Bmo Msci Eafe Etf Market Value
| ESGE Etf | CAD 35.28 0.15 0.42% |
| Symbol | BMO |
BMO MSCI '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 MSCI'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 MSCI.
| 11/15/2024 |
| 12/15/2024 |
If you would invest 0.00 in BMO MSCI on November 15, 2024 and sell it all today you would earn a total of 0.00 from holding BMO MSCI EAFE or generate 0.0% return on investment in BMO MSCI over 30 days. BMO MSCI is related to or competes with IShares SPTSX, IShares Core, IShares Core, BMO Aggregate, IShares Canadian, BMO SPTSX, and BMO SP. BMO MSCI is traded on Toronto Stock Exchange in Canada. More
BMO MSCI 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 MSCI'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 MSCI EAFE upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7097 | |||
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 4.05 | |||
| Value At Risk | (0.98) | |||
| Potential Upside | 1.08 |
BMO MSCI Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BMO MSCI's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BMO MSCI's standard deviation. In reality, there are many statistical measures that can use BMO MSCI historical prices to predict the future BMO MSCI's volatility.| Risk Adjusted Performance | 0.0068 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | (0.13) | |||
| Treynor Ratio | (0.02) |
BMO MSCI EAFE Backtested Returns
BMO MSCI EAFE secures Sharpe Ratio (or Efficiency) of -0.0141, which signifies that the etf had a -0.0141% return per unit of risk over the last 3 months. BMO MSCI EAFE exposes twenty-eight different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm BMO MSCI's mean deviation of 0.5238, and Risk Adjusted Performance of 0.0068 to double-check the risk estimate we provide. The etf shows a Beta (market volatility) of 0.17, which signifies not very significant fluctuations relative to the market. As returns on the market increase, BMO MSCI's returns are expected to increase less than the market. However, during the bear market, the loss of holding BMO MSCI is expected to be smaller as well.
Auto-correlation | -0.26 |
Weak reverse predictability
BMO MSCI EAFE has weak reverse predictability. Overlapping area represents the amount of predictability between BMO MSCI time series from 15th of November 2024 to 30th of November 2024 and 30th of November 2024 to 15th 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 BMO MSCI EAFE price movement. The serial correlation of -0.26 indicates that nearly 26.0% of current BMO MSCI price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.26 | |
| Spearman Rank Test | 0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
BMO MSCI EAFE lagged returns against current returns
Autocorrelation, which is BMO MSCI 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 MSCI's etf expected returns. We can calculate the autocorrelation of BMO MSCI returns to help us make a trade decision. For example, suppose you find that BMO MSCI 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 MSCI 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 MSCI etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BMO MSCI etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BMO MSCI etf over time.
Current vs Lagged Prices |
| Timeline |
BMO MSCI Lagged Returns
When evaluating BMO MSCI's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BMO MSCI etf have on its future price. BMO MSCI 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 MSCI autocorrelation shows the relationship between BMO MSCI etf current value and its past values and can show if there is a momentum factor associated with investing in BMO MSCI EAFE.
Regressed Prices |
| Timeline |
Pair Trading with BMO MSCI
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 MSCI 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 MSCI will appreciate offsetting losses from the drop in the long position's value.Moving against BMO Etf
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The ability to find closely correlated positions to BMO MSCI 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 MSCI 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 MSCI - 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 MSCI EAFE to buy it.
The correlation of BMO MSCI 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 MSCI moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if BMO MSCI EAFE 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 MSCI 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 MSCI 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 MSCI security.