Bmo Covered Call Etf Market Value
| ZWA Etf | CAD 28.15 0.25 0.90% |
| Symbol | BMO |
BMO Covered '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 Covered'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 Covered.
| 11/01/2024 |
| 12/01/2024 |
If you would invest 0.00 in BMO Covered on November 1, 2024 and sell it all today you would earn a total of 0.00 from holding BMO Covered Call or generate 0.0% return on investment in BMO Covered over 30 days. BMO Covered is related to or competes with BMO SP, Vanguard, BMO SP, BMO NASDAQ, and IShares Core. BMO Covered Call Dow Jones Industrial Average Hedged to CAD ETF seeks to provide exposure to the performance of a portfo... More
BMO Covered 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 Covered'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 Covered Call upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5171 | |||
| Information Ratio | 0.0057 | |||
| Maximum Drawdown | 3.42 | |||
| Value At Risk | (0.63) | |||
| Potential Upside | 0.8961 |
BMO Covered Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BMO Covered's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BMO Covered's standard deviation. In reality, there are many statistical measures that can use BMO Covered historical prices to predict the future BMO Covered's volatility.| Risk Adjusted Performance | 0.1777 | |||
| Jensen Alpha | 0.0865 | |||
| Total Risk Alpha | 0.0313 | |||
| Sortino Ratio | 0.0065 | |||
| Treynor Ratio | 0.3759 |
BMO Covered Call Backtested Returns
As of now, BMO Etf is very steady. BMO Covered Call secures Sharpe Ratio (or Efficiency) of 0.26, which signifies that the etf had a 0.26% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for BMO Covered Call, which you can use to evaluate the volatility of the entity. Please confirm BMO Covered's risk adjusted performance of 0.1777, and Mean Deviation of 0.438 to double-check if the risk estimate we provide is consistent with the expected return of 0.15%. The etf shows a Beta (market volatility) of 0.35, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, BMO Covered's returns are expected to increase less than the market. However, during the bear market, the loss of holding BMO Covered is expected to be smaller as well.
Auto-correlation | 0.82 |
Very good predictability
BMO Covered Call has very good predictability. Overlapping area represents the amount of predictability between BMO Covered time series from 1st of November 2024 to 16th of November 2024 and 16th of November 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 Covered Call price movement. The serial correlation of 0.82 indicates that around 82.0% of current BMO Covered price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.82 | |
| Spearman Rank Test | 0.55 | |
| Residual Average | 0.0 | |
| Price Variance | 0.16 |
BMO Covered Call lagged returns against current returns
Autocorrelation, which is BMO Covered 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 Covered's etf expected returns. We can calculate the autocorrelation of BMO Covered returns to help us make a trade decision. For example, suppose you find that BMO Covered 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 Covered 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 Covered etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BMO Covered etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BMO Covered etf over time.
Current vs Lagged Prices |
| Timeline |
BMO Covered Lagged Returns
When evaluating BMO Covered's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BMO Covered etf have on its future price. BMO Covered 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 Covered autocorrelation shows the relationship between BMO Covered etf current value and its past values and can show if there is a momentum factor associated with investing in BMO Covered Call.
Regressed Prices |
| Timeline |
Pair Trading with BMO Covered
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 Covered 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 Covered 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 |
| 0.96 | ZSP | BMO SP 500 | PairCorr |
| 0.95 | VFV | Vanguard SP 500 | PairCorr |
| 0.95 | HXS | Global X SP | PairCorr |
| 0.95 | XUS | iShares Core SP | PairCorr |
The ability to find closely correlated positions to BMO Covered 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 Covered 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 Covered - 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 Covered Call to buy it.
The correlation of BMO Covered 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 Covered moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if BMO Covered Call 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 Covered 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 Covered 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 Covered security.