Bmo Sia Focused Etf Market Value
| ZFN Etf | CAD 56.65 0.27 0.48% |
| Symbol | BMO |
BMO SIA '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 SIA'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 SIA.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in BMO SIA on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding BMO SIA Focused or generate 0.0% return on investment in BMO SIA over 30 days. BMO SIA is related to or competes with BMO SIA, BMO MSCI, BMO Low, BMO Dividend, and BMO Low. This funds objective is to provide long-term capital growth by investing primarily in a portfolio of North American equi... More
BMO SIA 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 SIA'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 SIA Focused upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7433 | |||
| Information Ratio | 0.0516 | |||
| Maximum Drawdown | 3.58 | |||
| Value At Risk | (0.96) | |||
| Potential Upside | 1.33 |
BMO SIA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BMO SIA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BMO SIA's standard deviation. In reality, there are many statistical measures that can use BMO SIA historical prices to predict the future BMO SIA's volatility.| Risk Adjusted Performance | 0.1755 | |||
| Jensen Alpha | 0.115 | |||
| Total Risk Alpha | 0.0384 | |||
| Sortino Ratio | 0.0537 | |||
| Treynor Ratio | 0.407 |
BMO SIA Focused Backtested Returns
BMO SIA appears to be very steady, given 3 months investment horizon. BMO SIA Focused secures Sharpe Ratio (or Efficiency) of 0.28, which signifies that the etf had a 0.28% return per unit of risk over the last 3 months. We have found thirty technical indicators for BMO SIA Focused, which you can use to evaluate the volatility of the entity. Please makes use of BMO SIA's risk adjusted performance of 0.1755, and Mean Deviation of 0.5804 to double-check if our risk estimates are consistent with your expectations. The etf shows a Beta (market volatility) of 0.41, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, BMO SIA's returns are expected to increase less than the market. However, during the bear market, the loss of holding BMO SIA is expected to be smaller as well.
Auto-correlation | 0.88 |
Very good predictability
BMO SIA Focused has very good predictability. Overlapping area represents the amount of predictability between BMO SIA time series from 31st of October 2024 to 15th of November 2024 and 15th of November 2024 to 30th 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 SIA Focused price movement. The serial correlation of 0.88 indicates that approximately 88.0% of current BMO SIA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.88 | |
| Spearman Rank Test | 0.71 | |
| Residual Average | 0.0 | |
| Price Variance | 0.36 |
BMO SIA Focused lagged returns against current returns
Autocorrelation, which is BMO SIA 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 SIA's etf expected returns. We can calculate the autocorrelation of BMO SIA returns to help us make a trade decision. For example, suppose you find that BMO SIA 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 SIA 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 SIA etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BMO SIA etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BMO SIA etf over time.
Current vs Lagged Prices |
| Timeline |
BMO SIA Lagged Returns
When evaluating BMO SIA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BMO SIA etf have on its future price. BMO SIA 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 SIA autocorrelation shows the relationship between BMO SIA etf current value and its past values and can show if there is a momentum factor associated with investing in BMO SIA Focused.
Regressed Prices |
| Timeline |
Pair Trading with BMO SIA
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 SIA 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 SIA will appreciate offsetting losses from the drop in the long position's value.Moving together with BMO Etf
| 0.91 | WSRI | Wealthsimple North | PairCorr |
| 0.86 | Purpose Core Dividend | PairCorr | |
| 0.96 | PBI | Purpose Best Ideas | PairCorr |
| 0.86 | PDIV | Purpose Enhanced Dividend | PairCorr |
Moving against BMO Etf
The ability to find closely correlated positions to BMO SIA 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 SIA 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 SIA - 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 SIA Focused to buy it.
The correlation of BMO SIA 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 SIA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if BMO SIA Focused 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 SIA 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 SIA 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 SIA security.