First Trust Merger Fund Volatility
| VARCX Fund | 10.46 -0.01 -0.1% |
Over the designated horizon, First Trust Merger maintains a minimal volatility profile. First Trust Merger posts a Sharpe Ratio (Efficiency) of 0.0691, suggesting positive return efficiency over the last 3 months. The current setup includes 26 technical indicators relevant to risk behavior.
Sharpe Ratio = 0.0691
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| VARCX |
Latest disclosures for First Trust Merger show a Market Risk Adjusted Performance of 0.9%, a Risk of 0.07, and a Risk Adjusted Performance of 0.1%. Monthly moving average analysis places First Trust at roughly 5% of its prior performance bandwidth. Its effect inside a well-diversified portfolio would be influenced by cross-asset correlation.
Key indicators related to First Trust's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
First Trust's volatility is most commonly measured using the annualized standard deviation of daily returns. This statistical measure reflects the magnitude of First Trust's typical price swings and is a primary input in options pricing models.
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First Trust Volatility Strategy
First Trust Merger return fluctuations can modify its marginal contribution to total portfolio variance. Allocation size and correlation determine overall impact. Current statistical measures show total volatility near 0.0685% with a beta coefficient of 0.0405, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.0691, evaluates return per unit of total risk. An alpha value of 0.0351 reflects performance relative to systematic market exposure. Expected return estimates near 0.0047% 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 0.0405 | Alpha 0.0351 | Risk 0.0685 | Sharpe Ratio 0.0691 | Expected Return 0.0047 |
Moving together with First Mutual Fund
| 0.87 | VARBX | Vivaldi Merger Arbitrage | PairCorr |
| 0.87 | VARAX | Vivaldi Merger Arbitrage | PairCorr |
| 0.63 | BILPX | Blkrk Lc Cr | PairCorr |
| 0.63 | BCLPX | Blckrk Lc Cr | PairCorr |
| 0.62 | BALPX | Blckrk Lc Cr | PairCorr |
First Trust Sensitivity To Market
First Trust'sFirst Trust Merger exhibits a beta of 0.0405, representing its market-relative sensitivity based on regression modeling. Beta quantifies systematic risk by measuring the slope of asset returns against benchmark returns. Overall return volatility is approximately 0.0685%.Volatility metrics for First Trust Merger describe how stable or unstable returns have been over the selected window. Current downside deviation is about 0.11%. Funds with more equity exposure typically show higher volatility than more bond-heavy funds.
3 Months Beta |Analyze First Trust Merger Demand TrendCheck current 90 days First Trust correlation with market (Dow Jones Industrial)First Trust Downside Risk
The standard deviation of First measures how widely its daily prices are dispersed around the mean for a given time period. Highly volatile instruments have large standard deviations; stable instruments have small ones.
Standard Deviation | 0.0685 |
Standard deviation captures both upside and downside movement in First Trust. However, investors specifically concerned with loss potential should use downside deviation or semi-deviation of First Trust's returns. Latest disclosures for First Trust Merger show a Downside Deviation of 0.11, a Downside Variance of 0.01, and a Maximum Drawdown of 2.75.
First Trust Merger Mutual Fund Volatility Analysis
First Trust fund volatility is a measure of the speed and extent of First Trust's price movements. High volatility generally means the mutual fund price moves dramatically up or down in a short period of time. Low volatility means First Trust's price does not fluctuate dramatically, and tends to be.
Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. First Trust Merger 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.
First Trust Projected Return Density Against Market
Assuming a 90-day horizon First Trust has a beta of 0.0405 . This entails 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 Merger is expected to be smaller as well.Investors in First Trust face systematic risk from overall mutual fund market trends and unsystematic risk from company or sector-specific developments. Diversification reduces specific exposure, but macro-driven volatility persists. Beta remains a common sensitivity metric. Latest disclosures for First Trust Merger show a Downside Deviation of 0.11, a Mean Deviation of 0.10, and a Standard Deviation of 0.32.
Predicted Return Density |
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What Drives a First Trust Price Volatility?
Several factors can influence a fund's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract investor attention to the company. This positive attention may impact the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.First Trust Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of First Trust is 1447.53. The daily returns are distributed with a variance of 0.0 and standard deviation of 0.07. The mean deviation of First Trust Merger is currently at 0.04. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.77
α | Alpha over Dow Jones | 0.04 | |
β | Beta against Dow Jones | 0.04 | |
σ | Overall volatility | 0.07 | |
Ir | Information ratio | 0.15 |
First Trust 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 shows 0.0685% volatility of returns over 90 trading days. By contrast, Dow Jones Industrial accepts 0.7694% volatility on return distribution over a 90-day horizon. Performance |
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Related Correlations Analysis
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. 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 | ||
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| BBINX | 0.07 | 0.01 | 0.11 | 0.83 | 0.00 | 0.19 | 0.76 | |||
| NEITX | 0.06 | 0.01 | 0.00 | 1.09 | 0.00 | 0.22 | 0.66 | |||
| TOHIX | 0.08 | 0.00 | 0.07 | 0.12 | 0.00 | 0.18 | 0.83 | |||
| PATFX | 0.11 | 0.01 | 0.11 | -0.97 | 0.00 | 0.27 | 1.07 | |||
| MDXBX | 0.09 | 0.01 | 0.10 | 0.74 | 0.00 | 0.20 | 0.99 | |||
| FHTFX | 0.10 | 0.01 | 0.07 | -0.85 | 0.07 | 0.13 | 0.74 | |||
| PTIAX | 0.15 | 0.00 | 0.08 | 0.44 | 0.14 | 0.35 | 0.99 |
About First Trust Volatility Analysis
Volatility for First Trust reflects NAV dispersion and exposure stability across disclosure periods. Downside profile remains relatively contained.
Unless otherwise specified, financial data for First Trust Merger is derived from periodic company reporting (annual and quarterly where available). Asset-level metrics are computed daily by Macroaxis LLC and refreshed regularly based on asset type. Updates may occur throughout the day.
First Trust Investment Opportunity
Measured over the selected horizon, Dow Jones Industrial carries roughly 11.0 times the return volatility of First Trust Merger. That difference can matter when investors want a steadier position size or lower contribution to total portfolio risk.You can use First Trust Merger 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 gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. a normal downward trend and little activity. Check odds of First Trust to be traded at 10.36 in 90 days.Very weak diversification
Across the chosen horizon, VARCX and DJI show a correlation of 0.42 and fall into the Very weak diversification bucket. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.
First Trust Additional Risk Indicators
Risk analysis around First Trust Merger becomes more useful when investors review secondary indicators that can confirm, refine, or challenge the basic volatility picture. Used correctly, these measures can support both standalone risk assessment and portfolio-level hedging decisions.
| Risk Adjusted Performance | 0.0929 | |||
| Market Risk Adjusted Performance | 0.8643 | |||
| Mean Deviation | 0.1023 | |||
| Downside Deviation | 0.113 | |||
| Coefficient Of Variation | 720.37 | |||
| Standard Deviation | 0.3213 | |||
| Variance | 0.1032 |
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 Merger.