First Trust Risk Analysis And Volatility Evaluation

FKO -- USA Etf  

USD 23.56  0.08  0.34%

Macroaxis considers First Trust to be not too volatile. First Trust South secures Sharpe Ratio (or Efficiency) of -0.242 which denotes First Trust South had -0.242% of return per unit of risk over the last 1 month. 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 South Korea 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 South Coefficient Of Variation of 370.02 and Mean Deviation of 0.943 to check risk estimate we provide.
Horizon     30 Days    Login   to change

First Trust South Technical Analysis

Transformation
null. The output start index for this execution was zero with a total number of output elements of zero. First Trust South 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 0.0 suggesting unless we do not have required data, the returns on DOW and First Trust are completely uncorrelated. Furthermore, First Trust South Korea AlphaDEX ETFIt does not look like First Trust alpha can have any bearing on the equity current valuation.
Considering 30-days investment horizon, the coefficient of variation of First Trust is -413.18. The daily returns are destributed with a variance of 1.52 and standard deviation of 1.23. The mean deviation of First Trust South Korea AlphaDEX ETF is currently at 0.89. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=1.23
Ir
Information ratio =0.00

First Trust Return Volatility

First Trust South Korea AlphaDEX ETF has volatility of 1.2326% on return distribution over 30 days investment horizon. DOW inherits 0.0% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

First Trust Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Ignores market trends

Investment Outlook

First Trust Investment Opportunity

First Trust South Korea AlphaDEX ETF has a volatility of 1.23 and is 1.16 times more volatile than DOW. 11% 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 South Korea AlphaDEX ETF is lower than 11 (%) of all global equities and portfolios over the last 30 days.

First Trust Volatility Indicators

First Trust South Korea AlphaDEX ETF Current Risk Indicators

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