Bmo Floating Rate Etf Market Value
| ZFH Etf | CAD 15.08 0.03 0.20% |
| Symbol | BMO |
BMO Floating '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 Floating's etf 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 Floating.
| 12/09/2022 |
| 11/28/2024 |
If you would invest 0.00 in BMO Floating on December 9, 2022 and sell it all today you would earn a total of 0.00 from holding BMO Floating Rate or generate 0.0% return on investment in BMO Floating over 720 days. BMO Floating is related to or competes with BMO Emerging, BMO Long, BMO High, BMO Mid, and BMO Ultra. BMO Floating Rate High Yield ETF seeks to provide exposure to a diversified portfolio of debt securities of high yield b... More
BMO Floating 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 Floating's etf 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 Floating Rate upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2569 | |||
| Information Ratio | (0.31) | |||
| Maximum Drawdown | 1.21 | |||
| Value At Risk | (0.34) | |||
| Potential Upside | 0.3453 |
BMO Floating Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BMO Floating's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BMO Floating's standard deviation. In reality, there are many statistical measures that can use BMO Floating historical prices to predict the future BMO Floating's volatility.| Risk Adjusted Performance | 0.1994 | |||
| Jensen Alpha | 0.0379 | |||
| Total Risk Alpha | 0.0195 | |||
| Sortino Ratio | (0.26) | |||
| Treynor Ratio | 0.4105 |
BMO Floating Rate Backtested Returns
As of now, BMO Etf is very steady. BMO Floating Rate secures Sharpe Ratio (or Efficiency) of 0.34, which signifies that the etf had a 0.34% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for BMO Floating Rate, which you can use to evaluate the volatility of the entity. Please confirm BMO Floating's mean deviation of 0.1567, and Risk Adjusted Performance of 0.1994 to double-check if the risk estimate we provide is consistent with the expected return of 0.0713%. The etf shows a Beta (market volatility) of 0.13, which signifies not very significant fluctuations relative to the market. As returns on the market increase, BMO Floating's returns are expected to increase less than the market. However, during the bear market, the loss of holding BMO Floating is expected to be smaller as well.
Auto-correlation | 0.89 |
Very good predictability
BMO Floating Rate has very good predictability. Overlapping area represents the amount of predictability between BMO Floating time series from 9th of December 2022 to 4th of December 2023 and 4th of December 2023 to 28th 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 Floating Rate price movement. The serial correlation of 0.89 indicates that approximately 89.0% of current BMO Floating price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.89 | |
| Spearman Rank Test | 0.88 | |
| Residual Average | 0.0 | |
| Price Variance | 0.21 |
BMO Floating Rate lagged returns against current returns
Autocorrelation, which is BMO Floating etf'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 Floating's etf expected returns. We can calculate the autocorrelation of BMO Floating returns to help us make a trade decision. For example, suppose you find that BMO Floating has exhibited high autocorrelation historically, and you observe that the etf 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 Floating 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 Floating etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BMO Floating etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BMO Floating etf over time.
Current vs Lagged Prices |
| Timeline |
BMO Floating Lagged Returns
When evaluating BMO Floating's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BMO Floating etf have on its future price. BMO Floating 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 Floating autocorrelation shows the relationship between BMO Floating etf current value and its past values and can show if there is a momentum factor associated with investing in BMO Floating Rate.
Regressed Prices |
| Timeline |
Pair Trading with BMO Floating
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 Floating 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 Floating will appreciate offsetting losses from the drop in the long position's value.Moving together with BMO Etf
Moving against BMO Etf
| 0.49 | VGV | Vanguard Canadian | PairCorr |
| 0.43 | VLB | Vanguard Canadian Long | PairCorr |
| 0.39 | XLB | iShares Core Canadian | PairCorr |
| 0.36 | HBB | Global X Canadian | PairCorr |
| 0.33 | IFRF | IA Clarington Floating | PairCorr |
The ability to find closely correlated positions to BMO Floating 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 Floating 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 Floating - 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 Floating Rate to buy it.
The correlation of BMO Floating 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 Floating moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if BMO Floating Rate 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 Floating 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 Etf
BMO Floating financial ratios help investors to determine whether BMO Etf 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 Floating security.