First Trust Risk Analysis And Volatility Evaluation

FJP -- USA Etf  

USD 55.43  0.14  0.25%

Macroaxis considers First Trust to be not too risky. First Trust Japan secures Sharpe Ratio (or Efficiency) of -0.0911 which denotes First Trust Japan had -0.0911% 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 Japan 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 Japan Coefficient Of Variation of 1,098 and Mean Deviation of 0.6453 to check risk estimate we provide.
 Time Horizon     30 Days    Login   to change

First Trust Market Sensitivity

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.
One Month Beta |Analyze First Trust Japan Demand Trend
Check current 30 days First Trust correlation with market (DOW)
β = -0.2083
First Trust Almost negative betaFirst Trust Japan Beta Legend

First Trust Japan Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. First Trust Japan Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Considering 30-days investment horizon, First Trust Japan AlphaDEX ETF has beta of -0.2083 suggesting as returns on benchmark increase, returns on holding First Trust are expected to decrease at a much smaller rate. During bear market, however, First Trust Japan AlphaDEX ETF is likely to outperform the market. Additionally, First Trust Japan AlphaDEX ETF has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of First Trust is -1098.0. The daily returns are destributed with a variance of 0.73 and standard deviation of 0.85. The mean deviation of First Trust Japan AlphaDEX ETF is currently at 0.65. For similar time horizon, the selected benchmark (DOW) has volatility of 0.59
α
Alpha over DOW
=0.06
β
Beta against DOW=0.21
σ
Overall volatility
=0.85
Ir
Information ratio =0.25

Actual Return Volatility

First Trust Japan AlphaDEX ETF has volatility of 0.8538% on return distribution over 30 days investment horizon. DOW inherits 0.5978% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

First Trust Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Almost neglects market

Investment Outlook

First Trust Investment Opportunity
First Trust Japan AlphaDEX ETF has a volatility of 0.85 and is 1.42 times more volatile than DOW. 7% of all equities and portfolios are less risky than First Trust. Compared to the overall equity markets, volatility of historical daily returns of First Trust Japan AlphaDEX ETF is lower than 7 (%) of all global equities and portfolios over the last 30 days. Use First Trust Japan AlphaDEX ETF to protect against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of First Trust to be traded at $54.88 in 30 days. 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.

First Trust correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding First Trust Japan AlphaDEX ETF and equity matching DJI index in the same portfolio.
Additionally see Investing Opportunities. Please also try Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.
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