First Trust Small Etf Volatility
| RNSC Etf | USD 29.40 -0.30 -1.01% |
Across the designated horizon, First Trust Small continues to post a minimal volatility profile. First Trust Small posts a Sharpe Ratio (Efficiency) of -0.096, reflecting poor reward-to-volatility behavior over the last 3 months. There are 20 technical indicators affecting the current volatility pattern.
Sharpe Ratio = -0.096
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| Negative Returns | RNSC |
For First Trust Small, recent data highlights a Market Risk Adjusted Performance of 0.5%, a Risk of 0.96, and a Risk Adjusted Performance of -0.1%. Monthly data shows First Trust is not tracking at its maximum return potential. Including it in a well-diversified portfolio can maximize 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's beta measures how much First Trust's price moves relative to the broad market. Combined with total volatility, beta provides context forunderstand whether First Trust's risk is primarily market-driven or company-specific.
Volatility Strategy
Volatility in First Trust Small contributes to allocation risk depending on correlation. Current statistical measures show total volatility near 0.96% with a beta coefficient of -0.19, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.096, evaluates return per unit of total risk. An alpha value of -0.11 reflects performance relative to systematic market exposure. Expected return estimates near -0.0918% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Liquidity shifts in components can alter dispersion.
Main indicators related to First Trust's market risk premium analysis include:
Beta -0.19 | Alpha -0.11 | Risk 0.96 | Sharpe Ratio -0.1 | Expected Return -0.09 |
Moving together with First Etf
Moving against First Etf
Sensitivity To Market
First Trust Small relative market sensitivity is quantified by its beta value of -0.19. This regression-derived coefficient reflects systematic risk. Total return variability is about 0.96%.This summary describes how First Trust Small has moved rather than why it moved. Standard deviation is near 0.94% and downside deviation is near 0.0%. This ETF block uses premium/discount math to explain how market price can differ from NAV. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.
3 Months Beta |Analyze First Trust Small Demand TrendCheck current 90 days First Trust correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation of First is a key measure of price volatility, reflecting the average daily deviation from the mean over the selected time period. High standard deviation means higher volatility; low standard deviation means stability.
Standard Deviation | 0.96 |
For investors in First Trust, understanding the difference between standard deviation and downside deviation is important. Standard deviation measures total volatility; downside deviation measures only the loss risk in First Trust's returns. For First Trust Small, recent data highlights a Maximum Drawdown of 4.62.
Etf Volatility Analysis
Analyzing First Trust volatility is essential for any investor seeking to manage risk exposure effectively. Sharp swings in First Trust's etf price during volatile periods can trigger margin calls or forced exits.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. First Trust Small 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 Small has a beta of -0.1896 indicating 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 Small is likely to outperform the market.First Trust remains sensitive to broader etf market conditions in addition to company or sector-specific developments. Portfolio diversification mitigates only part of this exposure. For First Trust Small, recent data highlights a Mean Deviation of 0.71 and a Standard Deviation of 0.94.
Predicted Return Density |
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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 -1041.33. The daily returns are distributed with a variance of 0.91 and standard deviation of 0.96. The mean deviation of First Trust Small is currently at 0.72. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | -0.1133 | |
β | Beta against Dow Jones | -0.1896 | |
σ | Overall volatility | 0.96 | |
Ir | Information ratio | 0.0039 |
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 0.956% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial has volatility of 0.8248% 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
There is a big difference between First Etf performing well and First Trust ETF doing well as a business compared to the competition. A thorough review of First Trust's risk-adjusted indicators provides a clearer picture of whether returns are being earned efficiently. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| KNGZ | 0.66 | 0.03 | 0.00 | -0.06 | 0.00 | 1.43 | 3.97 | |||
| SHRY | 0.57 | 0.08 | 0.17 | 0.03 | 0.66 | 1.24 | 3.14 | |||
| RNMC | 0.54 | -0.05 | 0.00 | 1.32 | 0.00 | 1.34 | 3.01 | |||
| EMCS | 1.15 | 0.22 | 0.10 | 0.07 | 1.70 | 2.55 | 8.58 | |||
| DWEQ | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| CIZ | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| SDEF | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| FLEU | 0.79 | -0.05 | 0.00 | 0.11 | 0.00 | 1.58 | 5.53 | |||
| SDEI | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| CSF | 6,422 | 3,595 | 55.41 | 37.75 | 0.00 | 34,233 | 55,035 |
Risk Metrics, Assumptions & Methodology
Volatility for First Trust reflects price dispersion, spread stability, and underlying basket liquidity conditions. Return variability informs risk budgeting and diversification impact.
The analytics block for First Trust Small relies on fund disclosures and market reference feeds, with quality checks and normalization applied before rendering. Timing can vary by data vendor. 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
First Trust Small currently shows materially higher return volatility than Dow Jones Industrial, with a relative multiple of about 1.17. Investors typically want to know whether the additional volatility is buying them more upside or simply more noise.You can use First Trust Small to protect your portfolios against small market fluctuations. This price-change note interprets the latest move in the context of short-horizon trading behavior. It is most useful when combined with broader risk controls and position-sizing discipline. a somewhat bearish sentiment, but the market may correct it shortly. Check odds of First Trust to be traded at $28.52 in 90 days.Poor diversification
Across the chosen horizon, RNSC and DJI show a correlation of 0.6 and fall into the Poor diversification bucket. The cleaner interpretation is to review correlation beside volatility, expected return, and the role each holding plays in the portfolio.
First Trust Additional Risk Indicators
A broader risk-indicator set for First Trust Small can improve buy, hold, hedge, and sell decisions by adding context beyond the most common measures. A disciplined risk review provides context for deciding whether exposure should be maintained, reduced, or offset elsewhere in the portfolio.
| Risk Adjusted Performance | -0.07 | |||
| Market Risk Adjusted Performance | 0.5094 | |||
| Mean Deviation | 0.7127 | |||
| Coefficient Of Variation | -1,107 | |||
| Standard Deviation | 0.9371 | |||
| Variance | 0.8782 | |||
| Information Ratio | 0.0039 |
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. Used properly, pair trading is less about prediction in isolation and more about identifying relative mispricing between related positions.
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 Small.
More Resources for First Etf Analysis
Understanding First Trust Small starts with reviewing its financial statements and long-term patterns. Key ratios describe profitability, efficiency, and growth. The dataset reflects First Trust's financial reporting across available periods. Additional context for First Trust Small Etf is provided in the reports below:Portfolio design and allocation context appear in Your Equity Center. Portfolio-level transparency adds depth to allocation analysis. Position sizing and allocation together define the portfolio construction approach. All content is derived from available inputs and carries no advisory implication. This includes a position in First Trust Small. The position sits inside the allocation mix. Portfolio construction methods define how positions are sized. All values are presented as reference data. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in population.This analysis of First Trust works best as a complementary layer when evaluating how the security fits in a broader portfolio. A thorough First Trust review pairs this page with the quantitative and comparative resources listed below. You can also try the ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
Understanding First Trust Small includes distinguishing between market value and book value, where book value reflects First's accounting equity. Value and price for First Trust are related but not identical, and they can diverge across cycles. Each measure contributes a different layer to the overall valuation framework. This summary reflects available observations without forecasting intent.
Understanding First Trust involves recognizing that value and price can reflect different time horizons. Reviewing financial results, valuation ratios, and competitive positioning helps frame the value discussion. First Trust market price reflects the current exchange level formed by active bids and offers. No forward-looking guarantees are expressed or implied by this data.