First Trust Large ETF Volatility
| FEX ETF | USD 121.35 -1.80 -1.46% |
First Trust Large shows very low price volatility over the last 3 months. There are 30 technical indicators affecting the current volatility pattern. The current volatility profile reflects observed data across the selected window.
Sharpe Ratio = 0.028
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| Negative Returns | FEX |
First Trust Large (FEX) recorded a Market Risk Adjusted Performance of 0.04%, a Risk of 0.83, and a Risk Adjusted Performance of 0.04%. First Trust is currently trading at approximately 2% of its recent trend range according to monthly moving averages. Diversification may change its marginal risk-adjusted impact within a broader allocation.
Key indicators related to First Trust's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Volatility for First Trust measures the dispersion of its etf returns around their average. High-volatility etfs offer greater return potential but require more active risk management.
Volatility Strategy
Volatility in First Trust Large reflects changing market conditions that influence diversification outcomes. Current statistical measures show total volatility near 0.83% with a beta coefficient of 0.86, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.028, evaluates return per unit of total risk. An alpha value of 0.0928 reflects performance relative to systematic market exposure. Expected return estimates near 0.0232% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Liquidity shifts in components can alter dispersion.
Main indicators related to First Trust's market risk premium analysis include:
Beta 0.86 | Alpha 0.0928 | Risk 0.83 | Sharpe Ratio 0.028 | Expected Return 0.0232 |
Moving together with First ETF
| 0.78 | VIG | Vanguard Dividend | PairCorr |
| 0.95 | RSP | Invesco SAMPP 500 | PairCorr |
| 0.77 | DFAC | Dimensional Core Equity | PairCorr |
| 0.86 | ARP | Advisors Inner Circle | PairCorr |
| 0.83 | PXMV | Invesco SAMPP MidCap | PairCorr |
| 0.89 | IGA | Voya Global Advantage | PairCorr |
| 0.91 | DFUV | Dimensional Marketwide | PairCorr |
| 0.89 | EMXC | iShares MSCI Emerging | PairCorr |
| 0.92 | AVDV | Avantis International | PairCorr |
| 0.86 | CAT | Caterpillar | PairCorr |
| 0.88 | DD | Dupont De Nemours | PairCorr |
| 0.79 | MRK | Merck Company Aggressive Push | PairCorr |
| 0.68 | PFE | Pfizer Inc | PairCorr |
| 0.78 | WMT | Walmart Common Stock Aggressive Push | PairCorr |
Sensitivity To Market
The beta coefficient of 0.86 for First Trust Large measures how its returns respond to broader market changes. In regression terms, beta captures the slope between asset returns and index returns. Historical volatility is currently near 0.83%.First Trust Large return patterns over the selected horizon reflect a very low level of variability, based on dispersion and downside-focused statistics. Options markets imply a forward-looking volatility estimate near 36.0%. This indicates expectations for moderate future movement relative to historical averages. This ETF block uses premium/discount math to explain how market price can differ from NAV. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.
3 Months Beta |Analyze First Trust Large Demand TrendCheck current 90 days First Trust correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation of First quantifies daily price dispersion around the mean over your chosen time horizon. A high standard deviation signals high volatility; a low one signals stability.
Standard Deviation | 0.83 |
Understanding the asymmetry between upside and downside risk is critical for investors in First Trust. Standard deviation measures total price dispersion including upside, while downside deviation captures only loss risk in First Trust's returns. First Trust Large (FEX) recorded a Downside Deviation of 0.91, a Downside Variance of 0.82, and a Maximum Drawdown of 3.97.
Using First Put Option to Manage Risk Based on 2026-06-18 Contracts
First Trust Large (FEX) recorded an Option Implied Volatility of 0.36 and an Option Max Pain Price of -1. A put option on First Trust gives the holder the right, but not the obligation, to sell First Trust shares at a predetermined strike. The put holder retains the right to sell a fixed amount of First ETF at the agreed strike within the option's life.
First Trust's PUT expiring on 2026-06-18
Profit |
| First Trust Price At Expiration |
ETF Volatility Analysis
Volatility is a statistical measure of the dispersion of First Trust ETF returns over a given period of time. Volatility measures how much First Trust's ETF price deviates from its average over a period.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. First Trust Large 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
Considering the 90-day investment horizon First Trust has a beta of 0.8639 . This usually indicates First Trust Large market returns are sensitive to returns on the market. As the market goes up or down, First Trust is expected to follow.First Trust carries exposure to broad market movements as well as company or sector-specific developments. While portfolio diversification can reduce asset-level risk, systematic volatility cannot be avoided. Standard deviation and beta quantify this exposure. First Trust Large (FEX) recorded a Downside Deviation of 0.91, a Mean Deviation of 0.62, and an Option Implied Volatility of 0.36.
Predicted Return Distribution |
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What Drives First Trust's Price Volatility?
