FIRST Etf Volatility

QCLN
 Etf
  

CAD 27.00  0.41  1.54%   

FIRST TRUST appears to be not too volatile, given 3 months investment horizon. FIRST TRUST NSDQ secures Sharpe Ratio (or Efficiency) of 0.14, which denotes the etf had 0.14% of return per unit of volatility over the last 3 months. Our approach towards predicting the volatility of an etf is to use all available market data together with etf-specific technical indicators that cannot be diversified away. We have found twenty-six technical indicators for FIRST TRUST NSDQ, which you can use to evaluate the future volatility of the entity. Please utilize FIRST TRUST's Mean Deviation of 2.33, market risk adjusted performance of 0.3108, and Downside Deviation of 3.46 to check if our risk estimates are consistent with your expectations.
  
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. We also use FIRST's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of FIRST TRUST volatility.

720 Days Market Risk

Not too volatile

Chance of Distress

Quite High

720 Days Economic Sensitivity

Almost mirrors the market
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as FIRST TRUST can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of FIRST TRUST at lower prices. For example, an investor can purchase FIRST stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of FIRST TRUST's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

FIRST TRUST Market Sensitivity And Downside Risk

FIRST TRUST's beta coefficient measures the volatility of FIRST etf compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents FIRST etf's returns against your selected market. In other words, FIRST TRUST's beta of 1.06 provides an investor with an approximation of how much risk FIRST TRUST etf can potentially add to one of your existing portfolios.
FIRST TRUST NSDQ shows above-average downside volatility for the selected time horizon. We advise investors to inspect FIRST TRUST NSDQ further and ensure that all market timing and asset allocation strategies are consistent with the estimation of FIRST TRUST future alpha. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure FIRST TRUST's etf risk against market volatility during both bullying and bearish trends. The higher level of volatility that comes with bear markets can directly impact FIRST TRUST's etf price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different stocks as prices fall.

FIRST TRUST Implied Volatility

FIRST TRUST's implied volatility exposes the market's sentiment of FIRST TRUST NSDQ stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if FIRST TRUST's implied volatility is high, the market thinks the stock has potential for high price swings in either direction. On the other hand, the low implied volatility suggests that FIRST TRUST stock will not fluctuate a lot when FIRST TRUST's options are near their expiration.
3 Months Beta |Analyze FIRST TRUST NSDQ Demand Trend
Check current 90 days FIRST TRUST correlation with market (DOW)

FIRST Beta

    
  1.06  
FIRST standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  3.19  
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 stock's daily returns or price. Since the actual investment returns on holding a position in FIRST TRUST stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in FIRST TRUST.

FIRST TRUST NSDQ Etf Volatility Analysis

Volatility refers to the frequency at which FIRST TRUST stock 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. Investors will then calculate the volatility of FIRST TRUST's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of FIRST TRUST's volatility:

Historical Volatility

This type of stock volatility measures FIRST TRUST's fluctuations based on previous trends. It's commonly used to predict FIRST TRUST's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for FIRST TRUST's current market price. This means that the stock will return to its initially predicted market price.
Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. The Median Price line plots median indexes of FIRST TRUST NSDQ price series.
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FIRST TRUST Projected Return Density Against Market

Assuming the 90 days trading horizon the etf has the beta coefficient of 1.0606 indicating FIRST TRUST NSDQ market returns are very sensitive to returns on the market. As the market goes up or down, FIRST TRUST is expected to follow.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to FIRST TRUST or FT Portfolios Canada Co sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that FIRST TRUST stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a FIRST stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has an alpha of 0.3358, implying that it can generate a 0.34 percent excess return over DOW after adjusting for the inherited market risk (beta).
   Predicted Return Density   
       Returns  
FIRST TRUST's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how FIRST TRUST stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Company's Stock Price Volatility?

Several factors can influence a company's stock 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 many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.

FIRST TRUST Etf Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to FIRST TRUST or FT Portfolios Canada Co sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that FIRST TRUST stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a FIRST stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Assuming the 90 days trading horizon the coefficient of variation of FIRST TRUST is 701.13. The daily returns are distributed with a variance of 10.19 and standard deviation of 3.19. The mean deviation of FIRST TRUST NSDQ is currently at 2.25. For similar time horizon, the selected benchmark (DOW) has volatility of 1.36
α
Alpha over DOW
0.34
β
Beta against DOW1.06
σ
Overall volatility
3.19
Ir
Information ratio 0.10

FIRST TRUST Etf Return Volatility

FIRST TRUST historical daily return volatility represents how much FIRST TRUST stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The ETF venture accepts 3.1925% volatility on return distribution over the 90 days horizon. By contrast, DOW inherits 1.2667% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
       Timeline  

About FIRST TRUST Volatility

Volatility is a rate at which the price of FIRST TRUST or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of FIRST TRUST may increase or decrease. In other words, similar to FIRST's beta indicator, it measures the risk of FIRST TRUST and helps estimate the fluctuations that may happen in a short period of time. So if prices of FIRST TRUST fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
FIRST TRUST is traded on Toronto Stock Exchange in Canada.

FIRST TRUST Investment Opportunity

FIRST TRUST NSDQ has a volatility of 3.19 and is 2.51 times more volatile than DOW. 27  of all equities and portfolios are less risky than FIRST TRUST. Compared to the overall equity markets, volatility of historical daily returns of FIRST TRUST NSDQ is lower than 27 () of all global equities and portfolios over the last 90 days.
Use FIRST TRUST NSDQ to enhance the returns of your portfolios. Benchmarks are essential to demonstrate the utility of optimization algorithms. The etf experiences a large bullish trend. Check odds of FIRST TRUST to be traded at C$29.7 in 90 days. .

Very weak diversification

The correlation between FIRST TRUST NSDQ CLN EDG GREEN and DJI is Very weak diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding FIRST TRUST NSDQ CLN EDG GREEN and DJI in the same portfolio, assuming nothing else is changed.

FIRST TRUST Additional Risk Indicators

The analysis of FIRST TRUST's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in FIRST TRUST's investment and either accepting that risk or mitigating it. Along with some common measures of FIRST TRUST stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Risk Adjusted Performance0.1427
Market Risk Adjusted Performance0.3108
Mean Deviation2.33
Semi Deviation3.0
Downside Deviation3.46
Coefficient Of Variation991.95
Standard Deviation3.26
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

FIRST TRUST Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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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 NSDQ.
Please see Your Equity Center. Note that the FIRST TRUST NSDQ information on this page should be used as a complementary analysis to other FIRST TRUST's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.

Complementary Tools for FIRST Etf analysis

When running FIRST TRUST NSDQ price analysis, check to measure FIRST TRUST's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy FIRST TRUST is operating at the current time. Most of FIRST TRUST's value examination focuses on studying past and present price action to predict the probability of FIRST TRUST's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move FIRST TRUST's price. Additionally, you may evaluate how the addition of FIRST TRUST to your portfolios can decrease your overall portfolio volatility.
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Please note, there is a significant difference between FIRST TRUST's value and its price as these two are different measures arrived at by different means. Investors typically determine FIRST TRUST value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, FIRST TRUST's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.