First Trust Value At Risk
| FTC ETF | | | USD 176.49 -1.87 -1.05% |
Value At Risk (or VAR) is a statistical technique used to measure the level of financial risk of investment instrument over a specific time frame. It is a widely used measure of the risk of loss on a specific investing instrument. Below is First Trust's current Value At Risk with peer comparisons and related risk metrics.
Current Value At Risk Value
At
-2.24, First Trust exhibits the estimated maximum daily loss at the given confidence level in Value At Risk. There is approximately a 5% probability that First Trust could lose more than
-2.24 in a single day under normal market conditions.
Value At Risk | = | ER[a] x N | + | (Z-SCORE x STD x SQRT (N)) |
| = | -2.24 | |
| ER[a] | = | Expected return on investing in First Trust |
| STD | = | Standard Deviation of First Trust |
| N | = | Number of points for the period |
| Z-SCORE | = | Number of standard deviations above or below the mean |
Value At Risk Peers Comparison
First Trust's Value At Risk of -2.2415 falls below the -1.82 peer average. Values range from -2.6895 (Invesco DWA Momentum) to 0.0 (), with tight clustering across the group. First Trust carries lower tail risk than the peer average at the given confidence level.
Value At Risk Relative To Other Indicators
The chart below plots Value At Risk against Maximum Drawdown for First Trust and its peers. Each point represents one equity — position along the horizontal axis shows Value At Risk while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
Compare First Trust to PeersMethodology, Assumptions & Data Sources
The current Value At Risk for First Trust is -2.24. Value At Risk for First Trust is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Indicator accuracy depends on data continuity across the calculation period. Gaps in trading history may affect the output.
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