First Trust Total Risk Alpha
| FXN Etf | | | USD 21.71 0.40 1.88% |
Technical inputs supporting the Total Risk Alpha indicator for First Trust Energy are shown here. Values are derived from historical price and volume observations. Use
Investing Opportunities to better understand diversified portfolio construction. The diversification view provides additional analytical depth. Position sizing and allocation together define the portfolio construction approach. This reflects a position in First Trust Energy. This is situated within the portfolio mix. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as
signals in services.
First Trust Energy has current Total Risk Alpha of 0.5644. The total risk alpha measures the performance of an asset by comparing its returns with those of a selected benchmark portfolio.
Total Risk Alpha | = | RFR + (ER[b] - ER[a]) | x | STD[a] / STD[b] |
| = | 0.5644 | |
| ER[a] | = | Expected return on investing in First Trust |
| ER[b] | = | Expected return on market index or selected benchmark |
| STD[a] | = | Standard Deviation of returns on First Trust |
| STD[b] | = | Standard Deviation of selected market or benchmark |
| RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
Total Risk Alpha Peers Comparison
Total Risk Alpha Relative To Other Indicators
First Trust Energy takes the leading position in total risk alpha against similar ETFs. It is currently under evaluation in maximum drawdown against similar ETFs producing
10.08 in Maximum Drawdown for each unit of Total Risk Alpha. The spread between Maximum Drawdown and Total Risk Alpha for First Trust Energy sits at
10.08 The benchmark portfolio represents the market risk matched to the total risk of the stock ETF or fund.
Compare First Trust to Peers
Other Technical Indicators