This module allows you to analyze existing cross correlation between First Trust Japan AlphaDEX ETF and iShares MSCI Japan ETF. You can compare the effects of market volatilities on First Trust and iShares MSCI and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in First Trust with a short position of iShares MSCI. See also your portfolio center
. Please also check ongoing floating volatility patterns of First Trust
and iShares MSCI
First Trust Japan AlphaDEX ETF vs iShares MSCI Japan ETF
Considering 30-days investment horizon, First Trust Japan AlphaDEX ETF is expected to generate 1.05 times more return on investment than iShares MSCI. However, First Trust is 1.05 times more volatile than iShares MSCI Japan ETF. It trades about -0.05 of its potential returns per unit of risk. iShares MSCI Japan ETF is currently generating about -0.07 per unit of risk. If you would invest 5,952 in First Trust Japan AlphaDEX ETF on February 16, 2018 and sell it today you would lose (73.89) from holding First Trust Japan AlphaDEX ETF or give up 1.24% of portfolio value over 30 days.
|Time Period||1 Month [change]|
Almost no diversification
Overlapping area represents the amount of risk that can be diversified away by holding First Trust Japan AlphaDEX ETF and iShares MSCI Japan ETF in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on iShares MSCI Japan and First Trust is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on First Trust Japan AlphaDEX ETF are associated (or correlated) with iShares MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares MSCI Japan has no effect on the direction of First Trust i.e. First Trust and iShares MSCI go up and down completely randomly.
Over the last 30 days First Trust Japan AlphaDEX ETF has generated negative risk-adjusted returns adding no value to investors with long positions.
Over the last 30 days iShares MSCI Japan ETF has generated negative risk-adjusted returns adding no value to investors with long positions.