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.
|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