First Trust Active ETF Volatility
| AFMC ETF | USD 35.41 -0.63 -1.75% |
First Trust Active posts a Sharpe ratio of 0.0216, confirming positive risk-adjusted behavior over the last 3 months. The current setup includes 27 technical indicators relevant to risk behavior. First Trust Active now displays low price volatility across the last 3 months.
Sharpe Ratio = 0.0216
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| Negative Returns | AFMC |
First Trust Active's financial profile includes a Market Risk Adjusted Performance of 0.02%, a Risk of 1.02, and a Risk Adjusted Performance of 0.02%. Recent moving average trends suggest First Trust is tracking at about 1% of its historical return corridor. Within a well-diversified portfolio, its contribution would depend on correlation and allocation weight.
Key indicators related to First Trust's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
The volatility profile of First Trust determines how much First Trust's price can move in either direction. It is a statistical measure of the distribution of First daily returns, calculated using variance and standard deviation.
Volatility Strategy
Market cycles can shift how First Trust Active participates in overall return dispersion. Current statistical measures show total volatility near 1.02% with a beta coefficient of 1.04, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.0216, evaluates return per unit of total risk. An alpha value of 0.0905 reflects performance relative to systematic market exposure. Expected return estimates near 0.022% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Premium/discount behavior may widen during stress.
Main indicators related to First Trust's market risk premium analysis include:
Beta 1.04 | Alpha 0.0905 | Risk 1.02 | Sharpe Ratio 0.0216 | Expected Return 0.022 |
Moving together with First ETF
| 0.86 | VO | Vanguard Mid Cap | PairCorr |
| 0.98 | IJH | iShares Core SAMPP | PairCorr |
| 0.95 | IWR | iShares Russell Mid | PairCorr |
| 0.98 | MDY | SPDR SAMPP MIDCAP | PairCorr |
| 0.99 | IVOO | Vanguard SAMPP Mid | PairCorr |
| 0.99 | JHMM | John Hancock Multifactor | PairCorr |
| 0.95 | BBMC | JPMorgan BetaBuilders Mid | PairCorr |
| 0.71 | XMMO | Invesco SAMPP MidCap | PairCorr |
| 0.68 | DUKH | Ocean Park High | PairCorr |
| 0.91 | PCLN | 2023 ETF | PairCorr |
| 0.84 | AVDV | Avantis International | PairCorr |
| 0.89 | DFUV | Dimensional Marketwide | PairCorr |
| 0.84 | EMXC | iShares MSCI Emerging | PairCorr |
| 0.71 | MRK | Merck Company Aggressive Push | PairCorr |
| 0.68 | KO | Coca Cola | PairCorr |
Moving Against First ETF
Sensitivity To Market
First Trust shows a beta coefficient of 1.04, measuring correlation and volatility relative to benchmark movements. Regression slope analysis defines its systematic risk contribution. Current volatility measures about 1.02%.This overview focuses on observed volatility for First Trust Active and how returns have fluctuated. Downside deviation currently reads near 1.07%. ETF dispersion can change when liquidity shifts in the underlying holdings or when spreads widen. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.
3 Months Beta |Analyze First Trust Active Demand TrendCheck current 90 days First Trust correlation with market (Dow Jones Industrial)Downside Risk
First standard deviation quantifies the typical daily price movement relative to its average over your selected period. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low.
Standard Deviation | 1.02 |
The difference between upside risk and downside risk is meaningful for First Trust investors. Upside risk is represented by First Trust's standard deviation, while downside risk is measured by semi-deviation of First Trust's returns. First Trust Active's financial profile includes a Downside Deviation of 1.07, a Downside Variance of 1.15, and a Maximum Drawdown of 4.69.
ETF Volatility Analysis
When measuring the risk of First Trust ETF, volatility is a critical metric. These fluctuations usually indicate the level of risk associated with First Trust's price changes.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. First Trust Active 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.
Projected Return Density Against Market
Given the investment horizon of 90 days First Trust has a beta of 1.0403 . This suggests First Trust Active market returns are highly-sensitive to returns on the market. As the market goes up or down, First Trust is expected to follow.Risk assessment for First Trust separates macro-driven volatility from company or sector-specific developments. Market risk cannot be diversified away, though asset-specific exposure can be moderated. First Trust Active's financial profile includes a Downside Deviation of 1.07, a Mean Deviation of 0.76, and a Semi Deviation of 1.03.
Predicted Return Distribution |
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What Drives First Trust's Price Volatility?
