First Trust Preferred Fund Volatility
| FPEIX Fund | USD 20.10 -0.12 -0.59% |
Recent trading patterns suggest First Trust Preferred maintains relatively low price volatility over the last 3 months. First Trust Preferred posts a Sharpe ratio of -0.0631, showing negative reward per unit of risk over the last 3 months. Current risk dynamics are supported by 20 technical indicators.
Sharpe Ratio = -0.0631
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | FPEIX |
First Trust Preferred reported a Market Risk Adjusted Performance of -0.3%, a Risk of 0.19, and a Risk Adjusted Performance of -0.1%. Moving average data indicates FIRST TRUST is not operating at maximum efficiency. A well-diversified portfolio allocation can reduce market risk and improve total performance.
Key indicators related to FIRST TRUST's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Volatility analysis for FIRST TRUST draws on both historical price data and forward-looking implied volatility from the options market. Together these measures provide a comprehensive view of FIRST TRUST's risk profile.
FIRST |
Volatility Strategy
Observed trading dispersion in First Trust Preferred can affect long-term allocation structure. Current statistical measures show total volatility near 0.19% with a beta coefficient of 0.0786, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.0631, evaluates return per unit of total risk. An alpha value of -0.0134 reflects performance relative to systematic market exposure. Expected return estimates near -0.0118% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Volatility effects depend on underlying market structure and exposure characteristics.
Main indicators related to FIRST TRUST's market risk premium analysis include:
Beta 0.0786 | Alpha -0.01 | Risk 0.19 | Sharpe Ratio -0.06 | Expected Return -0.01 |
Moving together with FIRST Mutual Fund
| 0.97 | CPXIX | Cohen Steers Prfrd | PairCorr |
| 0.97 | CPXAX | Cohen Steers Preferd | PairCorr |
| 0.98 | CPXCX | Cohen Steers Prefrd | PairCorr |
| 0.97 | CPRRX | Cohen Steers Preferred | PairCorr |
| 0.97 | CPXZX | Cohen Steers Preferred | PairCorr |
| 0.97 | CPXFX | Cohen Steers Preferred | PairCorr |
| 0.99 | NPSAX | Nuveen Preferred | PairCorr |
| 0.99 | NPSCX | Nuveen Preferred | PairCorr |
| 0.97 | PPSJX | Preferred Securities | PairCorr |
| 0.94 | NHS | Neuberger Berman High | PairCorr |
| 0.85 | DD | Dupont De Nemours | PairCorr |
| 0.67 | GE | GE Aerospace | PairCorr |
| 0.79 | HD | Home Depot | PairCorr |
| 0.79 | PG | Procter Gamble | PairCorr |
| 0.63 | BA | Boeing | PairCorr |
| 0.75 | CAT | Caterpillar | PairCorr |
| 0.65 | KO | Coca Cola | PairCorr |
Moving against FIRST Mutual Fund
Sensitivity To Market
FIRST TRUST systematic risk exposure is reflected in a beta value of 0.0786. Beta is derived from regression analysis comparing asset and benchmark returns. Measured volatility currently stands near 0.19%.Over the current lookback period, First Trust Preferred shows a minimal volatility profile, using downside deviation (0.0%) as a primary reference. A fund’s volatility level is shaped by diversification, sector concentration, and the mix of assets held.
3 Months Beta |Analyze First Trust Preferred Demand TrendCheck current 90 days FIRST TRUST correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation for FIRST expresses the daily price volatility over a selected time horizon as a spread around the mean. High values indicate volatile instruments; low values indicate stable ones.
Standard Deviation | 0.19 |
For FIRST TRUST investors, the distinction between upside and downside risk matters. Standard deviation measures total volatility including favorable moves, while downside deviation and semi-deviation isolate the loss risk in FIRST TRUST's daily returns. First Trust Preferred reported a Maximum Drawdown of 0.89.
