Bmo Sp 500 Etf Market Value
| ZSP Etf | CAD 74.65 0.77 1.02% |
| 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.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in BMO SP on March 20, 2024 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 30 days. BMO SP is related to or competes with IShares SPTSX, and IShares Core. 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 | 0.5831 | |||
| Information Ratio | 0.0718 | |||
| Maximum Drawdown | 3.02 | |||
| Value At Risk | (0.90) | |||
| 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 | 0.1118 | |||
| Jensen Alpha | 0.067 | |||
| Total Risk Alpha | 0.0441 | |||
| Sortino Ratio | 0.0778 | |||
| Treynor Ratio | 0.1649 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of BMO SP's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
BMO SP 500 Backtested Returns
We consider BMO SP very steady. BMO SP 500 secures Sharpe Ratio (or Efficiency) of 0.12, which signifies that the etf had a 0.12% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for BMO SP 500, which you can use to evaluate the volatility of the entity. Please confirm BMO SP's risk adjusted performance of 0.1118, and Mean Deviation of 0.4923 to double-check if the risk estimate we provide is consistent with the expected return of 0.0758%. The etf shows a Beta (market volatility) of 0.63, 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 | 0.76 |
Good predictability
BMO SP 500 has good predictability. Overlapping area represents the amount of predictability between BMO SP time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th of April 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 0.76 indicates that around 76.0% of current BMO SP price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.76 | |
| Spearman Rank Test | -0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 0.51 |
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 |
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BMO SP technical etf analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, etf market cycles, or different charting patterns.