Holdings and Allocation
Shifts in underlying asset weights and category-level catalysts in the Mid-Cap Blend category often set the baseline volatility regime for First Trust.Political and Economic Environment
Interest-rate path changes, geopolitical developments, and macro surprises influence investor risk tolerance.First Trust's Fund-Specific Factors
NAV premium shifts, flow-driven supply-demand imbalance, and rebalancing events can shift near-term return dispersion for First Trust's.ETF Risk Measures
Given the investment horizon of 90 days the coefficient of variation of First Trust is 4619.75. The daily returns are distributed with a variance of 1.04 and standard deviation of 1.02. The mean deviation of First Trust Active is currently at 0.79. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.83
α | Alpha over Dow Jones | 0.09 | |
β | Beta against Dow Jones | 1.04 | |
σ | Overall volatility | 1.02 | |
Ir | Information ratio | 0.09 |
ETF Return Volatility
First Trust daily volatility tracks how widely ETF returns have moved around the mean across the selected time frame. The fund reflects 1.0186% volatility on return distribution over a 90-day horizon. On the other hand, Dow Jones Industrial has volatility of 0.8534% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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First Trust Constituents Risk-Adjusted Indicators
Return momentum in First ETF is more useful when tested against peer-relative fundamentals and risk. Without risk-adjusted context, investors may overweight short-term returns and underweight the volatility required to achieve them. These indicators are quantitative in nature and help investors evaluate volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| SMDX | 0.77 | 0.09 | 0.08 | 0.01 | 1.17 | 1.62 | 5.92 | |||
| CIL | 0.46 | 0.13 | 0.33 | -1.43 | 0.34 | 1.02 | 2.46 | |||
| BKF | 0.84 | -0.11 | 0.00 | 0.68 | 0.00 | 1.84 | 5.42 | |||
| IFGL | 0.69 | -0.04 | 0.00 | 0.07 | 0.00 | 1.05 | 5.51 | |||
| LSAT | 0.65 | 0.05 | 0.09 | -0.01 | 0.79 | 1.30 | 4.52 | |||
| RIET | 0.64 | -0.05 | 0.00 | 0.13 | 0.00 | 1.13 | 4.58 | |||
| SLX | 1.28 | 0.18 | 0.09 | 0.08 | 1.86 | 2.74 | 7.74 | |||
| STNC | 0.65 | 0.08 | 0.10 | 0.02 | 0.91 | 1.29 | 4.23 | |||
| PBJ | 0.66 | 0.10 | 0.19 | 5.38 | 0.81 | 1.34 | 3.57 | |||
| EEMX | 1.18 | 0.16 | 0.07 | 0.04 | 1.83 | 2.49 | 7.72 |
Risk Metrics, Assumptions & Methodology
Volatility regime analysis for First Trust identifies whether the fund is currently in a high, low, or transitioning dispersion state. Elevated volatility regimes increase the cost of hedging and widen the range of expected outcomes.
For First Trust Active, this section uses fund disclosures and market reference feeds and standardizes the results for cross-period comparison. Intraday timing differences may exist. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Rifka Kats - Member of Macroaxis Editorial BoardFirst Trust Investment Opportunity
Measured over the selected horizon, First Trust Active carries roughly 1.2 times the return volatility of Dow Jones Industrial. That added volatility may be acceptable only if the position is expected to deliver stronger return efficiency or diversification value.You can use First Trust Active to protect the portfolio against small market fluctuations. This short-horizon strategy note focuses on what the latest move may imply for immediate trading context. It highlights whether the move looks ordinary, stressed, or unusually speculative for the instrument. a somewhat bearish sentiment, but the market may correct it shortly. Check odds of First Trust to be traded at $34.35 in 90 days.Poor diversification
The correlation between First Trust and Dow Jones is 0.61, which Macroaxis classifies as Poor diversification for the selected horizon. The overlap area shows the portion of risk that can be diversified away by holding both instruments together.
First Trust Additional Risk Indicators
Secondary risk indicators for First Trust Active can help investors evaluate exposure beyond standard deviation, beta, or one headline volatility measure. This is most useful when investors want to understand whether the current opportunity is being paid for with reasonable risk.
| Risk Adjusted Performance | 0.019 | |||
| Market Risk Adjusted Performance | 0.0203 | |||
| Mean Deviation | 0.7614 | |||
| Semi Deviation | 1.03 | |||
| Downside Deviation | 1.07 | |||
| Coefficient Of Variation | 4774.63 | |||
| Standard Deviation | 0.9908 |
First Trust Suggested Diversification Pairs
Using First Trust in a pair-trading setup can improve risk control because gains and losses are judged against a second position instead of against the market alone. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
Pair strategies help manage risk, but investors should recognize that not all risk can be diversified away through pairing. Market-level risk for First Trust persists even in a well-constructed pair. The benefit is in offsetting First Trust's company-specific risk, which can be meaningfully reduced by selecting a second position that moves independently of First Trust Active.
More Resources for First ETF Analysis
Initial analysis of First Trust Active centers on its holdings composition and observed return patterns. These metrics are based on First Trust's reported fund results.Review Trending Equities to understand diversified portfolio construction. Clearer exposure analysis supports long-term portfolio balance. Portfolio analysis tools can evaluate how First Trust Active fits within a broader allocation. Performance attribution breaks down contribution by individual holding. Broader economic conditions can influence First Trust Active's ETF valuation — related indicators include signals in inflation. Investors get more value from First Trust analysis when it is combined with other fund comparison and allocation tools. For First Trust, the analytical tools below add portfolio-level context that single-fund review alone cannot provide. You can also try the USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
First Trust's market price and NAV each provide useful but distinct information about the fund. The relationship between First Trust's cost structure, holdings, and tracking accuracy shapes the overall assessment.
First Trust NAV depends on underlying asset values, while price depends on secondary market activity. Fund-level metrics such as tracking difference and expense ratio add depth to the analysis.