Bank of Montreal (Germany) Market Value
| BZZ Stock | EUR 89.64 0.04 0.04% |
| 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 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.
| 12/07/2023 |
| 12/01/2024 |
If you would invest 0.00 in Bank of Montreal on December 7, 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 360 days. Bank of Montreal is related to or competes with SLR Investment, Strategic Investments, SENECA FOODS-A, Thai Beverage, Performance Food, CapitaLand Investment, and National Beverage. 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 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 | 0.8422 | |||
| Information Ratio | 0.1667 | |||
| Maximum Drawdown | 5.41 | |||
| Value At Risk | (1.18) | |||
| Potential Upside | 1.79 |
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 | 0.2287 | |||
| Jensen Alpha | 0.2636 | |||
| Total Risk Alpha | 0.1274 | |||
| Sortino Ratio | 0.2118 | |||
| Treynor Ratio | 0.9212 |
Bank of Montreal Backtested Returns
Bank of Montreal appears to be very steady, given 3 months investment horizon. Bank of Montreal secures Sharpe Ratio (or Efficiency) of 0.28, which signifies that the company had a 0.28% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Bank of Montreal, which you can use to evaluate the volatility of the firm. Please makes use of Bank of Montreal's Risk Adjusted Performance of 0.2287, mean deviation of 0.7781, and Downside Deviation of 0.8422 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Bank of Montreal holds a performance score of 22. The firm shows a Beta (market volatility) of 0.33, which signifies possible diversification benefits within a given portfolio. 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. Please check Bank of Montreal's jensen alpha, maximum drawdown, semi variance, as well as the relationship between the sortino ratio and potential upside , to make a quick decision on whether Bank of Montreal's price patterns will revert.
Auto-correlation | 0.18 |
Very weak predictability
Bank of Montreal has very weak predictability. Overlapping area represents the amount of predictability between Bank of Montreal time series from 7th of December 2023 to 4th of June 2024 and 4th of June 2024 to 1st of December 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 0.18 indicates that over 18.0% of current Bank of Montreal price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.18 | |
| Spearman Rank Test | 0.33 | |
| Residual Average | 0.0 | |
| Price Variance | 21.98 |
Bank of Montreal lagged returns against current returns
Autocorrelation, which is Bank of Montreal 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 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 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 stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank of Montreal 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 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 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 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 |
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Additional Information and Resources on Investing in Bank Stock
When determining whether Bank of Montreal offers a strong return on investment in its stock, a comprehensive analysis is essential. The process typically begins with a thorough review of Bank of Montreal's financial statements, including income statements, balance sheets, and cash flow statements, to assess its financial health. Key financial ratios are used to gauge profitability, efficiency, and growth potential of Bank Of Montreal Stock. Outlined below are crucial reports that will aid in making a well-informed decision on Bank Of Montreal Stock:Check out Bank of Montreal Correlation, Bank of Montreal Volatility and Bank of Montreal Alpha and Beta module to complement your research on Bank of Montreal. For more detail on how to invest in Bank Stock please use our How to Invest in Bank of Montreal guide.You can also try the My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
Bank of Montreal technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.