unexpectedly, the other equity 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 BMO Concentrated will appreciate offsetting losses from the drop in the long position's value.Moving together with BMO Fund
| 0.9 | 0P00012UCU | RBC Global Equity | PairCorr |
| 0.93 | 0P0001FAU5 | TD Comfort Aggressive | PairCorr |
| 0.81 | 0P000070HA | CI Global Alpha | PairCorr |
The ability to find closely correlated positions to BMO Concentrated could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace BMO Concentrated when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back BMO Concentrated - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling BMO Concentrated Global to buy it.
The correlation of BMO Concentrated 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 perfect positive correlation (i.e., a correlation coefficient of +1) implies that as BMO Concentrated moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if BMO Concentrated Global moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for BMO Concentrated can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Other Information on Investing in BMO Fund
BMO Concentrated financial ratios help investors to determine whether BMO Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in BMO with respect to the benefits of owning BMO Concentrated security.
| Bonds Directory Find actively traded corporate debentures issued by US companies | |
| Latest Portfolios Quick portfolio dashboard that showcases your latest portfolios | |
| Efficient Frontier Plot and analyze your portfolio and positions against risk-return landscape of the market. |