First Trust Risk Analysis And Volatility

FJP -- USA Etf  

USD 49.40  0.49  0.01%

Macroaxis considers First Trust to be not too risky. First Trust Japan secures Sharpe Ratio (or Efficiency) of -0.0481 which denotes the etf had -0.0481% of return per unit of risk over the last 2 months. 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 Mean Deviation of 1.03 and Coefficient Of Variation of (945.72) to check risk estimate we provide.
Horizon     30 Days    Login   to change

First Trust Market Sensitivity

As returns on market increase, First Trust returns are expected to increase less than the market. However during bear market, the loss on holding First Trust will be expected to be smaller as well.
2 Months Beta |Analyze First Trust Japan Demand Trend
Check current 30 days First Trust correlation with market (DOW)
β = 0.0166

First Trust Central Daily Price Deviation

First Trust Japan Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. 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.

First Trust Projected Return Density Against Market

Considering 30-days investment horizon, First Trust has beta of 0.0166 suggesting as returns on market go up, First Trust average returns are expected to increase less than the benchmark. However during bear market, the loss on holding First Trust Japan AlphaDEX ETF will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. First Trust Japan is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of First Trust is -2077.45. The daily returns are destributed with a variance of 2.1 and standard deviation of 1.45. The mean deviation of First Trust Japan AlphaDEX ETF is currently at 1.09. For similar time horizon, the selected benchmark (DOW) has volatility of 1.94
α
Alpha over DOW
=0.16
β
Beta against DOW=0.0166
σ
Overall volatility
=1.45
Ir
Information ratio =0.07

First Trust Return Volatility

the ETF has volatility of 1.4489% on return distribution over 30 days investment horizon. the entity inherits 1.9932% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

First Trust Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Above average

60 Days Economic Sensitivity

Barely shadows market

Investment Outlook

First Trust Investment Opportunity

DOW has a standard deviation of returns of 1.99 and is 1.37 times more volatile than First Trust Japan AlphaDEX ETF. 13% 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 13 (%) of all global equities and portfolios over the last 30 days. Use First Trust Japan AlphaDEX ETF to protect your portfolios against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of First Trust to be traded at $48.91 in 30 days. . As returns on market increase, First Trust returns are expected to increase less than the market. However during bear market, the loss on holding First Trust will be expected to be smaller as well.

First Trust correlation with market

correlation synergy
Significant 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.

First Trust Volatility Indicators

First Trust Japan AlphaDEX ETF Current Risk Indicators

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