Bmo Floating Rate Etf Market Value
| ZFH Etf | CAD 14.61 0.05 0.34% |
| Symbol | BMO |
BMO Floating '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 Floating'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 Floating.
| 03/03/2024 |
| 05/02/2024 |
If you would invest 0.00 in BMO Floating on March 3, 2024 and sell it all today you would earn a total of 0.00 from holding BMO Floating Rate or generate 0.0% return on investment in BMO Floating over 60 days. BMO Floating is related to or competes with First Trust, First Trust, First Trust, Horizons Active, and . BMO Floating Rate High Yield ETF seeks to provide exposure to a diversified portfolio of debt securities of high yield b... More
BMO Floating 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 Floating'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 Floating Rate upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2787 | |||
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 1.32 | |||
| Value At Risk | (0.41) | |||
| Potential Upside | 0.5571 |
BMO Floating Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BMO Floating's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BMO Floating's standard deviation. In reality, there are many statistical measures that can use BMO Floating historical prices to predict the future BMO Floating's volatility.| Risk Adjusted Performance | 0.0714 | |||
| Jensen Alpha | 0.0177 | |||
| Total Risk Alpha | 0.0051 | |||
| Sortino Ratio | (0.08) | |||
| Treynor Ratio | 0.1549 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of BMO Floating'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 Floating Rate Backtested Returns
We consider BMO Floating very steady. BMO Floating Rate secures Sharpe Ratio (or Efficiency) of 0.17, which signifies that the etf had a 0.17% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for BMO Floating Rate, which you can use to evaluate the volatility of the entity. Please confirm BMO Floating's risk adjusted performance of 0.0714, and Mean Deviation of 0.2105 to double-check if the risk estimate we provide is consistent with the expected return of 0.0463%. The etf shows a Beta (market volatility) of 0.17, which signifies not very significant fluctuations relative to the market. As returns on the market increase, BMO Floating's returns are expected to increase less than the market. However, during the bear market, the loss of holding BMO Floating is expected to be smaller as well.
Auto-correlation | -0.16 |
Insignificant reverse predictability
BMO Floating Rate has insignificant reverse predictability. Overlapping area represents the amount of predictability between BMO Floating time series from 3rd of March 2024 to 2nd of April 2024 and 2nd of April 2024 to 2nd of May 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 Floating Rate price movement. The serial correlation of -0.16 indicates that over 16.0% of current BMO Floating price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.16 | |
| Spearman Rank Test | -0.22 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
BMO Floating Rate lagged returns against current returns
Autocorrelation, which is BMO Floating 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 Floating's etf expected returns. We can calculate the autocorrelation of BMO Floating returns to help us make a trade decision. For example, suppose you find that BMO Floating 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 Floating 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 Floating etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BMO Floating etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BMO Floating etf over time.
Current vs Lagged Prices |
| Timeline |
BMO Floating Lagged Returns
When evaluating BMO Floating's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BMO Floating etf have on its future price. BMO Floating 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 Floating autocorrelation shows the relationship between BMO Floating etf current value and its past values and can show if there is a momentum factor associated with investing in BMO Floating Rate.
Regressed Prices |
| Timeline |
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Check out BMO Floating Correlation, BMO Floating Volatility and BMO Floating Alpha and Beta module to complement your research on BMO Floating. Note that the BMO Floating Rate information on this page should be used as a complementary analysis to other BMO Floating's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.
BMO Floating 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.