Mutual Fund Volatility Analysis
Volatility describes the degree to which FIRST TRUST mutual fund price fluctuates in either direction. Highly volatile mutual funds like FIRST TRUST can offer significant profit opportunities, but also come with heightened risk.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. First Trust Preferred 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 a 90-day horizon FIRST TRUST has a beta of 0.0786 . 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 Preferred is expected to be smaller as well.Systematic risk links FIRST TRUST to overall mutual fund market cycles, while unsystematic risk stems from company or sector-specific developments. Diversification addresses the latter, but macro sensitivity persists. Beta measures relative responsiveness. First Trust Preferred reported a Mean Deviation of 0.13 and a Standard Deviation of 0.18.
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.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of FIRST TRUST is -1585.45. The daily returns are distributed with a variance of 0.04 and standard deviation of 0.19. The mean deviation of First Trust Preferred is currently at 0.13. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | -0.0134 | |
β | Beta against Dow Jones | 0.08 | |
σ | Overall volatility | 0.19 | |
Ir | Information ratio | 0.42 |
Mutual Fund Return Volatility
FIRST TRUST historical daily return volatility represents how much of FIRST TRUST fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund reported 0.1874% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial has volatility of 0.8181% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
| 0.49 | 0.52 | 0.78 | 0.38 | ABVCX | ||
| 0.49 | 0.92 | 0.63 | 0.77 | SPFEX | ||
| 0.52 | 0.92 | 0.66 | 0.8 | FOVOGX | ||
| 0.78 | 0.63 | 0.66 | 0.67 | FWYFAX | ||
| 0.38 | 0.77 | 0.8 | 0.67 | FGLNPX | ||
Risk-Adjusted Indicators
There is a big difference between FIRST Mutual Fund performing well and FIRST TRUST Mutual Fund doing well as a business compared to the competition. Risk-adjusted metrics allow investors to compare FIRST TRUST's efficiency and downside exposure against peers in a more meaningful way. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| ABVCX | 0.60 | 0.11 | 0.15 | 0.03 | 0.73 | 1.52 | 3.56 | |||
| SPFEX | 7.38 | -5.51 | 0.00 | 0.27 | 0.00 | 1.07 | 2.86 | |||
| FOVOGX | 7.38 | -5.53 | 0.00 | 0.27 | 0.00 | 0.47 | 3.39 | |||
| FWYFAX | 0.38 | 0.02 | 0.00 | -0.06 | 0.00 | 0.59 | 2.43 | |||
| FGLNPX | 0.22 | -0.02 | 0.00 | -0.67 | 0.00 | 0.35 | 1.20 |
Risk Metrics, Assumptions & Methodology
Volatility for FIRST TRUST reflects NAV dispersion and exposure stability across disclosure periods. Range expansion increases sensitivity to market stress conditions.
Inputs for First Trust Preferred come from fund disclosures and market reference feeds and are mapped into a consistent schema for analysis. Some fields can appear with publication lag. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Michael Smolkin - Member of Macroaxis Board of DirectorsFIRST TRUST Investment Opportunity
Dow Jones Industrial is about 4.32 times more volatile than First Trust Preferred based on recent return behavior. Investors usually compare this volatility gap with trend durability and valuation before deciding which name better fits the mandate.You can use First Trust Preferred 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 is most useful when combined with broader risk controls and position-sizing discipline. a moderate downward daily trend and can be a good diversifier. Check odds of FIRST TRUST to be traded at $19.7 in 90 days.Poor diversification
The correlation between FPEIX and DJI is 0.65, which Macroaxis classifies as Poor diversification for the selected horizon. Used correctly, the chart supports evaluation of whether adding the second position genuinely diversifies the first.
FIRST TRUST Additional Risk Indicators
A broader risk-indicator set for First Trust Preferred can improve buy, hold, hedge, and sell decisions by adding context beyond the most common measures. This is most useful when investors want to understand whether the current opportunity is being paid for with reasonable risk.
| Risk Adjusted Performance | -0.08 | |||
| Market Risk Adjusted Performance | -0.26 | |||
| Mean Deviation | 0.1264 | |||
| Coefficient Of Variation | -1,647 | |||
| Standard Deviation | 0.1828 | |||
| Variance | 0.0334 | |||
| Information Ratio | 0.4226 |
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. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against FIRST TRUST as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. FIRST TRUST's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, FIRST TRUST's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to First Trust Preferred.