Bank Of Montreal Preferred Stock Market Value
| BMO-PE Preferred Stock | CAD 26.25 0.02 0.08% |
| Symbol | Bank |
Bank of Montreal '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 Bank of Montreal's preferred stock 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 Bank of Montreal.
| 06/08/2023 |
| 11/29/2024 |
If you would invest 0.00 in Bank of Montreal on June 8, 2023 and sell it all today you would earn a total of 0.00 from holding Bank of Montreal or generate 0.0% return on investment in Bank of Montreal over 540 days. Bank of Montreal is related to or competes with Fairfax Financial, Fairfax Financial, IShares Canadian, PHN Multi, Global X, Altagas Cum, and EcoSynthetix. Bank of Montreal provides diversified financial services primarily in North America More
Bank of Montreal 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 Bank of Montreal's preferred stock 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 Bank of Montreal upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3902 | |||
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 2.22 | |||
| Value At Risk | (0.47) | |||
| Potential Upside | 0.7356 |
Bank of Montreal Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank of Montreal's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank of Montreal's standard deviation. In reality, there are many statistical measures that can use Bank of Montreal historical prices to predict the future Bank of Montreal's volatility.| Risk Adjusted Performance | 0.0676 | |||
| Jensen Alpha | 0.0203 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.22) | |||
| Treynor Ratio | 0.3906 |
Bank of Montreal Backtested Returns
At this point, Bank of Montreal is very steady. Bank of Montreal secures Sharpe Ratio (or Efficiency) of 0.12, which signifies that the company had a 0.12% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Bank of Montreal, which you can use to evaluate the volatility of the firm. Please confirm Bank of Montreal's Downside Deviation of 0.3902, mean deviation of 0.2621, and Risk Adjusted Performance of 0.0676 to double-check if the risk estimate we provide is consistent with the expected return of 0.0467%. Bank of Montreal has a performance score of 9 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.0736, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Bank of Montreal's returns are expected to increase less than the market. However, during the bear market, the loss of holding Bank of Montreal is expected to be smaller as well. Bank of Montreal right now shows a risk of 0.38%. Please confirm Bank of Montreal downside variance, daily balance of power, and the relationship between the maximum drawdown and skewness , to decide if Bank of Montreal will be following its price patterns.
Auto-correlation | 0.94 |
Excellent predictability
Bank of Montreal has excellent predictability. Overlapping area represents the amount of predictability between Bank of Montreal time series from 8th of June 2023 to 4th of March 2024 and 4th of March 2024 to 29th 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 Bank of Montreal price movement. The serial correlation of 0.94 indicates that approximately 94.0% of current Bank of Montreal price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.94 | |
| Spearman Rank Test | 0.94 | |
| Residual Average | 0.0 | |
| Price Variance | 0.67 |
Bank of Montreal lagged returns against current returns
Autocorrelation, which is Bank of Montreal preferred stock'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 Bank of Montreal's preferred stock expected returns. We can calculate the autocorrelation of Bank of Montreal returns to help us make a trade decision. For example, suppose you find that Bank of Montreal has exhibited high autocorrelation historically, and you observe that the preferred stock 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 |
Bank of Montreal 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 Bank of Montreal preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank of Montreal preferred stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank of Montreal preferred stock over time.
Current vs Lagged Prices |
| Timeline |
Bank of Montreal Lagged Returns
When evaluating Bank of Montreal's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank of Montreal preferred stock have on its future price. Bank of Montreal 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, Bank of Montreal autocorrelation shows the relationship between Bank of Montreal preferred stock current value and its past values and can show if there is a momentum factor associated with investing in Bank of Montreal.
Regressed Prices |
| Timeline |
Pair Trading with Bank of Montreal
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 Bank of Montreal 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 Bank of Montreal will appreciate offsetting losses from the drop in the long position's value.Moving against Bank Preferred Stock
| 0.81 | SLF-PH | Sun Lif Non | PairCorr |
| 0.74 | TC | Tucows Inc | PairCorr |
| 0.74 | DII-B | Dorel Industries | PairCorr |
| 0.55 | AIM | Aimia Inc | PairCorr |
The ability to find closely correlated positions to Bank of Montreal could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Bank of Montreal 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 Bank of Montreal - 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 Bank of Montreal to buy it.
The correlation of Bank of Montreal 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 Bank of Montreal moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Bank of Montreal 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 Bank of Montreal 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 Bank Preferred Stock
Bank of Montreal financial ratios help investors to determine whether Bank Preferred Stock 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 Bank with respect to the benefits of owning Bank of Montreal security.