First Trust Backtesting

FJP -- USA Etf  

USD 52.73  0.89  1.67%

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

First Trust 'What if' Analysis

September 23, 2018
0.00
No Change 0.00  0.0%
In 31 days
October 23, 2018
0.00
If you would invest  0.00  in First Trust on September 23, 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 Goldman Sachs, WisdomTree Japan, Global X, iShares Currency, Verizon Communications, Exxon, and Pfizer. The investment seeks investment results that correspond generally to the price and yield of an equity index called the N...

First Trust Upside/Downside Indicators

Information Ratio0.13
Maximum Drawdown5.54
Value At Risk2.27
Potential Upside1.75
  

First Trust Market Premium Indicators

Risk Adjusted Performance0.26
Jensen Alpha0.38
Total Risk Alpha0.13
Treynor Ratio3.65

First Trust Japan Backtested Returns

Macroaxis considers First Trust to be not too risky. First Trust Japan secures Sharpe Ratio (or Efficiency) of -0.2378 which denotes First Trust Japan had -0.2378% 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-eight 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 418.88 and Mean Deviation of 1.08 to check risk estimate we provide. The organization shows Beta (market volatility) of -0.0991 which denotes to the fact that as returns on market increase, returns on owning First Trust are expected to decrease at a much smaller rate. During bear market, First Trust is likely to outperform the market.. 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-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.21 

Weak predictability

First Trust Japan AlphaDEX ETF has weak predictability. Overlapping area represents the amount of predictability between First Trust time series from September 23, 2018 to October 8, 2018 and October 8, 2018 to October 23, 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 0.21 indicates that over 21.0% of current First Trust price fluctuation can be explain by its past prices.
Correlation Coefficient0.21
Spearman Rank Test0.13
Residual Average0.0
Price Variance1.38

First Trust Japan lagged returns against current returns

 Current and Lagged Values 
      Timeline 

First Trust regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

First Trust Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - FJP

First Trust Japan Investor Sentiment

Macroaxis portfolio users are insensible in their opinion about investing in First Trust Japan AlphaDEX ETF. What is your opinion about investing in First Trust Japan AlphaDEX ETF? Are you bullish or bearish?
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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. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.
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