Holdings and Allocation
Exposure changes, asset reallocation, or index methodology updates in the Large Blend category can alter First Trust's day-to-day volatility profile.Political and Economic Environment
Broad market tone, policy uncertainty, and recession or expansion signals shape volatility conditions for First Trust.First Trust's Fund-Specific Factors
Unexpected fund flow surges, tracking deviation, or liquidity changes can drive outsized moves in First Trust's price.ETF Risk Measures
Considering the 90-day investment horizon the coefficient of variation of First Trust is 3577.68. The daily returns are distributed with a variance of 0.69 and standard deviation of 0.83. The mean deviation of First Trust Large is currently at 0.63. 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 | 0.86 | |
σ | Overall volatility | 0.83 | |
Ir | Information ratio | 0.13 |
ETF Return Volatility
Volatility for First Trust quantifies the day-to-day dispersion of ETF returns around their historical average. The ETF carries 0.829% return volatility across the 90-day horizon. As a benchmark, Dow Jones Industrial has volatility of 0.8481% 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
Headline performance for First ETF may not fully reflect how the business compares across its competitive set. Peer-relative risk metrics add context on drawdown behavior, consistency, and return quality. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| FTC | 0.95 | -0.02 | 0.00 | -0.10 | 0.00 | 1.41 | 5.73 | |||
| FTA | 0.58 | 0.13 | 0.24 | 0.15 | 0.54 | 1.50 | 3.06 | |||
| FNX | 0.82 | 0.07 | 0.00 | -0.01 | 0.00 | 1.52 | 4.95 | |||
| FXL | 1.16 | -0.02 | 0.00 | -0.10 | 0.00 | 1.75 | 8.11 | |||
| FYX | 0.88 | 0.15 | 0.13 | 0.05 | 1.03 | 1.78 | 5.01 | |||
| RPV | 0.69 | 0.11 | 0.16 | 0.08 | 0.79 | 1.33 | 3.81 | |||
| FXU | 0.69 | 0.14 | 0.19 | 0.73 | 0.87 | 1.42 | 5.69 | |||
| PKW | 0.71 | 0.00 | 0.00 | -0.08 | 0.00 | 1.40 | 4.07 | |||
| GLOV | 0.54 | -0.04 | 0.00 | -0.42 | 0.00 | 0.90 | 3.86 | |||
| GSEW | 0.63 | -0.01 | 0.09 | -0.02 | 0.87 | 1.24 | 4.25 |
Risk Metrics, Assumptions & Methodology
Drawdown analysis for First Trust measures the largest peak-to-trough declines and their duration within the fund's price history. Downside movements have historically remained relatively contained.
Unless otherwise specified, data for First Trust Large is compiled from fund disclosures and market reference feeds and standardized for comparability. Updates may occur throughout the day. 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, Dow Jones Industrial carries roughly 1.02 times the return volatility of First Trust Large. That difference can matter when investors want a steadier position size or lower contribution to total portfolio risk.You can use First Trust Large to protect the portfolio against small market fluctuations. This directional read frames the latest price swing through a simple momentum and follow-through lens. It works best as a directional cue rather than as a standalone forecast. a somewhat bearish sentiment, but the market may correct it shortly. Check odds of First Trust to be traded at $117.71 in 90 days.Weak diversification
First Trust currently posts a 0.5 correlation with Dow Jones, indicating a Weak diversification relationship for the active sample. Lower overlap tends to improve diversification, while higher overlap means both positions carry similar risk.
First Trust Additional Risk Indicators
Looking at additional risk metrics for First Trust Large frames how the position may behave under different market and portfolio conditions. Used correctly, these measures can support both standalone risk assessment and portfolio-level hedging decisions.
| Risk Adjusted Performance | 0.0372 | |||
| Market Risk Adjusted Performance | 0.0408 | |||
| Mean Deviation | 0.6175 | |||
| Semi Deviation | 0.8532 | |||
| Downside Deviation | 0.9082 | |||
| Coefficient Of Variation | 2219.26 | |||
| Standard Deviation | 0.8117 |
First Trust Suggested Diversification Pairs
Pair trading with First Trust can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. A disciplined pair strategy still requires monitoring because correlation can weaken when market regimes change.
Risk reduction through pair trading is real but has limits - not every type of exposure can be offset by a second leg. First Trust's exposure to overall market risk stays intact regardless of pairing. The value of a second leg lies in reducing First Trust's idiosyncratic risk - the part that comes from company-level events rather than macro conditions.
More Resources for First ETF Analysis
A baseline understanding of First Trust Large is formed through its holdings, costs, and return trends. These metrics help explain how costs, holdings, and benchmark tracking are connected.Review Investing Opportunities for context on portfolio diversification. The dataset reflects available inputs without directional implication. Monitoring First Trust Large within a portfolio highlights how it interacts with other holdings. Diversification analysis reveals overlap and concentration across holdings. Broader economic conditions can influence First Trust Large's ETF valuation — related indicators include signals in median. Investors get more value from First Trust analysis when it is combined with other fund comparison and allocation tools. Checking First Trust against category peers and portfolio fit tools below produces a more complete investment picture. You can also try the Top Crypto Exchanges module to search and analyze digital assets across top global cryptocurrency exchanges.
First Trust Large's trading price can diverge from NAV, the per-share value of the fund's underlying assets. ETF valuation considers factors like expense ratio, tracking accuracy, and the composition of underlying holdings.
Market price and NAV for First Trust can move independently over short periods. First Trust's market price is the outcome of continuous interaction between buyers and sellers.