Bank Of Montreal Stock Volatility
| BMO Stock | USD 93.02 1.79 1.89% |
We consider Bank of Montreal very steady. Bank of Montreal secures Sharpe Ratio (or Efficiency) of 0.0138, which signifies that the company had a 0.0138% return per unit of risk over the last 3 months. We have found twenty-three technical indicators for Bank of Montreal, which you can use to evaluate the volatility of the firm. Please confirm Bank of Montreal's Risk Adjusted Performance of (0.02), standard deviation of 1.18, and Mean Deviation of 0.8377 to double-check if the risk estimate we provide is consistent with the expected return of 0.0164%. Key indicators related to Bank of Montreal's volatility include:
30 Days Market Risk | Chance Of Distress | 30 Days Economic Sensitivity |
Bank of Montreal Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Bank daily returns, and it is calculated using variance and standard deviation. We also use Bank's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Bank of Montreal volatility.
Bank |
ESG Sustainability
While most ESG disclosures are voluntary, Bank of Montreal's sustainability indicators can be used to identify proper investment strategies using environmental, social, and governance scores that are crucial to Bank of Montreal's managers and investors.Environment Score | Governance Score | Social Score |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Bank of Montreal can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Bank of Montreal at lower prices. For example, an investor can purchase Bank stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Bank of Montreal's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.
Moving together with Bank Stock
| 0.71 | RY | Royal Bank Financial Report 23rd of May 2024 | PairCorr |
Bank of Montreal Market Sensitivity And Downside Risk
Bank of Montreal's beta coefficient measures the volatility of Bank stock compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Bank stock's returns against your selected market. In other words, Bank of Montreal's beta of 0.0172 provides an investor with an approximation of how much risk Bank of Montreal stock can potentially add to one of your existing portfolios. Bank of Montreal exhibits very low volatility with skewness of -0.76 and kurtosis of 1.72. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Bank of Montreal's stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Bank of Montreal's stock price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Bank of Montreal Demand TrendCheck current 90 days Bank of Montreal correlation with market (NYSE Composite)Bank Beta |
Bank standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Standard Deviation | 1.19 |
It is essential to understand the difference between upside risk (as represented by Bank of Montreal's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Bank of Montreal's daily returns or price. Since the actual investment returns on holding a position in bank stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Bank of Montreal.
Using Bank Put Option to Manage Risk
Put options written on Bank of Montreal grant holders of the option the right to sell a specified amount of Bank of Montreal at a specified price within a specified time frame. The put buyer has a limited loss and, while not fully unlimited gains, as the price of Bank Stock cannot fall below zero, the put buyer does gain as the price drops. So, one way investors can hedge Bank of Montreal's position is by buying a put option against it. The put option used this way is usually referred to as insurance. If an undesired outcome occurs and loss on holding Bank of Montreal will be realized, the loss incurred will be offset by the profits made with the option trade.
Bank of Montreal's PUT expiring on 2024-04-19
Profit |
| Bank of Montreal Price At Expiration |
Current Bank of Montreal Insurance Chain
| Delta | Gamma | Open Int | Expiration | Current Spread | Last Price | |||
Put | 2024-04-19 PUT at $100.0 | -0.7586 | 0.0336 | 226 | 2024-04-19 | 5.9 - 8.5 | 2.2 | View |
Put | 2024-04-19 PUT at $95.0 | -0.8018 | 0.1085 | 1576 | 2024-04-19 | 2.35 - 2.7 | 1.15 | View |
Put | 2024-04-19 PUT at $90.0 | -0.162 | 0.0851 | 631 | 2024-04-19 | 0.2 - 0.3 | 0.15 | View |
Bank of Montreal Stock Volatility Analysis
Volatility refers to the frequency at which Bank of Montreal stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Bank of Montreal's price changes. Investors will then calculate the volatility of Bank of Montreal's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Bank of Montreal's volatility:
Historical Volatility
This type of stock volatility measures Bank of Montreal's fluctuations based on previous trends. It's commonly used to predict Bank of Montreal's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Bank of Montreal's current market price. This means that the stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Bank of Montreal's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Bank of Montreal Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Bank of Montreal Projected Return Density Against Market
Considering the 90-day investment horizon Bank of Montreal has a beta of 0.0172 suggesting as returns on the market go up, Bank of Montreal average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Bank of Montreal will be expected to be much smaller as well.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Bank of Montreal or Banks sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Bank of Montreal's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Bank stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Bank of Montreal has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the NYSE Composite. Predicted Return Density |
| Returns |
What Drives a Bank of Montreal Price Volatility?
