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 TrendCheck current 30 days First Trust correlation with market (DOW)|
β = -0.3658
First Trust Japan Technical Analysis
Projected Return Density Against MarketConsidering 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).
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