First Trust Utilities Etf Volatility
| FXU Etf | USD 49.25 0.37 0.76% |
First Trust Utilities continues to exhibit low price volatility over the last 3 months. First Trust Utilities posts a Sharpe ratio of 0.15, indicating risk-adjusted returns over the last 3 months. The present risk profile is informed by 30 technical indicators.
Sharpe Ratio = 0.1513
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For First Trust Utilities, recent data highlights a Market Risk Adjusted Performance of 0.7%, a Risk of 0.94, and a Risk Adjusted Performance of 0.1%. Based on monthly moving average positioning, First Trust is operating near 12% of its observed historical performance range. In portfolio analysis, diversification may alter its risk-adjusted contribution.
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 price. Higher volatility implies greater uncertainty about First Trust's future price, while lower volatility suggests more predictable behavior.
Volatility Strategy
First Trust Utilities 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 0.94% with a beta coefficient of 0.18, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.15, evaluates return per unit of total risk. An alpha value of 0.14 reflects performance relative to systematic market exposure. Expected return estimates near 0.14% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Arbitrage activity often helps align price and NAV.
Main indicators related to First Trust's market risk premium analysis include:
Beta 0.18 | Alpha 0.14 | Risk 0.94 | Sharpe Ratio 0.15 | Expected Return 0.14 |
Moving together with First Etf
| 0.98 | XLU | Utilities Select Sector | PairCorr |
| 0.98 | VPU | Vanguard Utilities Index | PairCorr |
| 0.73 | AMPS | BlackRock | PairCorr |
| 0.98 | FUTY | Fidelity MSCI Utilities | PairCorr |
| 0.98 | IDU | iShares Utilities ETF | PairCorr |
| 0.98 | JXI | iShares Global Utilities | PairCorr |
| 0.99 | PUI | Invesco DWA Utilities | PairCorr |
| 0.76 | UTES | Virtus Reaves Utilities | PairCorr |
| 0.9 | DIG | ProShares Ultra Oil | PairCorr |
| 0.68 | DGP | DB Gold Double | PairCorr |
| 0.61 | UGL | ProShares Ultra Gold | PairCorr |
| 0.94 | MLPR | ETRACS Quarterly Pay | PairCorr |
| 0.92 | VZ | Verizon Communications | PairCorr |
| 0.88 | CVX | Chevron Corp | PairCorr |
| 0.86 | PFE | Pfizer Inc | PairCorr |
| 0.77 | WMT | Walmart Common Stock | PairCorr |
| 0.81 | MCD | McDonalds Sell-off Trend | PairCorr |
| 0.74 | PG | Procter Gamble | PairCorr |
Moving against First Etf
| 0.87 | FNGU | MicroSectors FANG Index Symbol Change | PairCorr |
| 0.78 | BAC | Bank of America Aggressive Push | 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 0.18 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 0.94%.First Trust Utilities has shown noticeable price swings over the selected period. Downside deviation is about 1.07% and standard deviation is about 0.91%, which summarize how widely returns have moved. Options markets imply a forward-looking volatility estimate near 30.0%. This reflects comparatively contained forward-looking volatility expectations. For ETFs, trading volume and bid-ask spread often matter as much as the index itself. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.
3 Months Beta |Analyze First Trust Utilities 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. High standard deviation indicates a volatile instrument; low standard deviation indicates a more stable one.
Standard Deviation | 0.94 |
It is essential to understand the difference between upside risk and downside risk for First Trust. Standard deviation measures total volatility including favorable moves, while downside deviation isolates the loss risk in First Trust's daily returns. For First Trust Utilities, recent data highlights a Downside Deviation of 1.07, a Downside Variance of 1.14, and a Maximum Drawdown of 5.69.
Using First Put Option to Manage Risk Based on 2026-05-15 Contracts
For First Trust Utilities, recent data highlights an Option Implied Volatility of 0.30 and an Option Max Pain Price of -1. Put options written on First Trust grant holders the right to sell a specified amount of First Etf at a specified price. Investors often purchase put options on First Etf as a form of portfolio insurance against First Trust's declines.
First Trust's PUT expiring on 2026-05-15
Profit |
| First Trust Price At Expiration |
Current First Trust Insurance Chain
| Delta | Gamma | Open Int | Expiration | Current Spread | Last Price | |||
| Put | FXU260515P00045000 | -0.302042 | 0.044443 | 3 | 2026-05-15 | 0.0 - 1.65 | 0.0 | View |
Etf Volatility Analysis
Volatility refers to the frequency at which First Trust etf price increases or decreases within a specified period. It is generally measured from either the standard deviation or variance between returns from that same etf.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. First Trust Utilities 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 0.1826 . 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 Utilities is expected to be smaller as well.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. For First Trust Utilities, recent data highlights a Downside Deviation of 1.07, a Mean Deviation of 0.68, and an Option Implied Volatility of 0.30.
Predicted Return Distribution |
| Density |
What Drives First Trust's Price Volatility?
