First Trust Backtesting

FJP -- USA Etf  

USD 59.87  0.30  0.50%

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

April 23, 2018
No Change 0.00  0.0%
In 30 days
May 23, 2018
If you would invest  0.00  in First Trust on April 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 iShares MSCI, iShares Core, iShares MSCI, iShares MSCI, iShares MSCI, iShares Core, and iShares Core. 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

Downside Deviation0.4445
Information Ratio0.1233
Maximum Drawdown1.74
Value At Risk0.66
Potential Upside0.8945

First Trust Market Premium Indicators

Risk Adjusted Performance0.01
Sortino Ratio0.1465

First Trust Japan Backtested Returns

We consider First Trust not too risky. First Trust Japan secures Sharpe Ratio (or Efficiency) of 0.1233 which denotes First Trust Japan had 0.1233% of return per unit of risk over the last 1 month. Our philosophy towards predicting volatility of a etf is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for First Trust Japan AlphaDEX ETF which you can use to evaluate future volatility of the entity. Please confirm First Trust Japan Coefficient Of Variation of 810.96, Mean Deviation of 0.432 and Downside Deviation of 0.4445 to check if risk estimate we provide are consistent with the epected return of 0.0651%. 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. Although it is extremely important to respect First Trust Japan historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards predicting future performance of any etf is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By reviewing First Trust Japan technical indicators you can presently evaluate if the expected return of 0.0651% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.21) 

Weak reverse predictability

First Trust Japan AlphaDEX ETF has weak reverse predictability. Overlapping area represents the amount of predictability between First Trust time series from April 23, 2018 to May 8, 2018 and May 8, 2018 to May 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. 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 -0.21
Spearman Rank Test -0.28
Price Variance 0.23
Lagged Price Variance 0.06

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 Lagged Returns

 Regressed Prices 

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