BMO Put Write Etf Volatility
| ZPH Etf | CAD 13.60 -0.15 -1.09% |
BMO Put Write still carries a minimal volatility profile through the selected period. BMO Put Write posts a Sharpe Ratio (Efficiency) of -0.1, signaling an unfavorable reward-to-risk profile over the last 3 months. There are 23 technical indicators affecting the current volatility pattern.
Sharpe Ratio = -0.1032
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| Negative Returns | ZPH |
Estimated Market Risk
| 0.46 actual daily | 4 96% of assets are more volatile |
Expected Return
| -0.05 actual daily | 0 Most of other assets have higher returns |
Risk-Adjusted Return
| -0.1 actual daily | 0 Most of other assets perform better |
BMO Put Write (ZPH.TO) recorded a Market Risk Adjusted Performance of -0.1%, a Risk of 0.46, and a Risk Adjusted Performance of -0.1%. BMO Put is below its full potential per monthly moving average analysis. Adding it to a well-diversified portfolio context can help capture more of its return potential.
Key indicators related to BMO Put's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Understanding BMO Put's historical volatility helps investors set realistic expectations for BMO Put's future price range. High-volatility etfs offer greater return potential but require more active risk management.
BMO |
Volatility Strategy
BMO Put Write may experience price swings that adjust its weight within diversified strategies. Current statistical measures show total volatility near 0.46% with a beta coefficient of 0.39, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.1, evaluates return per unit of total risk. An alpha value of -0.0152 reflects performance relative to systematic market exposure. Expected return estimates near -0.0473% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Liquidity shifts in components can alter dispersion.
Main indicators related to BMO Put's market risk premium analysis include:
Beta 0.39 | Alpha -0.02 | Risk 0.46 | Sharpe Ratio -0.10 | Expected Return -0.05 |
Moving together with BMO Etf
Moving against BMO Etf
| 0.85 | HEU | BetaPro SAMPP TSX | PairCorr |
| 0.84 | HXE | Global X SAMPPTSX | PairCorr |
| 0.83 | XEG | iShares SAMPPTSX Capped | PairCorr |
| 0.75 | SPXD | BetaPro SAMPP 500 | PairCorr |
| 0.74 | PRA | Purpose Diversified Real | PairCorr |
| 0.58 | JAPN | CI WisdomTree Japan | PairCorr |
| 0.49 | HBU | BetaPro Gold Bullion | PairCorr |
| 0.49 | ZIN | BMO SAMPPTSX Equal | PairCorr |
| 0.41 | ZJG | BMO Junior Gold | PairCorr |
| 0.4 | ZGD | BMO Equal Weight | PairCorr |
Sensitivity To Market
BMO Put Write beta of 0.39 summarizes its systematic risk relative to a selected benchmark. It reflects the regression slope between BMO returns and market returns. Total return dispersion is approximately 0.46%.This volatility snapshot summarizes recent price movement in BMO Put Write using standard deviation (0.44%) and downside deviation (0.0%). This ETF block uses premium/discount math to explain how market price can differ from NAV. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.
3 Months Beta |Analyze BMO Put Write Demand TrendCheck current 90 days BMO Put correlation with market (Dow Jones Industrial)Downside Risk
For BMO, standard deviation measures the dispersion of daily prices from the mean over a chosen time horizon. A high standard deviation signals high volatility; a low one signals stability.
Standard Deviation | 0.46 |
Investors in BMO Put should distinguish between standard deviation - which measures total price dispersion including upside - and downside deviation, which captures only the risk of loss in BMO Put's returns. BMO Put Write (ZPH.TO) recorded a Maximum Drawdown of 1.93.
Etf Volatility Analysis
For investors tracking BMO Put, understanding volatility is essential to managing portfolio risk. Volatility measures how much BMO Put's etf price deviates from its average over a period. A wide deviation implies greater uncertainty and potential reward or loss.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. BMO Put Write 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.
Projected Return Density Against Market
Assuming the 90-day trading horizon BMO Put has a beta of 0.3884 . This usually means as returns on the market go up, BMO Put's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding BMO Put Write is expected to be smaller as well.Like most traded instruments, BMO Put reflects both market risk and company or sector-specific developments. Diversifying across uncorrelated assets may reduce specific volatility, but broader etf market fluctuations remain influential. BMO Put Write (ZPH.TO) recorded a Mean Deviation of 0.34 and a Standard Deviation of 0.44.
Predicted Return Density |
| Returns |
What Drives BMO Put's Price Volatility?
