Bank Of Montreal Backtesting

BMO -- USA Stock  

Fiscal Quarter End: October 31, 2019  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Bank Of Montreal and determine expected loss or profit from investing in Bank Of Montreal over given investment horizon. Check also Bank Of Montreal Hype Analysis, Bank Of Montreal Correlation, Bank Of Montreal Valuation, Bank Of Montreal Volatility as well as analyze Bank Of Montreal Alpha and Beta and Bank Of Montreal Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Bank Of Montreal 'What if' Analysis

July 16, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
October 14, 2019
0.00
If you would invest  0.00  in Bank Of Montreal on July 16, 2019 and sell it all today you would earn a total of 0.00 from holding Bank Of Montreal or generate 0.0% return on investment in Bank Of Montreal over 90 days. Bank Of Montreal is related to or competes with Citigroup, Canadian Imperial, Credit Suisse, East West, B of A, Barclays PLC, and Bank Of Montreal. Bank of Montreal provides diversified financial services primarily in North America

Bank Of Montreal Upside/Downside Indicators

Information Ratio(0.015992)
Maximum Drawdown5.49
Value At Risk(1.75)
Potential Upside1.49

Bank Of Montreal Market Premium Indicators

Risk Adjusted Performance(0.038628)
Jensen Alpha(0.025045)
Total Risk Alpha(0.013784)
Treynor Ratio(0.07)

Bank Of Montreal Backtested Returns

Macroaxis considers Bank Of Montreal to be very steady. Bank Of Montreal secures Sharpe Ratio (or Efficiency) of -0.0247 which signifies that the organization had -0.0247% of return per unit of risk over the last 3 months. Macroaxis philosophy towards foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Bank Of Montreal exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Bank Of Montreal Risk Adjusted Performance of (0.038628) and Mean Deviation of 0.7436 to double-check risk estimate we provide. The firm shows Beta (market volatility) of 0.767 which signifies that as returns on market increase, Bank Of Montreal returns are expected to increase less than the market. However during bear market, the loss on holding Bank Of Montreal will be expected to be smaller as well. Even though it is essential to pay attention to Bank Of Montreal historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Bank Of Montreal exposes twenty-one different technical indicators which can help you to evaluate its performance. Bank Of Montreal has expected return of -0.0259%. Please be advised to confirm Bank Of Montreal Coefficient Of Variation, Treynor Ratio as well as the relationship between Treynor Ratio and Semi Variance to decide if Bank Of Montreal past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.41) 
correlation synergy

Modest reverse predictability

Bank Of Montreal has modest reverse predictability. Overlapping area represents the amount of predictability between Bank Of Montreal time series from July 16, 2019 to August 30, 2019 and August 30, 2019 to October 14, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Bank Of Montreal price movement. The serial correlation of -0.41 indicates that just about 41.0% of current Bank Of Montreal price fluctuation can be explain by its past prices. Given that Bank Of Montreal has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Bank Of Montreal for similar time interval.
Correlation Coefficient-0.41
Spearman Rank Test-0.25
Residual Average0.0
Price Variance2.6

Bank Of Montreal lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Bank Of Montreal regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Bank Of Montreal Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - BMO

Bank Of Montreal Investor Sentiment

Greater number of Macroaxis users are currently bullish on Bank Of Montreal. What is your opinion about investing in Bank Of Montreal? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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Bank Of Montreal Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Bank Of Montreal and Citigroup. 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
Run Pair Correlation  
Check also Bank Of Montreal Hype Analysis, Bank Of Montreal Correlation, Bank Of Montreal Valuation, Bank Of Montreal Volatility as well as analyze Bank Of Montreal Alpha and Beta and Bank Of Montreal Performance. Please also try Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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