First Trust Backtesting

First Trust South Korea AlphaDEX ETF -- USA Etf  

USD 29.22  0.0022  0.0075%

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

February 25, 2018
0.00
No Change 0.00  0.0%
In 2 months and 1 day
April 26, 2018
0.00
If you would invest  0.00  in First Trust on February 25, 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 60 days. First Trust is related to or competes with Vanguard Total, iShares MSCI, Vanguard FTSE, Vanguard FTSE, iShares Core, iShares Core, and ISHARES MSCI. 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 Ratio0.0073
Maximum Drawdown4.41
Value At Risk1.81
Potential Upside1.94
  

First Trust Market Premium Indicators

Risk Adjusted Performance0.029129
Jensen Alpha0.016725
Total Risk Alpha0.004315
Treynor Ratio0.10

First Trust South Backtested Returns

Macroaxis considers First Trust to be not too risky. First Trust South secures Sharpe Ratio (or Efficiency) of -0.0965 which denotes First Trust South had -0.0965% of return per unit of risk over the last 2 months. 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 7,100 and Mean Deviation of 0.7262 to check risk estimate we provide. The organization shows Beta (market volatility) of 0.246 which denotes to the fact that as returns on market increase, First Trust returns are expected to increase less than the market. However during bear market, the loss on holding First Trust will be expected to be smaller as well.. 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(0.15) 

Insignificant reverse predictability

First Trust South Korea AlphaDEX ETF has insignificant reverse predictability. Overlapping area represents the amount of predictability between First Trust time series from February 25, 2018 to March 27, 2018 and March 27, 2018 to April 26, 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 -0.15 indicates that less than 15.0% of current First Trust price fluctuation can be explain by its past prices. Given that First Trust South Korea 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 -0.15
Spearman Rank Test 0.17
Price Variance 0.05
Lagged Price Variance 0.11

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 

Did you try this?

Run Portfolio File Import Now
   

Portfolio File Import

Quickly import all of your third-party portfolios from your local drive in csv format
View All  Next Launch Portfolio File Import

BATS Exchange Efficient Frontier

Diversify in USA Market
The main assumption in equity investing is that a higher degree of volatility (or risk) means a higher potential (or expected) return on investment. Conversely, investors who take on a low degree of risk have a low expection for return.
Diversify Portfolios
You can create optimal portfolios in USA market or optimize your existing portfolio in one of two ways: 1) For any level of risk, select the one which has the highest expected return. 2) For any expected return, select the one which has the lowest volatility.
Diversify Portfolios
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 Transaction History module to view history of all your transactions and understand their impact on performance.