Macroaxis considers First Trust not too risky given 1 month investment horizon. First Trust Japan secures Sharpe Ratio (or Efficiency) of 0.4048 which denotes First Trust Japan had 0.4048% 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 utilize First Trust Japan Coefficient Of Variation of 384.87, Mean Deviation of 0.4742 and Downside Deviation of 0.7904 to check if our risk estimates are consistent with your expectations.
|Time 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.One Month Beta |Analyze First Trust Japan Demand TrendCheck current 30 days First Trust correlation with market (DOW)|
β = 0.6803
First Trust Japan Technical Analysis
Projected Return Density Against MarketConsidering 30-days investment horizon, First Trust has beta of 0.6803 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. Moreover, First Trust Japan AlphaDEX ETF has an alpha of 0.0139 implying that it can potentially generate 0.0139% 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 247.03. The daily returns are destributed with a variance of 0.41 and standard deviation of 0.64. The mean deviation of First Trust Japan AlphaDEX ETF is currently at 0.46. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44