Bmo Dow Jones Etf Market Value
| ZDJ Etf | CAD 69.09 0.11 0.16% |
| Symbol | BMO |
BMO Dow '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 Dow'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 Dow.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in BMO Dow on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding BMO Dow Jones or generate 0.0% return on investment in BMO Dow over 30 days. BMO Dow is related to or competes with BMO SP, BMO NASDAQ, BMO Equal, BMO Equal, and BMO MSCI. BMO Dow Jones Industrial Average Hedged to CAD Index ETF seeks to replicate, to the extent possible, the performance of ... More
BMO Dow 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 Dow'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 Dow Jones upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6029 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 4.55 | |||
| Value At Risk | (0.90) | |||
| Potential Upside | 1.06 |
BMO Dow Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BMO Dow's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BMO Dow's standard deviation. In reality, there are many statistical measures that can use BMO Dow historical prices to predict the future BMO Dow's volatility.| Risk Adjusted Performance | 0.1268 | |||
| Jensen Alpha | 0.0632 | |||
| Total Risk Alpha | 0.0014 | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | 0.2585 |
BMO Dow Jones Backtested Returns
As of now, BMO Etf is very steady. BMO Dow Jones secures Sharpe Ratio (or Efficiency) of 0.19, which signifies that the etf had a 0.19% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for BMO Dow Jones, which you can use to evaluate the volatility of the entity. Please confirm BMO Dow's mean deviation of 0.5372, and Risk Adjusted Performance of 0.1268 to double-check if the risk estimate we provide is consistent with the expected return of 0.14%. The etf shows a Beta (market volatility) of 0.44, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, BMO Dow's returns are expected to increase less than the market. However, during the bear market, the loss of holding BMO Dow is expected to be smaller as well.
Auto-correlation | 0.95 |
Excellent predictability
BMO Dow Jones has excellent predictability. Overlapping area represents the amount of predictability between BMO Dow time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th 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 Dow Jones price movement. The serial correlation of 0.95 indicates that approximately 95.0% of current BMO Dow price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.95 | |
| Spearman Rank Test | 0.83 | |
| Residual Average | 0.0 | |
| Price Variance | 0.89 |
BMO Dow Jones lagged returns against current returns
Autocorrelation, which is BMO Dow 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 Dow's etf expected returns. We can calculate the autocorrelation of BMO Dow returns to help us make a trade decision. For example, suppose you find that BMO Dow 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 Dow 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 Dow etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BMO Dow etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BMO Dow etf over time.
Current vs Lagged Prices |
| Timeline |
BMO Dow Lagged Returns
When evaluating BMO Dow's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BMO Dow etf have on its future price. BMO Dow 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 Dow autocorrelation shows the relationship between BMO Dow etf current value and its past values and can show if there is a momentum factor associated with investing in BMO Dow Jones.
Regressed Prices |
| Timeline |
Pair Trading with BMO Dow
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 Dow 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 Dow 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 |
| 0.95 | ZSP | BMO SP 500 | PairCorr |
| 0.94 | VFV | Vanguard SP 500 | PairCorr |
| 0.94 | HXS | Global X SP | PairCorr |
| 0.94 | XUS | iShares Core SP | PairCorr |
The ability to find closely correlated positions to BMO Dow 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 Dow 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 Dow - 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 Dow Jones to buy it.
The correlation of BMO Dow 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 Dow moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if BMO Dow Jones 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 Dow 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 Dow 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 Dow security.