First Trust Dow Etf Volatility
| FHC Etf | CAD 27.10 -0.13 -0.48% |
Over the designated horizon, First Trust Dow maintains a minimal volatility profile. First Trust Dow posts a Sharpe Ratio (Efficiency) of -0.14, suggesting weak return efficiency over the last 3 months. Our analysis points to 24 technical indicators driving current risk behavior.
Sharpe Ratio = -0.1419
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | FHC |
Estimated Market Risk
| 1.27 actual daily | 11 89% of assets are more volatile |
Expected Return
| -0.18 actual daily | 0 Most of other assets have higher returns |
Risk-Adjusted Return
| -0.14 actual daily | 0 Most of other assets perform better |
Latest disclosures for First Trust Dow show a Market Risk Adjusted Performance of 0.6%, a Risk of 1.27, and a Risk Adjusted Performance of -0.1%. Monthly moving average analysis shows First Trust is not yet reaching its full return potential. Incorporating it into a well-diversified portfolio can enhance total return while reducing risk.
Key indicators related to First Trust's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
First Trust's volatility is most commonly measured using the annualized standard deviation of daily returns. This statistical measure reflects the magnitude of First Trust's typical price swings and is a primary input in options pricing models.
First |
Volatility Strategy
First Trust Dow return fluctuations can modify its marginal contribution to total portfolio variance. Allocation size and correlation determine overall impact. Current statistical measures show total volatility near 1.27% with a beta coefficient of -0.31, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.14, evaluates return per unit of total risk. An alpha value of -0.21 reflects performance relative to systematic market exposure. Expected return estimates near -0.18% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Market depth may influence premium stabilization.
Main indicators related to First Trust's market risk premium analysis include:
Beta -0.31 | Alpha -0.21 | Risk 1.27 | Sharpe Ratio -0.14 | Expected Return -0.18 |
Moving together with First Etf
| 0.92 | XIT | iShares SAMPPTSX Capped | PairCorr |
| 0.68 | HMMJ | Global X Marijuana | PairCorr |
| 0.77 | TXF | First Asset Tech | PairCorr |
| 0.91 | TEC | TD Global Technology | PairCorr |
| 0.82 | CYBR | Evolve Cyber Security | PairCorr |
Moving against First Etf
| 0.92 | ZWU | BMO Covered Call | PairCorr |
| 0.91 | COW | iShares Global | PairCorr |
| 0.89 | ZUT | BMO Equal Weight | PairCorr |
| 0.89 | ZEO | BMO Equal Weight | PairCorr |
| 0.87 | HEU | BetaPro SAMPP TSX | PairCorr |
| 0.87 | XEG | iShares SAMPPTSX Capped | PairCorr |
| 0.87 | HXE | Global X SAMPPTSX | PairCorr |
| 0.87 | UCSH-U | Global X USD | PairCorr |
| 0.85 | XST | iShares SAMPPTSX Capped | PairCorr |
| 0.68 | HBU | BetaPro Gold Bullion | PairCorr |
Sensitivity To Market
First Trust Dow exhibits a beta of -0.31, representing its market-relative sensitivity based on regression modeling. Beta quantifies systematic risk by measuring the slope of asset returns against benchmark returns. Overall return volatility is approximately 1.27%.Volatility metrics for First Trust Dow describe how stable or unstable returns have been over the selected window. Current downside deviation is about 0.0%. Volatility can rise if arbitrage activity slows or underlying components become harder to price. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.
3 Months Beta |Analyze First Trust Dow Demand TrendCheck current 90 days First Trust correlation with market (Dow Jones Industrial)Downside Risk
The standard deviation of First measures how widely its daily prices are dispersed around the mean for a given time period. Highly volatile instruments have large standard deviations; stable instruments have small ones.
Standard Deviation | 1.27 |
Standard deviation captures both upside and downside movement in First Trust. However, investors specifically concerned with loss potential should use downside deviation or semi-deviation of First Trust's returns. Latest disclosures for First Trust Dow show a Maximum Drawdown of 5.52.
Etf Volatility Analysis
First Trust etf volatility is a measure of the speed and extent of First Trust's price movements. High volatility generally means the etf price moves dramatically up or down in a short period of time. Low volatility means First Trust's price does not fluctuate dramatically and tends to be more predictable.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. First Trust Dow 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
Assuming the 90-day trading horizon First Trust Dow has a beta of -0.3096 . This usually indicates that as returns on the benchmark increase, returns on First Trust tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, First Trust Dow is likely to outperform the market.Investors in First Trust face systematic risk from overall etf market trends and unsystematic risk from company or sector-specific developments. Diversification reduces specific exposure, but macro-driven volatility persists. Beta remains a common sensitivity metric. Latest disclosures for First Trust Dow show a Mean Deviation of 0.95 and a Standard Deviation of 1.25.
Predicted Return Density |
| Returns |
What Drives First Trust's Price Volatility?
