First Trust Backtesting

FKO -- USA Etf  

USD 24.49  0.54  2.16%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of First Trust South Korea 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

June 19, 2018
0.00
No Change 0.00  0.0%
In 31 days
July 19, 2018
0.00
If you would invest  0.00  in First Trust on June 19, 2018 and sell it all today you would earn a total of 0.00 from holding First Trust South Korea AlphaDEX ETF or generate 0.0% return on investment in First Trust over 30 days. First Trust is related to or competes with Vanguard Total, iShares Core, iShares Core, iShares MSCI, Vanguard FTSE, iShares MSCI, and VANGRD EUROPEAN. 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 Ratio0.50
Maximum Drawdown3.83
Value At Risk2.16
Potential Upside0.8799
  

First Trust Market Premium Indicators

Risk Adjusted Performance0.23
Jensen Alpha0.41
Total Risk Alpha0.80
Treynor Ratio0.6072

First Trust South Backtested Returns

Macroaxis considers First Trust to be not too volatile. First Trust South secures Sharpe Ratio (or Efficiency) of -0.3221 which denotes First Trust South had -0.3221% 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 South Korea 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 South Coefficient Of Variation of 254.66 and Mean Deviation of 1.08 to check risk estimate we provide. The organization shows Beta (market volatility) of -0.8524 which denotes to the fact that . Even though it is essential to pay attention to First Trust South 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 South Korea 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 0.40 

Average predictability

First Trust South Korea AlphaDEX ETF has average predictability. Overlapping area represents the amount of predictability between First Trust time series from June 19, 2018 to July 4, 2018 and July 4, 2018 to July 19, 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 South price movement. The serial correlation of 0.4 indicates that just about 40.0% of current First Trust price fluctuation can be explain by its past prices.
Correlation Coefficient 0.4
Spearman Rank Test 0.16
Price Variance 0.04
Lagged Price Variance 0.14

First Trust South 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 - FKO

First Trust South Investor Sentiment
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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 Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.