Several factors can influence BMO Put's market volatility:Industry Dynamics
Sector-level events can directly affect BMO Put's price stability. Regulatory changes, supply disruptions, or shifts in demand within BMO Put's industry may create volatility even when the broader market is calm. Competitive dynamics and industry consolidation can also amplify price swings for companies like BMO Put.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for BMO Put's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward BMO Put. During periods of economic expansion, BMO Put's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.BMO Put's Company-Specific Factors
Volatility can also stem from events unique to BMO Put. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in BMO Put's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on BMO Put's share price.Etf Risk Measures
Assuming the 90-day trading horizon the coefficient of variation of BMO Put is -968.78. The daily returns are distributed with a variance of 0.21 and standard deviation of 0.46. The mean deviation of BMO Put Write is currently at 0.35. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | -0.0152 | |
β | Beta against Dow Jones | 0.39 | |
σ | Overall volatility | 0.46 | |
Ir | Information ratio | 0.08 |
Etf Return Volatility
BMO Put daily volatility tracks how widely etf returns have moved around the mean across the selected time frame. The ETF reflects 0.4579% volatility on return distribution over a 90-day horizon. On the other hand, Dow Jones Industrial has volatility of 0.8255% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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BMO Put Constituents Risk-Adjusted Indicators
Surface-level performance for BMO Etf can mask how the business actually stacks up against its competitive set. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze BMO Put's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| META | 1.48 | 0.01 | 0.00 | -0.08 | 0.00 | 2.33 | 14.24 | |||
| MSFT | 1.26 | -0.26 | 0.00 | -0.63 | 0.00 | 2.19 | 13.28 | |||
| UBER | 1.52 | -0.11 | 0.00 | -0.30 | 0.00 | 3.18 | 11.09 | |||
| F | 1.34 | -0.10 | 0.00 | -0.18 | 0.00 | 3.61 | 10.01 | |||
| T | 1.11 | 0.19 | 0.20 | -1.16 | 1.17 | 3.87 | 8.53 | |||
| A | 1.26 | -0.28 | 0.00 | -0.36 | 0.00 | 2.48 | 7.20 | |||
| CRM | 1.82 | -0.38 | 0.00 | -0.67 | 0.00 | 3.41 | 9.78 | |||
| JPM | 1.12 | -0.02 | 0.00 | -0.10 | 0.00 | 2.02 | 8.17 | |||
| MRK | 1.13 | 0.32 | 0.25 | 0.62 | 1.22 | 2.54 | 7.29 | |||
| XOM | 1.34 | 0.44 | 0.34 | 5.51 | 1.15 | 2.90 | 6.83 |
Risk Metrics, Assumptions & Methodology
Volatility for BMO Put reflects price dispersion, spread stability, and underlying basket liquidity conditions. Volatility clustering can signal regime shifts in dispersion.
Reported values for BMO Put Write are derived from fund disclosures and market reference feeds and then standardized by Macroaxis analytics. Refresh times depend on source availability. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Raphi Shpitalnik - Junior Member of Macroaxis Editorial BoardBMO Put Investment Opportunity
BMO Put Write currently shows materially lower return volatility than Dow Jones Industrial, with a relative multiple of about 1.8. The lower-risk profile may improve diversification efficiency, but it still needs to be judged against return quality and market sensitivity.You can use BMO Put Write to protect your portfolios against small market fluctuations. This directional read frames the latest price swing through a simple momentum and follow-through lens. It highlights whether the move looks ordinary, stressed, or unusually speculative for the instrument. a somewhat bearish sentiment, but the market may correct it shortly. Check odds of BMO Put to be traded at C$13.19 in 90 days.Very weak diversification
ZPH currently posts a 0.44 correlation with DJI, indicating a Very weak diversification relationship for the active sample. The cleaner interpretation is to review correlation beside volatility, expected return, and the role each holding plays in the portfolio.
BMO Put Additional Risk Indicators
Looking at additional risk metrics for BMO Put Write helps investors judge how the position may behave under different market and portfolio conditions. Used correctly, these measures can support both standalone risk assessment and portfolio-level hedging decisions.
| Risk Adjusted Performance | -0.08 | |||
| Market Risk Adjusted Performance | -0.12 | |||
| Mean Deviation | 0.3381 | |||
| Coefficient Of Variation | -1,152 | |||
| Standard Deviation | 0.4446 | |||
| Variance | 0.1977 | |||
| Information Ratio | 0.0841 |
BMO Put Suggested Diversification Pairs
Pair trading with BMO Put can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. The advantage is that adverse movement in one leg may be partly offset by the other when correlation and thesis alignment hold.
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Pair strategies help manage risk, but investors should recognize that not all risk can be diversified away through pairing. Market-level risk for BMO Put persists even in a well-constructed pair. The benefit is in offsetting BMO Put's company-specific risk, which can be meaningfully reduced by selecting a second position that moves independently of BMO Put Write.
More Resources for BMO Etf Analysis
Other Information on Investing in BMO Etf
BMO Put financial ratios provide valuation context across profits, cash flow, and enterprise value. They help compare BMO to other measures in a consistent way.