First Trust Risk Analysis

First Trust South Korea AlphaDEX ETF -- USA Etf  

USD 29.22  0.0022  0.0075%

Macroaxis considers First Trust to be not too volatile. First Trust South secures Sharpe Ratio (or Efficiency) of -0.0541 which denotes First Trust South had -0.0541% 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 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 4,298 and Mean Deviation of 0.8013 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 South Demand Trend
Check current 30 days First Trust correlation with market (DOW)
β = 0.0995
First Trust Small 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 thirty-nine. 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 has beta of 0.0995 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 South Korea AlphaDEX ETF will be expected to be much smaller as well. Additionally, First Trust South Korea 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 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of First Trust is -1847.43. The daily returns are destributed with a variance of 1.22 and standard deviation of 1.1. The mean deviation of First Trust South Korea AlphaDEX ETF is currently at 0.81. For similar time horizon, the selected benchmark (DOW) has volatility of 1.69
α
Alpha over DOW
=0.03
β
Beta against DOW=0.0995
σ
Overall volatility
=1.10
Ir
Information ratio =0.0011

Actual Return Volatility

First Trust South Korea AlphaDEX ETF has volatility of 1.1039% on return distribution over 30 days investment horizon. DOW inherits 1.4124% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

First Trust Volatility Factors

60 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Almost imposible

60 Days Economic Sensitivity

Barely shadows market

Investment Outlook

First Trust Investment Opportunity
DOW has a standard deviation of returns of 1.41 and is 1.28 times more volatile than First Trust South Korea 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 South Korea AlphaDEX ETF is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use First Trust South Korea 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 $28.93 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 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
Additionally see Investing Opportunities. Please also try Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.