Several factors can influence First Trust's market volatility:Industry Dynamics
Sector-level events can directly affect First Trust's price stability. Regulatory changes, supply disruptions, or shifts in demand within First Trust's industry may create volatility even when the broader market is calm. Competitive dynamics and industry consolidation can also amplify price swings for companies like First Trust.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for First Trust's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward First Trust. During periods of economic expansion, First Trust's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.First Trust's Company-Specific Factors
Volatility can also stem from events unique to First Trust. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in First Trust's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on First Trust's share price.Etf Risk Measures
Assuming the 90-day trading horizon the coefficient of variation of First Trust is -704.49. The daily returns are distributed with a variance of 1.62 and standard deviation of 1.27. The mean deviation of First Trust Dow is currently at 0.96. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.79
α | Alpha over Dow Jones | -0.2115 | |
β | Beta against Dow Jones | -0.3096 | |
σ | Overall volatility | 1.27 | |
Ir | Information ratio | -0.08 |
Etf Return Volatility
First Trust return volatility captures the typical daily swing in etf returns relative to the mean over the selected period. The ETF has volatility of 1.2722% on return distribution over a 90-day investment horizon. Meanwhile, Dow Jones Industrial has volatility of 0.8239% on return distribution over a 90-day investment horizon. Performance |
| Timeline |
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 Competition Risk-Adjusted Indicators
Evaluating First Etf requires separating price momentum from underlying business quality relative to competitors. Without reviewing risk-adjusted indicators, investors may overweight recent returns and underweight the volatility required to achieve them. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| META | 1.48 | 0.00 | 0.00 | -0.08 | 0.00 | 2.33 | 14.24 | |||
| MSFT | 1.25 | -0.26 | 0.00 | -0.62 | 0.00 | 2.19 | 13.28 | |||
| UBER | 1.54 | -0.13 | 0.00 | -0.33 | 0.00 | 3.18 | 11.09 | |||
| F | 1.34 | -0.14 | 0.00 | -0.21 | 0.00 | 3.61 | 10.01 | |||
| T | 1.11 | 0.19 | 0.20 | -1.16 | 1.17 | 3.87 | 8.53 | |||
| A | 1.23 | -0.25 | 0.00 | -0.33 | 0.00 | 2.48 | 7.20 | |||
| CRM | 1.82 | -0.37 | 0.00 | -0.66 | 0.00 | 3.41 | 9.78 | |||
| JPM | 1.11 | -0.03 | 0.00 | -0.11 | 0.00 | 2.02 | 8.17 | |||
| MRK | 1.13 | 0.26 | 0.22 | 0.45 | 1.22 | 2.54 | 7.29 | |||
| XOM | 1.32 | 0.45 | 0.34 | 6.55 | 1.14 | 2.90 | 6.83 |
Risk Metrics, Assumptions & Methodology
Volatility for First Trust reflects price dispersion, spread stability, and underlying basket liquidity conditions. Observed drawdowns appear relatively moderate compared with broader market swings.
For First Trust Dow, this section uses fund disclosures and market reference feeds with Macroaxis normalization rules applied to keep cross-asset comparisons consistent. Intraday timing differences may exist. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Raphi Shpitalnik - Junior Member of Macroaxis Editorial BoardFirst Trust Investment Opportunity
Recent data suggests that First Trust Dow is meaningfully more volatile than Dow Jones Industrial, by roughly a 1.55x factor. The higher-risk profile should usually be reviewed beside Sharpe Ratio, downside risk, and catalyst strength before the position is sized up.You can use First Trust Dow to protect your portfolios against small market fluctuations. This directional read frames the latest price swing through a simple momentum and follow-through lens. It gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. a normal downward trend and little activity. Check odds of First Trust to be traded at C$26.83 in 90 days.Significant diversification
For the present investment horizon, the measured correlation between FHC and DJI stands at 0.06, or Significant diversification. This matters because lower overlap can improve diversification, while higher overlap leaves more of the same risk inside the portfolio.
First Trust Additional Risk Indicators
Looking at additional risk metrics for First Trust Dow frames how the position may behave under different market and portfolio conditions. The stronger process compares similar securities with comparable growth and valuation context before ranking one as more or less risky.
| Risk Adjusted Performance | -0.11 | |||
| Market Risk Adjusted Performance | 0.608 | |||
| Mean Deviation | 0.9525 | |||
| Coefficient Of Variation | -714.07 | |||
| Standard Deviation | 1.25 | |||
| Variance | 1.56 | |||
| Information Ratio | -0.08 |
First Trust Suggested Diversification Pairs
Pair analysis around First Trust Dow matters because it can turn one security idea into a more market-neutral structure. This framework is most useful when investors want to hedge directional moves caused by sector headlines or broad market pressure.
While pairing positions reduces portfolio risk, some forms of risk persist no matter which instruments are combined. No matter how well a pair is constructed around First Trust, market-wide risk remains. What pair trading can address is First Trust's unsystematic risk - the portion driven by company or sector-specific factors rather than broad market forces.
More Resources for First Etf Analysis
Initial analysis of First Trust Dow centers on its financial statements and observed trends. Ratios connect earnings, costs, and operational efficiency.Use Investing Opportunities to explore diversified allocation structure. Understanding allocation structure supports portfolio context. The overall portfolio profile is shaped by the distribution of its holdings. This captures an allocation to First Trust Dow. It is represented within the portfolio holdings. The allocation framework shapes how individual positions are weighted. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in inflation.First Trust currently shows P/E of 18.95. First Trust data on this page supports broader research - the resources below add portfolio-level context. For First Trust, the analytical tools below add portfolio-level context that single-security review alone cannot provide. You can also try the Portfolio Prophet module to use AI to generate optimal portfolios and find profitable investment opportunities.