First Trust IPOX Etf Volatility
| FPXE Etf | USD 31.06 0.18 0.58% |
First Trust IPOX continues to exhibit a minimal volatility profile over the designated horizon. First Trust IPOX posts a Sharpe Ratio (Efficiency) of -0.0087, indicating negative risk-adjusted returns over the last 3 months. We identified 24 technical signals influencing current risk dynamics.
Sharpe Ratio = -0.0087
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | FPXE |
First Trust IPOX posted a Market Risk Adjusted Performance of -0.01%, a Risk of 1.24, and a Risk Adjusted Performance of -0.01% for the reported period. Based on monthly moving average First Trust is not performing at its full potential. However, if added to a well-diversified portfolio the total return can be enhanced and market risk can be reduced.
Key indicators related to First Trust's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
First Trust Etf volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of First daily returns, and it is calculated using variance and standard deviation.
Volatility Strategy
First Trust IPOX price volatility may influence cost basis positioning and portfolio weighting over time. Price retracements and recoveries can alter allocation balance. Current statistical measures show total volatility near 1.24% with a beta coefficient of 1.02, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.0087, evaluates return per unit of total risk. An alpha value of 0.064 reflects performance relative to systematic market exposure. Expected return estimates near -0.0107% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Spread changes may affect execution quality.
Main indicators related to First Trust's market risk premium analysis include:
Beta 1.02 | Alpha 0.064 | Risk 1.24 | Sharpe Ratio -0.01 | Expected Return -0.01 |
Moving together with First Etf
| 0.97 | VGK | Vanguard FTSE Europe | PairCorr |
| 0.96 | EZU | iShares MSCI Eurozone | PairCorr |
| 0.97 | BBEU | JPMorgan BetaBuilders | PairCorr |
| 0.97 | IEUR | iShares Core MSCI | PairCorr |
| 0.93 | FEZ | SPDR EURO STOXX | PairCorr |
| 0.89 | IEV | iShares Europe ETF | PairCorr |
| 0.88 | HEDJ | WisdomTree Europe Hedged | PairCorr |
| 0.72 | EUFN | iShares MSCI Europe | PairCorr |
| 0.84 | DBEU | Xtrackers MSCI Europe | PairCorr |
| 0.89 | HEZU | iShares Currency Hedged | PairCorr |
| 0.72 | USD | ProShares Ultra | PairCorr |
| 0.64 | SHNY | Microsectors Gold | PairCorr |
| 0.78 | NUGT | Direxion Daily Gold | PairCorr |
| 0.64 | JNUG | Direxion Daily Junior | PairCorr |
| 0.75 | GDXU | MicroSectors Gold Miners | PairCorr |
| 0.61 | DGP | DB Gold Double | PairCorr |
| 0.73 | GDMN | WisdomTree Efficient Gold | PairCorr |
| 0.72 | URA | Global X Uranium | PairCorr |
| 0.65 | PG | Procter Gamble | PairCorr |
Sensitivity To Market
First Trust beta coefficient measures the volatility of First etf relative to the systematic risk of the overall market benchmark. Mathematically, beta represents the slope of the regression line comparing First returns against market returns. A beta of 1.02 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 1.24%.First Trust IPOX has shown noticeable price swings over the selected period. Downside deviation is about 0.0% and standard deviation is about 1.2%, which summarize how widely returns have moved. Options markets imply a forward-looking volatility estimate near 42.0%. This indicates expectations for moderate future movement relative to historical averages. For index-linked ETFs, volatility typically reflects index variability plus premium/discount and spread changes. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.
3 Months Beta |Analyze First Trust IPOX Demand TrendCheck current 90 days First Trust correlation with market (Dow Jones Industrial)Downside Risk
First standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low.
Standard Deviation | 1.24 |
It is essential to understand the difference between upside risk (as represented by First Trust's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of First Trust's daily returns or price. First Trust IPOX posted a Maximum Drawdown of 5.76 for the reported period.
Using First Put Option to Manage Risk Based on 2026-04-17 Contracts
First Trust IPOX posted an Option Implied Volatility of 0.42 and an Option Max Pain Price of -1 for the reported period. Put options written on First Trust grant holders of the option the right to sell a specified amount of First Trust at a specified price within a specified time frame. The put buyer has a limited loss and, while not fully unlimited gains, as the price of First Etf cannot fall below.
First Trust's PUT expiring on 2026-04-17
Profit |
| First Trust Price At Expiration |
Etf Volatility Analysis
Volatility refers to the frequency at which First Trust etf price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with First Trust's price changes.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. First Trust IPOX 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 1.0218 . This usually indicates First Trust IPOX market returns are highly-sensitive to returns on the market. As the market goes up or down, First Trust is expected to follow.First Trust is exposed to both systematic and unsystematic risk. Systematic risk reflects broader etf market movements, while company or sector-specific developments represent nonmarket drivers. Diversification may reduce specific risk, but market exposure remains. Beta and standard deviation help quantify volatility. First Trust IPOX posted a Mean Deviation of 0.94, an Option Implied Volatility of 0.42, and a Standard Deviation of 1.20 for the reported period.
