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BMO.TO vs. ^TNX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between BMO.TO and ^TNX is 0.14, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.1

Performance

BMO.TO vs. ^TNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Bank of Montreal (BMO.TO) and Treasury Yield 10 Years (^TNX). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
16.18%
6.49%
BMO.TO
^TNX

Key characteristics

Sharpe Ratio

BMO.TO:

0.74

^TNX:

0.75

Sortino Ratio

BMO.TO:

1.02

^TNX:

1.25

Omega Ratio

BMO.TO:

1.17

^TNX:

1.14

Calmar Ratio

BMO.TO:

0.77

^TNX:

0.30

Martin Ratio

BMO.TO:

2.04

^TNX:

1.62

Ulcer Index

BMO.TO:

7.06%

^TNX:

10.31%

Daily Std Dev

BMO.TO:

19.34%

^TNX:

22.26%

Max Drawdown

BMO.TO:

-62.39%

^TNX:

-93.78%

Current Drawdown

BMO.TO:

-5.11%

^TNX:

-43.61%

Returns By Period

In the year-to-date period, BMO.TO achieves a 11.17% return, which is significantly lower than ^TNX's 17.02% return. Over the past 10 years, BMO.TO has outperformed ^TNX with an annualized return of 11.72%, while ^TNX has yielded a comparatively lower 7.22% annualized return.


BMO.TO

YTD

11.17%

1M

5.60%

6M

23.91%

1Y

12.85%

5Y*

11.84%

10Y*

11.72%

^TNX

YTD

17.02%

1M

2.68%

6M

6.27%

1Y

16.18%

5Y*

18.78%

10Y*

7.22%

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Risk-Adjusted Performance

BMO.TO vs. ^TNX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Bank of Montreal (BMO.TO) and Treasury Yield 10 Years (^TNX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for BMO.TO, currently valued at 0.13, compared to the broader market-4.00-2.000.002.000.130.79
The chart of Sortino ratio for BMO.TO, currently valued at 0.29, compared to the broader market-4.00-2.000.002.004.000.291.32
The chart of Omega ratio for BMO.TO, currently valued at 1.05, compared to the broader market0.501.001.502.001.051.14
The chart of Calmar ratio for BMO.TO, currently valued at 0.10, compared to the broader market0.002.004.006.000.100.32
The chart of Martin ratio for BMO.TO, currently valued at 0.34, compared to the broader market-5.000.005.0010.0015.0020.0025.000.341.69
BMO.TO
^TNX

The current BMO.TO Sharpe Ratio is 0.74, which is comparable to the ^TNX Sharpe Ratio of 0.75. The chart below compares the historical Sharpe Ratios of BMO.TO and ^TNX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
0.13
0.79
BMO.TO
^TNX

Drawdowns

BMO.TO vs. ^TNX - Drawdown Comparison

The maximum BMO.TO drawdown since its inception was -62.39%, smaller than the maximum ^TNX drawdown of -93.78%. Use the drawdown chart below to compare losses from any high point for BMO.TO and ^TNX. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.43%
-43.61%
BMO.TO
^TNX

Volatility

BMO.TO vs. ^TNX - Volatility Comparison

Bank of Montreal (BMO.TO) has a higher volatility of 7.30% compared to Treasury Yield 10 Years (^TNX) at 6.13%. This indicates that BMO.TO's price experiences larger fluctuations and is considered to be riskier than ^TNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
7.30%
6.13%
BMO.TO
^TNX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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