First Trust Backtesting

First Trust South Korea AlphaDEX ETF -- USA Etf  

USD 30.7  0.1  0.33%

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

First Trust 'What if' Analysis

December 24, 2017
No Change 0.00  0.0%
In 31 days
January 23, 2018
If you would invest  0.00  in First Trust on December 24, 2017 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 iShares MSCI, iShares MSCI, iShares MSCI, iShares MSCI, VanEck Vectors, 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


First Trust Market Premium Indicators

First Trust South lagged returns against current returns

 Current and Lagged Values 

First Trust regressed lagged prices vs. current prices

 Current vs Lagged Prices 

First Trust South Backtested Returns

Macroaxis considers First Trust not too risky given 1 month investment horizon. First Trust South secures Sharpe Ratio (or Efficiency) of 0.427 which denotes First Trust South had 0.427% 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-eight technical indicators for First Trust South Korea AlphaDEX ETF which you can use to evaluate future volatility of the entity. Please utilize First Trust South Coefficient Of Variation of 309.24, Mean Deviation of 0.7074 and Downside Deviation of 0.7958 to check if our risk estimates are consistent with your expectations. The organization shows Beta (market volatility) of -0.0069 which denotes to the fact that as returns on market increase, returns on owning First Trust are expected to decrease at a much smaller rate. During bear market, First Trust is likely to outperform the market.. Although it is vital to follow to First Trust South historical returns, it is good to be conservative about what you can actually do with the information regarding 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 South technical indicators you can presently evaluate if the expected return of 0.3878% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.1 

Insignificant predictability

First Trust South Korea AlphaDEX ETF has insignificant predictability. Overlapping area represents the amount of predictability between First Trust time series from December 24, 2017 to January 8, 2018 and January 8, 2018 to January 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 South price movement. The serial correlation of 0.1 indicates that less than 10.0% of current First Trust price fluctuation can be explain by its past prices.
Correlation Coefficient 0.1
Spearman Rank Test 0.25
Price Variance 0.06
Lagged Price Variance 0.38

First Trust Lagged Returns

 Regressed Prices 

First Trust Performance vs DOW

The median price of First Trust for the period between Sun, Dec 24, 2017 and Tue, Jan 23, 2018 is 30.0 with a coefficient of variation of 3.08. The daily time series for the period is distributed with a sample standard deviation of 0.92, arithmetic mean of 29.8, and mean deviation of 0.82. The Etf received some media coverage during the period.
Price Growth (%)  
Jane Street Group LLC Increases Stake in First Trust Exchang...12/26/2017