First Trust Managed Etf Volatility
| FMB Etf | USD 50.61 -0.32 -0.63% |
First Trust Managed now displays relatively low price volatility across the last 3 months. First Trust Managed posts a Sharpe ratio of -0.022, confirming negative risk-adjusted behavior over the last 3 months. 29 technical indicators currently contribute to the broader risk narrative.
Sharpe Ratio = -0.022
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| Negative Returns | FMB |
First Trust Managed (FMB) recorded a Market Risk Adjusted Performance of -0.02%, a Risk of 0.18, and a Total Risk Alpha of 0.01. Based on recent moving average trends, First Trust has not achieved its theoretical performance maximum. If added to a well-diversified portfolio, the total return can be enhanced and market risk reduced.
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 Managed participates in overall return dispersion. Current statistical measures show total volatility near 0.18% with a beta coefficient of 0.0662, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.022, evaluates return per unit of total risk. An alpha value of 0.002682 reflects performance relative to systematic market exposure. Expected return estimates near -0.0039% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Bid-ask spread may affect observed price swings.
Main indicators related to First Trust's market risk premium analysis include:
Beta 0.0662 | Alpha 0.002682 | Risk 0.18 | Sharpe Ratio -0.02 | Expected Return -0.0039 |
Moving together with First Etf
| 0.98 | MUB | iShares National Muni | PairCorr |
| 0.98 | VTEB | Vanguard Tax Exempt | PairCorr |
| 0.94 | ITM | VanEck Intermediate Muni | PairCorr |
| 0.97 | DFNM | Dimensional ETF Trust | PairCorr |
| 0.97 | MMIT | IQ MacKay Municipal | PairCorr |
| 0.99 | HMOP | Hartford Municipal | PairCorr |
| 0.99 | TAXF | American Century | PairCorr |
| 0.97 | JMUB | JPMorgan Municipal | PairCorr |
| 0.95 | MUST | Columbia Multi Sector | PairCorr |
| 0.67 | MUU | Direxion Daily MU | PairCorr |
| 0.67 | MULL | GraniteShares 2x Long | PairCorr |
| 0.92 | KORU | Direxion Daily South | PairCorr |
| 0.93 | TSMG | Leverage Shares 2X | PairCorr |
| 0.93 | TSMX | Direxion Daily TSM | PairCorr |
| 0.9 | SCHD | Schwab Dividend Equity | PairCorr |
| 0.92 | PG | Procter Gamble | PairCorr |
| 0.89 | KO | Coca Cola | PairCorr |
| 0.82 | MCD | McDonalds Sell-off Trend | PairCorr |
| 0.75 | T | ATT Inc Aggressive Push | PairCorr |
| 0.86 | JNJ | Johnson Johnson Sell-off Trend | PairCorr |
| 0.81 | PFE | Pfizer Inc | PairCorr |
| 0.95 | DD | Dupont De Nemours | PairCorr |
| 0.74 | XOM | Exxon Mobil Corp Aggressive Push | PairCorr |
Moving against First Etf
Sensitivity To Market
First Trust shows a beta coefficient of 0.0662, measuring correlation and volatility relative to benchmark movements. Regression slope analysis defines its systematic risk contribution. Current volatility measures about 0.18%.This overview focuses on observed volatility for First Trust Managed and how returns have fluctuated. Downside deviation currently reads near 0.27%. For First Trust, volatility may reflect both exposure behavior and market microstructure. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.
3 Months Beta |Analyze First Trust Managed 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 | 0.18 |
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 Managed (FMB) recorded a Downside Deviation of 0.27, a Downside Variance of 0.08, and a Maximum Drawdown of 1.02.
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 Managed 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 0.0662 . This usually indicates as returns on the market go up, First Trust's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding First Trust Managed is expected to be smaller as well.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 Managed (FMB) recorded a Downside Deviation of 0.27, a Mean Deviation of 0.10, and a Semi Deviation of 0.23.
Predicted Return Distribution |
| Density |
What Drives First Trust's Price Volatility?
