Bank of Montreal

10-Year Study

BMO.TO · Financial Services · CA · Common Stock

Executive Summary: Bank of Montreal has compounded at 14.6% annually over the last 10 years, with a maximum drawdown of 32.8% and an annualized volatility of 30.9%.

1Y CAGR
+47.6%
3Y CAGR
+27.9%
5Y CAGR
+15.4%
10Y CAGR
+14.6%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
32.8%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.63
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.94
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
20.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +46.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -7.9%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20264.95.9-4.08.6————————15.8%
20254.23.4-7.6-2.711.62.42.48.79.1-3.01.50.833.3%
2024-2.3-3.07.7-5.9-1.2-5.52.7-3.28.35.25.24.511.7%
202310.3-3.4-6.92.7-7.35.73.7-5.0-1.5-7.36.317.712.2%
20226.60.61.6-6.51.0-10.04.3-4.2-0.14.84.7-6.6-5.4%
2021-0.69.37.74.58.80.7-2.02.30.77.1-1.02.446.9%
20201.3-9.6-22.11.0-4.06.42.914.2-6.03.317.63.72.4%
20199.06.7-2.66.8-7.30.80.9-7.66.91.04.8-1.517.5%
20181.7-3.8-0.11.23.01.22.43.7-0.4-6.70.7-10.0-7.9%
20172.82.4-1.4-1.8-6.25.00.2-5.25.45.60.41.38.0%
2016———4.70.7-0.43.23.9-0.80.33.79.126.7%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 30.9%. The dominant macroeconomic risk driver is SHV.US, accounting for 59.2% of variance. Idiosyncratic stock-specific factors contribute 8.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110470.524726402053
2016-05-0110542.27571342632
2016-06-0110497.436326476949
2016-07-0110830.713884473342
2016-08-0111255.144278844813
2016-09-0111164.509356312772
2016-10-0111196.042341448645
2016-11-0111611.827558593983
2016-12-0112666.379822076677
2017-01-0113024.01925045915
2017-02-0113336.30137804922
2017-03-0113143.11951459521
2017-04-0112903.72380053146
2017-05-0112104.084746640534
2017-06-0112711.478165947563
2017-07-0112743.19042895218
2017-08-0112076.11739911636
2017-09-0112725.680957104783
2017-10-0113439.585350209356
2017-11-0113499.404399080504
2017-12-0113678.921304983527
2018-01-0113905.548450840017
2018-02-0113371.718717007892
2018-03-0113355.264992609767
2018-04-0113508.866286597586
2018-05-0113914.791220961966
2018-06-0114078.252797730742
2018-07-0114417.785161370002
2018-08-0114957.5310648707
2018-09-0114897.413219551645
2018-10-0113897.978940826351
2018-11-0113996.800886031067
2018-12-0112593.314130681614
2019-01-0113720.673128637845
2019-02-0114639.372607138446
2019-03-0114264.183867382182
2019-04-0115239.096917615841
2019-05-0114130.223459903507
2019-06-0114245.419450453572
2019-07-0114376.830128243435
2019-08-0113279.649571525893
2019-09-0114199.305198659797
2019-10-0114336.930842566142
2019-11-0115030.99515152964
2019-12-0114798.651033636514
2020-01-0114995.059898727923
2020-02-0113550.976665989394
2020-03-0110557.31513463768
2020-04-0110665.280251148375
2020-05-0110235.770317162469
2020-06-0110889.835741632704
2020-07-0111200.942603194333
2020-08-0112791.037700143821
2020-09-0112027.71237455529
2020-10-0112420.330907106176
2020-11-0114612.241889668418
2020-12-0115152.38618843299
2021-01-0115055.117984757399
2021-02-0116457.429474078413
2021-03-0117729.963706191462
2021-04-0118529.005167186573
2021-05-0120154.935918121802
2021-06-0120293.89618616214
2021-07-0119897.293700972485
2021-08-0120364.033672367703
2021-09-0120508.39219623357
2021-10-0121960.881569039906
2021-11-0121743.517113068563
2021-12-0122258.343392813746
2022-01-0123733.899851398568
2022-02-0123874.115064520112
2022-03-0124266.713677307802
2022-04-0122684.586485635857
2022-05-0122914.400793603367
