First Trust Risk Analysis

First Trust Japan AlphaDEX ETF -- USA Etf  

USD 62.13  0.73  1.16%

We consider First Trust not too risky. First Trust Japan secures Sharpe Ratio (or Efficiency) of 0.3197 which denotes First Trust Japan had 0.3197% 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-one technical indicators for First Trust Japan AlphaDEX ETF which you can use to evaluate future volatility of the entity. Please confirm First Trust Japan Coefficient Of Variation of 348.7, Mean Deviation of 0.5023 and Downside Deviation of 0.7904 to check if risk estimate we provide are consistent with the epected return of 0.1929%.
 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 = -0.3658
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 -0.3658 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. Moreover, First Trust Japan AlphaDEX ETF has an alpha of 0.2939 implying that it can potentially generate 0.2939% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of First Trust is 312.75. The daily returns are destributed with a variance of 0.36 and standard deviation of 0.6. The mean deviation of First Trust Japan AlphaDEX ETF is currently at 0.42. For similar time horizon, the selected benchmark (DOW) has volatility of 0.43
α
Alpha over DOW
=0.29
β
Beta against DOW=0.37
σ
Overall volatility
=0.6
Ir
Information ratio =0.13

Actual Return Volatility

First Trust Japan AlphaDEX ETF has volatility of 0.6034% on return distribution over 30 days investment horizon. DOW inherits 0.4387% 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

Very low

30 Days Economic Sensitivity

Almost neglects market

Largest Trends

First Trust Largest Period Trend
 59.92 
  
 59.82 
0.1  0.17%
Lowest period price (30 days)
 62.9 
  
 62.94 
0.04  0.063593%
Highest period price (30 days)

Investment Outlook

First Trust Investment Opportunity
First Trust Japan AlphaDEX ETF has a volatility of 0.6 and is 1.36 times more volatile than DOW. 5% 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 5 (%) 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 somewhat bearish sentiment, but market may correct it shortly. Check odds of First Trust to be traded at $60.27 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

Very 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.

Volatility Indicators

First Trust Current Risk Indicators