First Trust Risk Analysis |
| First Trust Japan AlphaDEX ETF -- USA Etf | USD 58.76 0.23 0.39% |
Macroaxis considers First Trust to be not too risky. First Trust Japan secures Sharpe Ratio (or Efficiency) of -0.0041 which denotes First Trust Japan had -0.0041% 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-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm First Trust Japan Coefficient Of Variation of 4,871 and Mean Deviation of 0.8567 to check risk estimate we provide.
| 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.2 Months Beta |Analyze First Trust Japan Demand TrendCheck current 30 days First Trust correlation with market (DOW) β = 0.1182 |   |
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.
Projected Return Density Against Market
Considering 30-days investment horizon, First Trust has beta of 0.1182 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, First Trust Japan AlphaDEX ETF has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW Predicted Return Density |
Actual Return Volatility
First Trust Japan AlphaDEX ETF has volatility of 1.1178% on return distribution over 30 days investment horizon. DOW inherits 1.4124% 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 1.41 and is 1.26 times more volatile than First Trust Japan AlphaDEX ETF. 10% 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 10 (%) 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 normal downward trend and little activity. Check odds of First Trust to be traded at $58.17 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
Average 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.
Volatility Indicators
First Trust Current Risk Indicators
| Risk Adjusted Performance | 0.039981 | ||
| Market Risk Adjusted Performance | 0.27 | ||
| Mean Deviation | 0.8567 | ||
| Coefficient Of Variation | 4,871 | ||
| Standard Deviation | 1.11 | ||
| Variance | 1.24 | ||
| Information Ratio | 0.0035 |
Pair Correlation
First Trust Suggested Diversification Pairs
Additionally see Investing Opportunities. Please also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.