2022-06-0120614.46493524085
2022-07-0121494.32087551343
2022-08-0120589.76442888047
2022-09-0120559.207512141096
2022-10-0121544.100363734877
2022-11-0122555.287302744546
2022-12-0121058.237419673555
2023-01-0123233.575159258507
2023-02-0122438.89612640285
2023-03-0120887.664487444574
2023-04-0121443.60515842188
2023-05-0119879.186636229268
2023-06-0121006.406195843145
2023-07-0121774.950499388462
2023-08-0120678.566733198673
2023-09-0120360.487954519198
2023-10-0118882.561044114307
2023-11-0120070.037887389597
2023-12-0123625.257462939277
2024-01-0123087.543375284353
2024-02-0122394.77385092846
2024-03-0124110.28377694646
2024-04-0122688.88915448573
2024-05-0122426.884509196956
2024-06-0121186.998768958634
2024-07-0121765.05037708112
2024-08-0121066.026047082352
2024-09-0122809.861876362018
2024-10-0124001.661308250365
2024-11-0125253.95706095846
2024-12-0126398.427135498212
2025-01-0127517.977586282457
2025-02-0128451.318090730536
2025-03-0126282.474193946782
2025-04-0125569.984104028972
2025-05-0128527.889660447716
2025-06-0129213.14943407953
2025-07-0129918.607847589912
2025-08-0132510.62719366392
2025-09-0135476.26161820188
2025-10-0134402.586382053094
2025-11-0134931.77481106105
2025-12-0135196.36902556502
2026-01-0136925.2650324493
2026-02-0139104.48712585705
2026-03-0137532.817809861874
2026-04-0140771.77130518272
Annual Return Matrix
YearAnnual Return
20170.07993929576800296
2018-0.07936350755277777
20190.17511966112097088
20200.023903202663030365
20210.4689662153546015
2022-0.05391712904957935
20230.12190099257155773
20240.11738156407011346
20250.3332752305623594
20260.1584084504730583
Total Factor Risk
0.3090006651955266
VTI.US Exposure
0.2479447196684653
VEA.US Exposure
0.08423241206589044
VWO.US Exposure
-0.0025145669750154284
QQQ.US Exposure
-0.006876942965724538
VTV.US Exposure
0.03624928474023687
IJR.US Exposure
0.08891628391981847
QUAL.US Exposure
-0.0984826781890088
SHV.US Exposure
0.5920850424721207
TLT.US Exposure
0.004232198029629007
LQD.US Exposure
-0.002226001936975443
HYG.US Exposure
0.0040231168096283515
GLD.US Exposure
-0.006496923595754084
USO.US Exposure
-0.00004907333659078316
VNQ.US Exposure
-0.018890755559715526
BTC-USD.CC Exposure
0.003211700991669335
CPER.US Exposure
0.017832999120665133
VIX.INDX Exposure
-0.03728489839077673
UUP.US Exposure
-0.005458877510474002
TIP.US Exposure
0.019071984371935042
Idiosyncratic Exposure
0.08048097626997673
Value Score
43.6
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
41.3
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
30.9%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →15.9x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →3.44%
Market Cap$135.5B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$333
Avg Yield on Cost
3.33%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$332.663.33%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+5.7%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+16.4%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
0.3% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.15
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Bank of Montreal a high-risk investment?

Bank of Montreal (BMO.TO) has an annualized volatility of 30.9% and experienced a maximum drawdown of 32.8% over the last 10 years. Its primary macro risk driver is SHV.US.

What is the 10-year return of BMO.TO?

Over the past 10 years, BMO.TO has generated a Compound Annual Growth Rate (CAGR) of 14.6%. It has had a positive return in 80% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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