First Trust Backtesting

First Trust Japan AlphaDEX ETF -- USA Etf  

USD 59.52  0.0011  0.0018%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of First Trust Japan AlphaDEX ETF and determine expected loss or profit from investing in First Trust over given investment horizon. Additionally see First Trust Hype Analysis, First Trust Correlation, Portfolio Optimization, First Trust Volatility as well as analyze First Trust Alpha and Beta and First Trust Performance
 Time Horizon     30 Days    Login   to change

First Trust 'What if' Analysis

January 21, 2018
No Change 0.00  0.0%
In 30 days
February 20, 2018
If you would invest  0.00  in First Trust on January 21, 2018 and sell it all today you would earn a total of 0.00 from holding First Trust Japan AlphaDEX ETF or generate 0.0% return on investment in First Trust over 30 days. First Trust is related to or competes with Global X, Chevron, Johnson Johnson, Boeing, General Electric, and B of A. The investment seeks investment results that correspond generally to the price and yield of an equity index called the NASDAQ AlphaDEX Japan Index.

First Trust Upside/Downside Indicators


First Trust Market Premium Indicators

First Trust Japan lagged returns against current returns

 Current and Lagged Values 

First Trust regressed lagged prices vs. current prices

 Current vs Lagged Prices 

First Trust Japan Backtested Returns

Macroaxis considers First Trust to be not too risky. First Trust Japan secures Sharpe Ratio (or Efficiency) of -0.1293 which denotes First Trust Japan had -0.1293% of return per unit of risk over the last 1 month. Macroaxis philosophy towards predicting risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. First Trust Japan AlphaDEX ETF exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm First Trust Japan Coefficient Of Variation of 1,022 and Mean Deviation of 1.3 to check risk estimate we provide. The organization shows Beta (market volatility) of 0.894 which denotes to the fact that First Trust returns are very sensitive to returns on the market. as market goes up or down, First Trust is expected to follow.. Even though it is essential to pay attention to First Trust Japan historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards predicting future performance of any etf is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. First Trust Japan AlphaDEX ETF exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.57) 

Good reverse predictability

First Trust Japan AlphaDEX ETF has good reverse predictability. Overlapping area represents the amount of predictability between First Trust time series from January 21, 2018 to February 5, 2018 and February 5, 2018 to February 20, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of First Trust Japan price movement. The serial correlation of -0.57 indicates that roughly 57.0% of current First Trust price fluctuation can be explain by its past prices. Given that First Trust Japan AlphaDEX ETF has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of First Trust for similar time interval.
Correlation Coefficient -0.57
Spearman Rank Test -0.49
Price Variance 0.82
Lagged Price Variance 2.36

First Trust Lagged Returns

 Regressed Prices 

First Trust Performance vs DOW

The median price of First Trust for the period between Sun, Jan 21, 2018 and Tue, Feb 20, 2018 is 61.62 with a coefficient of variation of 4.0. The daily time series for the period is distributed with a sample standard deviation of 2.42, arithmetic mean of 60.48, and mean deviation of 2.24. The Etf received some media coverage during the period.
Price Growth (%)  
First Trust Exchange Traded AlphaDEX Fund II Shares Bought b...02/07/2018