Bmo Sp 500 Etf Market Value
| ZSP Etf | CAD 92.52 0.60 0.64% |
| Symbol | BMO |
BMO SP '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 SP'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 SP.
| 12/07/2023 |
| 12/01/2024 |
If you would invest 0.00 in BMO SP on December 7, 2023 and sell it all today you would earn a total of 0.00 from holding BMO SP 500 or generate 0.0% return on investment in BMO SP over 360 days. BMO SP is related to or competes with BMO SPTSX, BMO NASDAQ, IShares Core, Vanguard, and BMO SPTSX. The BMO SP 500 Index ETF has been designed to replicate, to the extent possible, the performance of the SP 500 Index, ne... More
BMO SP 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 SP'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 SP 500 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7857 | |||
| Information Ratio | 0.0571 | |||
| Maximum Drawdown | 4.38 | |||
| Value At Risk | (1.13) | |||
| Potential Upside | 1.17 |
BMO SP Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BMO SP's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BMO SP's standard deviation. In reality, there are many statistical measures that can use BMO SP historical prices to predict the future BMO SP's volatility.| Risk Adjusted Performance | 0.1816 | |||
| Jensen Alpha | 0.1188 | |||
| Total Risk Alpha | 0.0439 | |||
| Sortino Ratio | 0.0554 | |||
| Treynor Ratio | 0.4175 |
BMO SP 500 Backtested Returns
BMO SP appears to be very steady, given 3 months investment horizon. BMO SP 500 secures Sharpe Ratio (or Efficiency) of 0.27, which signifies that the etf had a 0.27% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for BMO SP 500, which you can use to evaluate the volatility of the entity. Please makes use of BMO SP's mean deviation of 0.5352, and Risk Adjusted Performance of 0.1816 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 SP's returns are expected to increase less than the market. However, during the bear market, the loss of holding BMO SP is expected to be smaller as well.
Auto-correlation | 0.70 |
Good predictability
BMO SP 500 has good predictability. Overlapping area represents the amount of predictability between BMO SP 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 BMO SP 500 price movement. The serial correlation of 0.7 indicates that around 70.0% of current BMO SP price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.7 | |
| Spearman Rank Test | 0.75 | |
| Residual Average | 0.0 | |
| Price Variance | 12.46 |
BMO SP 500 lagged returns against current returns
Autocorrelation, which is BMO SP 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 SP's etf expected returns. We can calculate the autocorrelation of BMO SP returns to help us make a trade decision. For example, suppose you find that BMO SP 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 SP 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 SP etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BMO SP etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BMO SP etf over time.
Current vs Lagged Prices |
| Timeline |
BMO SP Lagged Returns
When evaluating BMO SP's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BMO SP etf have on its future price. BMO SP 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 SP autocorrelation shows the relationship between BMO SP etf current value and its past values and can show if there is a momentum factor associated with investing in BMO SP 500.
Regressed Prices |
| Timeline |
Pair Trading with BMO SP
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 SP 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 SP will appreciate offsetting losses from the drop in the long position's value.Moving together with BMO Etf
| 0.97 | XSP | iShares Core SP | PairCorr |
| 1.0 | VFV | Vanguard SP 500 | PairCorr |
| 1.0 | HXS | Global X SP | PairCorr |
| 1.0 | XUS | iShares Core SP | PairCorr |
The ability to find closely correlated positions to BMO SP 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 SP 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 SP - 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 SP 500 to buy it.
The correlation of BMO SP 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 SP moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if BMO SP 500 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 SP 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 SP 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 SP security.