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
Given the investment horizon of 90 days the coefficient of variation of First Trust is -11527.61. The daily returns are distributed with a variance of 1.53 and standard deviation of 1.24. The mean deviation of First Trust IPOX is currently at 0.97. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | 0.06 | |
β | Beta against Dow Jones | 1.02 | |
σ | Overall volatility | 1.24 | |
Ir | Information ratio | 0.05 |
Etf Return Volatility
First Trust historical daily return volatility represents how much of First Trust etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund reported 1.236% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial has volatility of 0.8255% 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 Constituents Risk-Adjusted Indicators
There is a big difference between First Etf performing well and First Trust ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze First Trust's multiple risk-adjusted performance indicators across the competitive landscape. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| EMOT | 0.54 | -0.01 | 0.11 | -0.01 | 0.74 | 1.22 | 3.11 | |||
| VCLN | 1.26 | 0.15 | 0.08 | 0.06 | 1.65 | 2.45 | 7.28 | |||
| KNOW | 0.47 | 0.10 | 0.25 | -0.98 | 0.52 | 1.00 | 2.75 | |||
| FRIZ | 0.46 | -0.07 | 0.00 | 0.24 | 0.00 | 0.80 | 3.33 | |||
| KBAB | 3.60 | -0.39 | 0.00 | -0.64 | 0.00 | 10.04 | 30.44 | |||
| MIDE | 0.72 | 0.05 | 0.00 | -0.03 | 0.00 | 1.24 | 4.32 | |||
| ODDS | 1.04 | -0.34 | 0.00 | 0.62 | 0.00 | 1.46 | 6.41 | |||
| SEPI | 0.62 | -0.04 | 0.00 | 0.13 | 0.00 | 0.89 | 3.46 | |||
| FLDZ | 0.54 | 0.03 | 0.00 | -0.05 | 0.00 | 1.24 | 3.18 | |||
| TINY | 1.78 | 0.23 | 0.15 | -1.65 | 1.96 | 3.82 | 12.67 |
Risk Metrics, Assumptions & Methodology
Volatility for First Trust reflects price dispersion, spread stability, and underlying basket liquidity conditions. Higher dispersion implies wider price swings across observed periods.
Unless otherwise specified, data for First Trust IPOX 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:
Ellen Johnson - Member of Macroaxis Editorial BoardFirst Trust Investment Opportunity
Recent data suggests that First Trust IPOX is meaningfully more volatile than Dow Jones Industrial, by roughly a 1.49x factor. Across the current 90-day horizon, that places the security below 11% of the broader equity and portfolio universe on a pure volatility basis.You can use First Trust IPOX to enhance the returns of your portfolios. 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 moderate upward volatility. Check odds of First Trust to be traded at $34.17 in 90 days.Poor diversification
Across the chosen horizon, FPXE and DJI show a correlation of 0.75 and fall into the Poor diversification bucket. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.
First Trust Additional Risk Indicators
Looking at additional risk metrics for First Trust IPOX helps investors judge 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 | -0.01 | |||
| Market Risk Adjusted Performance | -0.01 | |||
| Mean Deviation | 0.9407 | |||
| Coefficient Of Variation | -8,616 | |||
| Standard Deviation | 1.2 | |||
| Variance | 1.43 | |||
| Information Ratio | 0.0519 |
First Trust Suggested Diversification Pairs
A pair strategy built around First Trust IPOX is useful when investors want to reduce directional market exposure while still expressing a relative-value idea. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
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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 IPOX.
More Resources for First Etf Analysis
A comprehensive view of First Trust IPOX starts with financial statements and ratio context. Ratio analysis helps investors evaluate First Trust IPOX Etf operating efficiency and financial trajectory. Highlighted below are reports that provide context for First Trust IPOX Etf:Review Investing Opportunities to understand diversified portfolio construction. Such insight adds context to allocation decisions within a diversified portfolio. This includes a position in First Trust IPOX within the allocation view. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in services. Investors get more value from First Trust analysis when it is combined with other construction and diversification tools. For First Trust, the analytical tools below add portfolio-level context that single-security review alone cannot provide. You can also try the Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
Investors evaluate First Trust IPOX using market value and book value, each describing different facets of the business. Intrinsic value represents an estimate of underlying worth and can differ from both market price and book value. Valuation methods compare these perspectives to frame context.
The concept of value for First Trust differs from its quoted price, since each reflects a different lens. Context can include financial performance, operating efficiency, market trends, and peer comparisons. In practice, First Trust price is set by the continuous auction process on its listing exchange.