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.
|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|