First Trust Expected Short fall
| FTDS ETF | | | USD 59.96 -1.10 -1.80% |
Expected shortfall (or ES) is a risk measure that evaluates the market risk of an equity instrument. It is an alternative to value at risk that is more sensitive to the shape of the loss distribution in the tail of the distribution. The expected shortfall at a particular level is the expected return on the portfolio in the worst percent of the cases. Expected shortfall is also called conditional value at risk (CVaR), average value at risk (AVaR), and expected tail loss (ETL). Below is First Trust's current Expected Short fall with peer comparisons and related risk metrics.
Current Expected Short fall Value
With Expected Short fall at
-0.60, First Trust shows its current reading on this measure. This reflects First Trust's positioning relative to its own recent range within ETF.
Expected Shortfall | = | Conditional VAR |
| = | -0.60 | |
Expected Short fall Peers Comparison
Relative to peers, First Trust's Expected Short fall is above the group average of -0.81. Peer readings range from -1.8557 (First Trust Asia) to 0.0 (), reflecting tight clustering across the sector.
Expected Short fall Relative To Other Indicators
The chart below plots Expected Short fall against Maximum Drawdown for First Trust and its peers. Each point represents one equity — position along the horizontal axis shows Expected Short fall 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
First Trust's Expected Short fall currently stands at -0.60. This Expected Short fall reading for First Trust results from applying the indicator's calculation rules to price and volume data over the selected window. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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