First Trust Risk Analysis And Volatility |
| FJP -- USA Etf | USD 50.54 0.65 0.01% |
Macroaxis considers First Trust to be not too risky. First Trust Japan secures Sharpe Ratio (or Efficiency) of -0.014 which denotes the etf had -0.014% 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 (6,004) 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 TrendCheck current 30 days First Trust correlation with market (DOW) β = 0.2826 | 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 0.2826 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.Considering 30-days investment horizon, the coefficient of variation of First Trust is -7118.96. The daily returns are destributed with a variance of 1.98 and standard deviation of 1.41. The mean deviation of First Trust Japan AlphaDEX ETF is currently at 1.02. For similar time horizon, the selected benchmark (DOW) has volatility of 1.94
α | Alpha over DOW | = | 0.02 | |
β | Beta against DOW | = | 0.28 | |
σ | Overall volatility | = | 1.41 | |
Ir | Information ratio | = | 0.0177 |
First Trust Return Volatility
the ETF has volatility of 1.4083% on return distribution over 30 days investment horizon. the entity inherits 1.9958% risk (volatility on return distribution) over the 30 days horizon.Market Risk Breakdown
First Trust Volatility Factors
Investment Outlook
First Trust Investment Opportunity
DOW has a standard deviation of returns of 2.0 and is 1.42 times more volatile than First Trust Japan AlphaDEX ETF. 12% 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 12 (%) of all global equities and portfolios over the last 30 days. Use First Trust Japan AlphaDEX ETF to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of First Trust to be traded at $53.07 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
Very weak diversificationOverlapping 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
| Risk Adjusted Performance | (0.036486) | ||
| Market Risk Adjusted Performance | (0.11) | ||
| Mean Deviation | 1.03 | ||
| Coefficient Of Variation | (6,004) | ||
| Standard Deviation | 1.37 | ||
| Variance | 1.89 | ||
| Information Ratio | 0.0177 |
First Trust Pair Correlation
First Trust Suggested Diversification Pairs
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