BMO Inter Backtesting

BITAX -- USA Fund  

USD 11.58  0.01  0.09%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of BMO Inter Tax Free Fund Class A and determine expected loss or profit from investing in BMO Inter over given investment horizon. Continue to BMO Inter Hype Analysis, BMO Inter Correlation, Portfolio Optimization, BMO Inter Volatility as well as analyze BMO Inter Alpha and Beta and BMO Inter Performance.
Horizon     30 Days    Login   to change

BMO Inter 'What if' Analysis

October 19, 2019
No Change 0.00  0.0 
In 3 months and 1 day
January 17, 2020
If you would invest  0.00  in BMO Inter on October 19, 2019 and sell it all today you would earn a total of 0.00 from holding BMO Inter Tax Free Fund Class A or generate 0.0% return on investment in BMO Inter over 90 days. BMO Inter is related to or competes with Vanguard Intermediate, Vanguard Intermediate, American Fds, American Fds, American Fds, American Fds, and Tax Exempt. The investment seeks to provide a high level of current income exempt from federal income tax consistent with preservati...

BMO Inter Upside/Downside Indicators

Downside Deviation0.1638
Information Ratio(1.17)
Maximum Drawdown0.6108
Value At Risk(0.17)
Potential Upside0.1739

BMO Inter Market Premium Indicators

Risk Adjusted Performance(0.012753)
Jensen Alpha(0.003029)
Total Risk Alpha(0.027706)
Sortino Ratio(0.71)
Treynor Ratio0.3133

BMO Inter Tax Backtested Returns

We consider BMO Inter very steady. BMO Inter Tax secures Sharpe Ratio (or Efficiency) of 0.0967 which signifies that the fund had 0.0967% of return per unit of risk over the last 3 months. Our philosophy towards foreseeing volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-six technical indicators for BMO Inter Tax Free Fund Class A which you can use to evaluate future volatility of the entity. Please confirm BMO Inter Tax Mean Deviation of 0.0653 and Risk Adjusted Performance of (0.012753) to double-check if risk estimate we provide are consistent with the epected return of 0.0097%. The organization shows Beta (market volatility) of -0.015 which signifies that as returns on market increase, returns on owning BMO Inter are expected to decrease at a much smaller rate. During bear market, BMO Inter is likely to outperform the market. Although it is extremely important to respect BMO Inter Tax historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By reviewing BMO Inter Tax technical indicators you can today evaluate if the expected return of 0.0097% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.60 
correlation synergy

Good predictability

BMO Inter Tax Free Fund Class A has good predictability. Overlapping area represents the amount of predictability between BMO Inter time series from October 19, 2019 to December 3, 2019 and December 3, 2019 to January 17, 2020. 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 Inter Tax price movement. The serial correlation of 0.6 indicates that roughly 60.0% of current BMO Inter price fluctuation can be explain by its past prices.
Correlation Coefficient0.6
Spearman Rank Test0.24
Residual Average0.0
Price Variance0.0

BMO Inter Tax lagged returns against current returns

 Current and Lagged Values 

BMO Inter regressed lagged prices vs. current prices

 Current vs Lagged Prices 

BMO Inter Lagged Returns

 Regressed Prices 

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BMO Inter Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for BMO Inter and Vanguard Intermediate. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Continue to BMO Inter Hype Analysis, BMO Inter Correlation, Portfolio Optimization, BMO Inter Volatility as well as analyze BMO Inter Alpha and Beta and BMO Inter Performance. Please also try Insider Screener module to find insiders across different sectors to evaluate their impact on performance.