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First Trust Risk Analysis And Volatility

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FXR -- USA Etf  

USD 45.39  0.23  0.51%

We consider First Trust very steady. First Trust Industrials secures Sharpe Ratio (or Efficiency) of 0.0139 which denotes the etf had 0.0139% of return per unit of risk over the last 3 months. Our philosophy towards predicting volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for First Trust Industrials AlphaDE which you can use to evaluate future volatility of the entity. Please confirm First Trust Industrials Downside Deviation of 0.911, Mean Deviation of 0.5725 and Coefficient Of Variation of 2334.43 to check if risk estimate we provide are consistent with the epected return of 0.0115%.
Equity
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90 Days Market Risk

Very steady

Chance of Distress

Very Small

90 Days Economic Sensitivity

Follows market closely

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.
3 Months Beta |Analyze First Trust Industrials Demand Trend
Check current 30 days First Trust correlation with market (DOW)
β = 0.6605

First Trust Central Daily Price Deviation

First Trust Industrials Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of First Trust Industrials high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only First Trust closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

First Trust Projected Return Density Against Market

Considering 30-days investment horizon, First Trust has beta of 0.6605 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 Industrials AlphaDE will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. First Trust Industrials is significantly underperforming DOW.
 Predicted Return Density 
    
  Returns 
Considering 30-days investment horizon, the coefficient of variation of First Trust is 7174.01. The daily returns are destributed with a variance of 0.68 and standard deviation of 0.82. The mean deviation of First Trust Industrials AlphaDE is currently at 0.59. For similar time horizon, the selected benchmark (DOW) has volatility of 0.78
α
Alpha over DOW
=0.01
β
Beta against DOW=0.66
σ
Overall volatility
=0.82
Ir
Information ratio =0.04

First Trust Return Volatility

the ETF has volatility of 0.8249% on return distribution over 30 days investment horizon. the entity inherits 0.8011% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
    
  Timeline 

First Trust Investment Opportunity

First Trust Industrials AlphaDE has a volatility of 0.82 and is 1.02 times more volatile than DOW. 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 Industrials AlphaDE is lower than 7 () of all global equities and portfolios over the last 30 days. Use First Trust Industrials AlphaDE to enhance returns of your portfolios. The etf experiences moderate upward volatility. Check odds of First Trust to be traded at $49.93 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

correlation synergy
Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding First Trust Industrials AlphaD and equity matching DJI index in the same portfolio.

First Trust Current Risk Indicators

First Trust Suggested Diversification Pairs

Please check Investing Opportunities. Please also try Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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