First Trust Backtesting

FJP -- USA Etf  

USD 54.78  0.59  1.09%

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
SymbolX
Backtest

First Trust 'What if' Analysis

July 15, 2018
0.00
No Change 0.00  0.0%
In 31 days
August 14, 2018
0.00
If you would invest  0.00  in First Trust on July 15, 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 iShares MSCI, Vanguard FTSE, iShares MSCI, Vanguard Total, iShares MSCI, Vanguard Total, and ISHARE RUS. 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

Maximum Drawdown2.69
Value At Risk1.07
Potential Upside1.33
  

First Trust Market Premium Indicators

Risk Adjusted Performance0.01

First Trust Japan Backtested Returns

Macroaxis considers First Trust to be not too risky. First Trust Japan secures Sharpe Ratio (or Efficiency) of -0.0722 which denotes First Trust Japan had -0.0722% 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 1,246 and Mean Deviation of 0.5757 to check risk estimate we provide. The organization shows Beta (market volatility) of 0.0 which denotes to the fact that the returns on MARKET and First Trust are completely uncorrelated. 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(0.65) 

Very good reverse predictability

First Trust Japan AlphaDEX ETF has very good reverse predictability. Overlapping area represents the amount of predictability between First Trust time series from July 15, 2018 to July 30, 2018 and July 30, 2018 to August 14, 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 -0.65 indicates that roughly 65.0% 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 -0.65
Spearman Rank Test -0.78
Price Variance 0.38
Lagged Price Variance 0.32

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 

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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 CEO Directory module to screen ceos from public companies around the world.