First Trust Expected Shortfall

Key Indicators . Expected Shortfall . ETFs . USA . 
ETF . First Trust China
FCA ETF  USD 32.81  0.09  0.28%   
First Trust's current Expected Shortfall is presented alongside peer comparisons and related risk metrics.

Current Expected Shortfall Value

The current Expected Shortfall of 0 places First Trust at its current reading on this measure. This reflects First Trust's positioning relative to its own recent range within ETF.
Compare First Trust to Peers

Methodology, Assumptions & Data Sources

First Trust has a current Expected Shortfall reading of 0. This Expected Shortfall reading for First Trust results from applying the indicator's calculation rules to price and volume data over the selected window. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.

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Risk Adjusted Performance0.0318
Market Risk Adjusted Performance0.0605
Mean Deviation0.9965
Semi Deviation1.55
Downside Deviation1.65
Coefficient Of Variation3354.63
Standard Deviation1.39
Variance1.93
Information Ratio0.0186
Jensen Alpha0.0279
Total Risk Alpha0.0235
Sortino Ratio0.0157
Treynor Ratio0.0505
Maximum Drawdown6.57
Value At Risk-3.12
Potential Upside1.88
Downside Variance2.71
Semi Variance2.39
Expected Short fall-0.93
Skewness-0.66
Kurtosis1.95
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