First Trust Risk Analysis

First Trust South Korea AlphaDEX ETF -- USA Etf  

USD 30.9  0.21  0.68%

Macroaxis considers First Trust not too risky given 1 month investment horizon. First Trust South secures Sharpe Ratio (or Efficiency) of 0.4734 which denotes First Trust South had 0.4734% 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 South Korea AlphaDEX ETF which you can use to evaluate future volatility of the entity. Please utilize First Trust South Coefficient Of Variation of 280.42, Mean Deviation of 0.6814 and Downside Deviation of 0.8512 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, returns on owning First Trust are expected to decrease at a much smaller rate. During bear market, First Trust is likely to outperform the market.
One Month Beta |Analyze First Trust South Demand Trend
Check current 30 days First Trust correlation with market (DOW)
β = -0.0127
First Trust Almost negative betaFirst Trust South Beta Legend

First Trust South Technical Analysis

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

Projected Return Density Against Market

Considering 30-days investment horizon, First Trust South Korea AlphaDEX ETF has beta of -0.0127 suggesting as returns on benchmark increase, returns on holding First Trust are expected to decrease at a much smaller rate. During bear market, however, First Trust South Korea AlphaDEX ETF is likely to outperform the market. Moreover, First Trust South Korea AlphaDEX ETF has an alpha of 0.305 implying that it can potentially generate 0.305% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of First Trust is 211.23. The daily returns are destributed with a variance of 0.8 and standard deviation of 0.89. The mean deviation of First Trust South Korea AlphaDEX ETF is currently at 0.71. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.3
β
Beta against DOW=0.01
σ
Overall volatility
=0.89
Ir
Information ratio =0.075

Actual Return Volatility

First Trust South Korea AlphaDEX ETF has volatility of 0.8935% on return distribution over 30 days investment horizon. DOW inherits 0.4644% 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 risky

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Indifferent to market move

Largest Trends

First Trust Largest Period Trend

Investment Outlook

First Trust Investment Opportunity
First Trust South Korea AlphaDEX ETF has a volatility of 0.89 and is 1.93 times more volatile than DOW. 8% 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 8 (%) of all global equities and portfolios over the last 30 days. Use First Trust South Korea AlphaDEX ETF to enhance returns of your portfolios. The etf experiences moderate upward volatility. Check odds of First Trust to be traded at $33.99 in 30 days. As returns on market increase, returns on owning First Trust are expected to decrease at a much smaller rate. During bear market, First Trust is likely to outperform the market.

First Trust correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding First Trust South Korea AlphaD and equity matching DJI index in the same portfolio.

Volatility Indicators

First Trust Current Risk Indicators