Industry Dynamics
Sector-level catalysts in the First Trust sector 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 Company-Specific Factors
Execution updates, margin trends, and corporate actions can shift near-term return dispersion for First Trust's.Etf Risk Measures
Considering the 90-day investment horizon the coefficient of variation of First Trust is -4552.27. The daily returns are distributed with a variance of 0.03 and standard deviation of 0.18. The mean deviation of First Trust Managed is currently at 0.11. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.82
α | Alpha over Dow Jones | 0.0027 | |
β | Beta against Dow Jones | 0.07 | |
σ | Overall volatility | 0.18 | |
Ir | Information ratio | 0.40 |
Etf Return Volatility
First Trust daily volatility tracks how widely etf returns have moved around the mean across the selected time frame. The ETF reflects 0.1768% volatility on return distribution over a 90-day horizon. On the other hand, Dow Jones Industrial has volatility of 0.8413% 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 Competition 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| META | 1.51 | -0.05 | 0.00 | -0.12 | 0.00 | 2.33 | 14.24 | |||
| MSFT | 1.27 | -0.28 | 0.00 | -0.62 | 0.00 | 2.19 | 13.28 | |||
| UBER | 1.52 | -0.06 | 0.00 | -0.18 | 0.00 | 3.18 | 11.09 | |||
| F | 1.37 | -0.13 | 0.00 | -0.18 | 0.00 | 3.61 | 10.01 | |||
| T | 1.13 | 0.28 | 0.24 | -1.68 | 1.12 | 3.87 | 8.53 | |||
| A | 1.22 | -0.26 | 0.00 | -0.33 | 0.00 | 2.48 | 7.20 | |||
| CRM | 1.78 | -0.34 | 0.00 | -0.63 | 0.00 | 3.41 | 9.78 | |||
| JPM | 1.11 | -0.03 | 0.00 | -0.09 | 0.00 | 2.02 | 8.17 | |||
| MRK | 1.11 | 0.29 | 0.24 | 0.54 | 1.15 | 2.54 | 7.29 | |||
| XOM | 1.27 | 0.53 | 0.40 | 18.70 | 1.04 | 2.90 | 6.83 |
Risk Metrics, Assumptions & Methodology
Volatility for First Trust reflects price dispersion, spread stability, and underlying basket liquidity conditions. Swing amplitude frames exposure planning and risk limits.
Data shown for First Trust Managed is aggregated from fund disclosures and market reference feeds and normalized across reporting formats. Source publication timing can introduce delays. 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
Recent data suggests that Dow Jones Industrial is meaningfully more volatile than First Trust Managed, by roughly a 4.67x factor. Across the current 90-day horizon, that places the security below 1% of the broader equity and portfolio universe on a pure volatility basis.You can use First Trust Managed 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 moderate downward daily trend and can be a good diversifier. Check odds of First Trust to be traded at $49.6 in 90 days.Moderate diversification
The correlation between First Trust and Dow Jones is 0.32, which Macroaxis classifies as Moderate diversification for the selected horizon. Lower overlap tends to improve diversification, while higher overlap means both positions carry similar risk.
First Trust Additional Risk Indicators
Secondary risk indicators for First Trust Managed can help investors evaluate exposure beyond standard deviation, beta, or one headline volatility measure. A disciplined risk review provides context for deciding whether exposure should be maintained, reduced, or offset elsewhere in the portfolio.
| Risk Adjusted Performance | 9.0E-4 | |||
| Market Risk Adjusted Performance | -0.02 | |||
| Mean Deviation | 0.1015 | |||
| Semi Deviation | 0.2294 | |||
| Downside Deviation | 0.2749 | |||
| Coefficient Of Variation | 2003.21 | |||
| Standard Deviation | 0.164 |
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. This framework is most useful when investors want to hedge directional moves caused by sector headlines or broad market pressure.
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 Managed.
More Resources for First Etf Analysis
A clear view of First Trust Managed comes from reviewing its financial structure and trends. These measures summarize how the business operates financially.Review Investing Opportunities to understand diversified portfolio construction. Broader allocation clarity strengthens diversification analysis. Including First Trust Managed in a portfolio enables allocation and risk analysis. Rebalancing tools flag when weights drift from target allocations. Broader economic conditions can influence First Trust Managed's etf valuation — related indicators include signals in state. First Trust analysis should be read alongside other portfolio and risk tools before reallocating capital. A thorough First Trust review pairs this page with the quantitative and comparative resources listed below. You can also try the Transaction History module to view history of all your transactions and understand their impact on performance.
For First Trust Managed, market value and book value represent two distinct lenses on the same underlying business. Intrinsic value attempts to bridge the gap between market sentiment and accounting reality.
First Trust intrinsic value attempts to capture underlying worth, separate from current trading levels. First Trust's market price is the outcome of continuous interaction between buyers and sellers.