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 TrendCheck current 30 days First Trust correlation with market (DOW)|
β = -0.0127
First Trust South Technical Analysis
Projected Return Density Against MarketConsidering 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).
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