Industry Dynamics
Regulatory updates, demand shifts, and competitive changes in the First Trust sector can move First Trust's volatility even when broad indices are stable.Political and Economic Environment
Rates, inflation expectations, and policy headlines can shift discount rates and risk appetite for First Trust.First Trust's Company-Specific Factors
Earnings surprises, guidance changes, management decisions, and litigation risk are common catalysts for sharp re-pricing in First Trust's shares.Etf Risk Measures
Considering the 90-day investment horizon the coefficient of variation of First Trust is 660.73. The daily returns are distributed with a variance of 0.87 and standard deviation of 0.94. The mean deviation of First Trust Utilities is currently at 0.71. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.82
α | Alpha over Dow Jones | 0.14 | |
β | Beta against Dow Jones | 0.18 | |
σ | Overall volatility | 0.94 | |
Ir | Information ratio | 0.21 |
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 exchange-traded fund reported 0.935% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial has volatility of 0.8484% 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
Strong recent returns in First Etf do not always mean First Trust ETF is outperforming peers on business quality. Risk-adjusted metrics help compare First Trust's efficiency and downside exposure against peers on a like-for-like basis. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| FXR | 0.95 | 0.13 | 0.09 | 0.04 | 1.20 | 2.13 | 5.87 | |||
| FXL | 1.11 | 0.06 | 0.00 | -0.02 | 0.00 | 1.82 | 8.11 | |||
| FEX | 0.60 | 0.11 | 0.14 | 0.07 | 0.79 | 1.18 | 3.96 | |||
| SMMD | 0.85 | 0.10 | 0.08 | 0.03 | 1.10 | 1.63 | 5.82 | |||
| FXO | 0.78 | -0.13 | 0.00 | 0.84 | 0.00 | 1.50 | 5.24 | |||
| FLQM | 0.60 | -0.06 | 0.00 | 0.32 | 0.00 | 1.19 | 3.23 | |||
| EWA | 1.01 | 0.18 | 0.12 | 0.11 | 1.38 | 2.24 | 5.90 | |||
| FXH | 0.73 | -0.07 | 0.00 | -0.16 | 0.00 | 1.54 | 3.98 | |||
| IDU | 0.73 | 0.10 | 0.14 | 0.42 | 1.04 | 1.25 | 6.47 | |||
| FSMD | 0.73 | -0.02 | 0.05 | 0.03 | 1.05 | 1.15 | 5.36 |
Risk Metrics, Assumptions & Methodology
Return dispersion for First Trust quantifies how far daily or periodic returns deviate from the average across the measurement window. Higher dispersion implies a wider range of plausible outcomes for any given holding period.
This section for First Trust Utilities is built from fund disclosures and market reference feeds, with reporting definitions aligned before display. Values may update on different source schedules. 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 First Trust Utilities is meaningfully more volatile than Dow Jones Industrial, by roughly a 1.11x factor. Investors typically want to know whether the additional volatility is buying them more upside or simply more noise.You can use First Trust Utilities to enhance the returns of the portfolio. 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 $54.18 in 90 days.Strong inverse diversification
The correlation between First Trust and Dow Jones is -0.28, which Macroaxis classifies as Strong inverse diversification for the selected horizon. The overlap area shows the portion of risk that can be diversified away by holding both instruments together.
First Trust Additional Risk Indicators
Secondary risk indicators for First Trust Utilities can help investors evaluate exposure beyond standard deviation, beta, or one headline volatility measure. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | 0.1241 | |||
| Market Risk Adjusted Performance | 0.7011 | |||
| Mean Deviation | 0.6796 | |||
| Semi Deviation | 0.873 | |||
| Downside Deviation | 1.07 | |||
| Coefficient Of Variation | 664.52 | |||
| Standard Deviation | 0.905 |
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. Used properly, pair trading is less about prediction in isolation and more about identifying relative mispricing between related positions.
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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 Utilities.
More Resources for First Etf Analysis
Understanding First Trust Utilities starts with its core financial statements, trend data, and ratio analysis. Below are reports that help frame First Trust Utilities Etf in context:Use Investing Opportunities to explore diversified allocation structure. The overall portfolio profile is shaped by the distribution of its holdings. Including First Trust Utilities in a portfolio enables allocation and risk analysis. The sizing of each position reflects the chosen allocation strategy. Broader economic conditions can influence First Trust Utilities's etf valuation — related indicators include signals in services. First Trust currently shows P/E of 19.38. Investors get more value from First Trust analysis when it is combined with the construction and diversification tools listed below. A thorough First Trust review pairs this page with the quantitative and comparative resources listed below. You can also try the Content Syndication module to quickly integrate customizable finance content to your own investment portal.
Investors evaluate First Trust Utilities using market value and book value, each describing different facets of the business. First Trust P/B of 1.41 shows the market assigns a modest premium over accounting equity. The intrinsic value concept focuses on underlying worth, which can diverge from market price and book value.
Value and price for First Trust may converge over time but can differ substantially in any given period. Exchange pricing for First Trust reflects real-time supply and demand across active participants.