BANK OF MONTREAL Market Value
| 06367WB85 | 96.06 2.67 2.70% |
| Symbol | 06367WB85 |
06367WB85 '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 06367WB85's bond 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 06367WB85.
| 11/30/2023 |
| 11/24/2024 |
If you would invest 0.00 in 06367WB85 on November 30, 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 06367WB85 over 360 days. 06367WB85 is related to or competes with Century Aluminum, Allegheny Technologies, Grupo Simec, Artisan Partners, United States, and CECO Environmental. More
06367WB85 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 06367WB85's bond 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.
| Information Ratio | (0.55) | |||
| Maximum Drawdown | 2.15 | |||
| Value At Risk | (0.34) | |||
| Potential Upside | 0.3052 |
06367WB85 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for 06367WB85's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as 06367WB85's standard deviation. In reality, there are many statistical measures that can use 06367WB85 historical prices to predict the future 06367WB85's volatility.| Risk Adjusted Performance | (0.1) | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.09) | |||
| Treynor Ratio | 1.33 |
BANK OF MONTREAL Backtested Returns
BANK OF MONTREAL secures Sharpe Ratio (or Efficiency) of -0.08, which signifies that the bond had a -0.08% return per unit of price deviation over the last 3 months. BANK OF MONTREAL exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm 06367WB85's Variance of 0.0853, mean deviation of 0.1622, and Information Ratio of (0.55) to double-check the risk estimate we provide. The entity shows a Beta (market volatility) of -0.03, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning 06367WB85 are expected to decrease at a much lower rate. During the bear market, 06367WB85 is likely to outperform the market.
Auto-correlation | 0.86 |
Very good predictability
BANK OF MONTREAL has very good predictability. Overlapping area represents the amount of predictability between 06367WB85 time series from 30th of November 2023 to 28th of May 2024 and 28th of May 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 BANK OF MONTREAL price movement. The serial correlation of 0.86 indicates that approximately 86.0% of current 06367WB85 price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.86 | |
| Spearman Rank Test | 0.9 | |
| Residual Average | 0.0 | |
| Price Variance | 0.43 |
BANK OF MONTREAL lagged returns against current returns
Autocorrelation, which is 06367WB85 bond'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 06367WB85's bond expected returns. We can calculate the autocorrelation of 06367WB85 returns to help us make a trade decision. For example, suppose you find that 06367WB85 has exhibited high autocorrelation historically, and you observe that the bond 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 |
06367WB85 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 06367WB85 bond is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if 06367WB85 bond is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in 06367WB85 bond over time.
Current vs Lagged Prices |
| Timeline |
06367WB85 Lagged Returns
When evaluating 06367WB85's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of 06367WB85 bond have on its future price. 06367WB85 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, 06367WB85 autocorrelation shows the relationship between 06367WB85 bond 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 |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in 06367WB85 Bond
06367WB85 financial ratios help investors to determine whether 06367WB85 Bond 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 06367WB85 with respect to the benefits of owning 06367WB85 security.