Several factors can influence a stock's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Bank of Montreal Stock Risk Measures
Considering the 90-day investment horizon the coefficient of variation of Bank of Montreal is 7252.39. The daily returns are distributed with a variance of 1.41 and standard deviation of 1.19. The mean deviation of Bank of Montreal is currently at 0.82. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 0.63
α | Alpha over NYSE Composite | -0.05 | |
β | Beta against NYSE Composite | 0.02 | |
σ | Overall volatility | 1.19 | |
Ir | Information ratio | -0.09 |
Bank of Montreal Stock Return Volatility
Bank of Montreal historical daily return volatility represents how much of Bank of Montreal stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm has volatility of 1.1883% on return distribution over 90 days investment horizon. By contrast, NYSE Composite accepts 0.6196% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Bank of Montreal Volatility
Volatility is a rate at which the price of Bank of Montreal or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Bank of Montreal may increase or decrease. In other words, similar to Bank's beta indicator, it measures the risk of Bank of Montreal and helps estimate the fluctuations that may happen in a short period of time. So if prices of Bank of Montreal fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.| Last Reported | Projected for Next Year | ||
| Selling And Marketing Expenses | 936.1 M | 546.4 M | |
| Market Cap | 66.8 B | 70.2 B |
Bank of Montreal's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Bank Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Bank of Montreal's price varies over time.
3 ways to utilize Bank of Montreal's volatility to invest better
Higher Bank of Montreal's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Bank of Montreal stock is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Bank of Montreal stock volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Bank of Montreal investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Bank of Montreal's stock can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Bank of Montreal's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Bank of Montreal Investment Opportunity
Bank of Montreal has a volatility of 1.19 and is 1.92 times more volatile than NYSE Composite. 10 percent of all equities and portfolios are less risky than Bank of Montreal. You can use Bank of Montreal to protect your portfolios against small market fluctuations. The stock experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Bank of Montreal to be traded at $90.23 in 90 days.Significant diversification
The correlation between Bank of Montreal and NYA is 0.01 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Bank of Montreal and NYA in the same portfolio, assuming nothing else is changed.
Bank of Montreal Additional Risk Indicators
The analysis of Bank of Montreal's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Bank of Montreal's investment and either accepting that risk or mitigating it. Along with some common measures of Bank of Montreal stock's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | (0.02) | |||
| Market Risk Adjusted Performance | (2.75) | |||
| Mean Deviation | 0.8377 | |||
| Coefficient Of Variation | (3,141) | |||
| Standard Deviation | 1.18 | |||
| Variance | 1.38 | |||
| Information Ratio | (0.09) |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Bank of Montreal Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Bank of Montreal as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Bank of Montreal's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Bank of Montreal's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Bank of Montreal.
When determining whether Bank of Montreal is a good investment, qualitative aspects like company management, corporate governance, and ethical practices play a significant role. A comparison with peer companies also provides context and helps to understand if Bank Stock is undervalued or overvalued. This multi-faceted approach, blending both quantitative and qualitative analysis, forms a solid foundation for making an informed investment decision about Bank Of Montreal Stock. Highlighted below are key reports to facilitate an investment decision about Bank Of Montreal Stock: Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Bank of Montreal. Also, note that the market value of any company could be tightly coupled with the direction of predictive economic indicators such as signals in population. To learn how to invest in Bank Stock, please use our How to Invest in Bank of Montreal guide.You can also try the Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.
Complementary Tools for Bank Stock analysis
When running Bank of Montreal's price analysis, check to measure Bank of Montreal's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Bank of Montreal is operating at the current time. Most of Bank of Montreal's value examination focuses on studying past and present price action to predict the probability of Bank of Montreal's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Bank of Montreal's price. Additionally, you may evaluate how the addition of Bank of Montreal to your portfolios can decrease your overall portfolio volatility.
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Is Bank of Montreal's industry expected to grow? Or is there an opportunity to expand the business' product line in the future? Factors like these will boost the valuation of Bank of Montreal. If investors know Bank will grow in the future, the company's valuation will be higher. The financial industry is built on trying to define current growth potential and future valuation accurately. All the valuation information about Bank of Montreal listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.
Quarterly Earnings Growth 11.567 | Dividend Share 5.88 | Earnings Share 5.29 | Revenue Per Share 43.463 | Quarterly Revenue Growth 0.443 |
The market value of Bank of Montreal is measured differently than its book value, which is the value of Bank that is recorded on the company's balance sheet. Investors also form their own opinion of Bank of Montreal's value that differs from its market value or its book value, called intrinsic value, which is Bank of Montreal's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Bank of Montreal's market value can be influenced by many factors that don't directly affect Bank of Montreal's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Bank of Montreal's value and its price as these two are different measures arrived at by different means. Investors typically determine if Bank of Montreal is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Bank of Montreal's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.