Ft Alphadex Industrials Etf Market Value
| FHG Etf | CAD 60.64 0.71 1.18% |
| Symbol | FHG |
FT AlphaDEX 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to FT AlphaDEX's etf what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of FT AlphaDEX.
| 12/29/2023 |
| 11/23/2024 |
If you would invest 0.00 in FT AlphaDEX on December 29, 2023 and sell it all today you would earn a total of 0.00 from holding FT AlphaDEX Industrials or generate 0.0% return on investment in FT AlphaDEX over 330 days. FT AlphaDEX is related to or competes with IShares SPTSX, BMO Equal, BMO SPTSX, and BMO Equal. The First Trust ETF seeks to replicate, to the extent possible, the performance of the StrataQuant Industrials Index , n... More
FT AlphaDEX Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure FT AlphaDEX's etf current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess FT AlphaDEX Industrials upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8716 | |||
| Information Ratio | 0.119 | |||
| Maximum Drawdown | 5.87 | |||
| Value At Risk | (1.24) | |||
| Potential Upside | 2.31 |
FT AlphaDEX Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for FT AlphaDEX's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as FT AlphaDEX's standard deviation. In reality, there are many statistical measures that can use FT AlphaDEX historical prices to predict the future FT AlphaDEX's volatility.| Risk Adjusted Performance | 0.1829 | |||
| Jensen Alpha | 0.2055 | |||
| Total Risk Alpha | 0.0771 | |||
| Sortino Ratio | 0.1547 | |||
| Treynor Ratio | 0.6159 |
FT AlphaDEX Industrials Backtested Returns
FT AlphaDEX appears to be very steady, given 3 months investment horizon. FT AlphaDEX Industrials retains Efficiency (Sharpe Ratio) of 0.21, which denotes the etf had a 0.21% return per unit of price deviation over the last 3 months. We have found thirty technical indicators for FT AlphaDEX, which you can use to evaluate the volatility of the entity. Please utilize FT AlphaDEX's Standard Deviation of 1.13, market risk adjusted performance of 0.6259, and Downside Deviation of 0.8716 to check if our risk estimates are consistent with your expectations. The etf owns a Beta (Systematic Risk) of 0.42, which means possible diversification benefits within a given portfolio. As returns on the market increase, FT AlphaDEX's returns are expected to increase less than the market. However, during the bear market, the loss of holding FT AlphaDEX is expected to be smaller as well.
Auto-correlation | 0.56 |
Modest predictability
FT AlphaDEX Industrials has modest predictability. Overlapping area represents the amount of predictability between FT AlphaDEX time series from 29th of December 2023 to 11th of June 2024 and 11th of June 2024 to 23rd of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of FT AlphaDEX Industrials price movement. The serial correlation of 0.56 indicates that roughly 56.0% of current FT AlphaDEX price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.56 | |
| Spearman Rank Test | 0.63 | |
| Residual Average | 0.0 | |
| Price Variance | 9.82 |
FT AlphaDEX Industrials lagged returns against current returns
Autocorrelation, which is FT AlphaDEX etf's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting FT AlphaDEX's etf expected returns. We can calculate the autocorrelation of FT AlphaDEX returns to help us make a trade decision. For example, suppose you find that FT AlphaDEX has exhibited high autocorrelation historically, and you observe that the etf is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
FT AlphaDEX regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If FT AlphaDEX etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if FT AlphaDEX etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in FT AlphaDEX etf over time.
Current vs Lagged Prices |
| Timeline |
FT AlphaDEX Lagged Returns
When evaluating FT AlphaDEX's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of FT AlphaDEX etf have on its future price. FT AlphaDEX autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, FT AlphaDEX autocorrelation shows the relationship between FT AlphaDEX etf current value and its past values and can show if there is a momentum factor associated with investing in FT AlphaDEX Industrials.
Regressed Prices |
| Timeline |
Pair Trading with FT AlphaDEX
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if FT AlphaDEX position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in FT AlphaDEX will appreciate offsetting losses from the drop in the long position's value.Moving together with FHG Etf
Moving against FHG Etf
| 0.85 | XHC | iShares Global Healthcare | PairCorr |
| 0.83 | HHL | Harvest Healthcare | PairCorr |
| 0.78 | ZUH | BMO Equal Weight | PairCorr |
| 0.69 | TCLB | TD Canadian Long | PairCorr |
| 0.36 | ZAG | BMO Aggregate Bond | PairCorr |
The ability to find closely correlated positions to FT AlphaDEX could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace FT AlphaDEX when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back FT AlphaDEX - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling FT AlphaDEX Industrials to buy it.
The correlation of FT AlphaDEX is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as FT AlphaDEX moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if FT AlphaDEX Industrials moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for FT AlphaDEX can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Other Information on Investing in FHG Etf
FT AlphaDEX financial ratios help investors to determine whether FHG Etf is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in FHG with respect to the benefits of owning FT AlphaDEX security.