First Trust STOXX ETF Volatility

FDD ETF

USD 19.45 0.27 1.41%

First Trust's volatility, beta, and downside-risk metrics are presented in one read. The ETF has a long-term beta of 0.85, meaning it tends to be less volatile than the market as a whole. The ETF shows low price volatility over the last 3 months.

Sharpe Ratio = 0.0545

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First Trust STOXX reported a Market Risk Adjusted Performance of -0.4%, a Risk of 1.25, and a Risk Adjusted Performance of 0.1%. Monthly performance data shows the ETF operating at about 4% of its measured historical range.

Key indicators related to First Trust's volatility include:

90 Days Market Risk

Very Low

Chance Of Distress

Low

90 Days Economic Sensitivity

Moves indifferently to market moves

Key risk metrics for First Trust (3 Months):

Beta

-0.15

Alpha

0.06

Risk

1.25

Sharpe Ratio

0.05

Expected Return

0.07

Assets With Similar Volatility

0.87	VGK	Vanguard FTSE Europe	Pair Corr
0.88	EZU	iShares MSCI Eurozone	Pair Corr
0.86	BBEU	JPMorgan BetaBuilders Europe	Pair Corr
0.87	IEUR	iShares Core MSCI	Pair Corr
0.83	FEZ	SPDR EURO STOXX	Pair Corr
0.86	IEV	iShares Europe ETF	Pair Corr
0.86	HEDJ	WisdomTree Europe Hedged	Pair Corr
0.95	EUFN	iShares MSCI Europe	Pair Corr
0.89	DBEU	Xtrackers MSCI Europe	Pair Corr
0.92	HEZU	iShares Currency Hedged	Pair Corr
0.86	SIXD	AllianzIM Equity 6	Pair Corr
0.87	SPBW	AllianzIM Buffer20 Allocation	Pair Corr
0.87	NOVZ	Listed Funds Trust	Pair Corr
0.83	JEPQ	JPMorgan Nasdaq Equity	Pair Corr
0.78	PFRL	PGIM Floating Rate	Pair Corr
0.78	OVT	Listed Funds Trust	Pair Corr
0.75	XLK	Technology Select Sector Aggressive Push	Pair Corr
0.77	TDAX	Etf Opportunities Trust Low Volatility	Pair Corr
0.85	JUNW	AllianzIM Equity Buffer20	Pair Corr
0.69	TCAI	Tortoise AI Infrastructure	Pair Corr

Lower Correlation Assets

0.84	VXX	iPath Series B	Pair Corr
0.84	VIXY	ProShares VIX Short Term	Pair Corr
0.78	VIXM	ProShares VIX Mid Term	Pair Corr
0.77	VXZ	iPath Series B	Pair Corr

Sensitivity To Market

First Trust STOXX exhibits a beta of -0.15, representing its market-relative sensitivity. This coefficient separates systematic risk from company-specific volatility. Total return dispersion is approximately 1.25%. First Trust STOXX return patterns over the selected horizon reflect a low level of variability, based on dispersion and downside-focused statistics. Standard deviation is near 1.29%. For First Trust STOXX, measured volatility may combine index movement with premium/discount dynamics. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.

Current 90-day First Trust correlation with market (Dow Jones Industrial)

0.06

-0.1472

Competition

3 Months Beta |First Trust STOXX Demand Trend

Current 90-day First Trust correlation with market (Dow Jones Industrial)

Downside Risk

For First Trust, the standard deviation figure expresses the observed spread of daily returns over the selected period. The magnitude of First Trust standard deviation determines where it falls on the volatility spectrum relative to peers. Pairing standard deviation with beta separates First Trust total risk from its market-driven component. Combining First Trust standard deviation with skewness and kurtosis gives a more complete picture of return distribution shape.

Standard Deviation

1.25

Distinguishing between standard deviation and downside deviation sharpens the risk picture for First Trust. Standard deviation reflects total return dispersion for First Trust, while downside deviation captures only the adverse portion of First Trust's returns. Standard deviation and downside deviation for First Trust measure different things - total dispersion vs. loss-only dispersion. Semi-deviation and downside deviation focus on the loss risk embedded in First Trust's returns. First Trust STOXX reported a Downside Deviation of 1.34, a Downside Variance of 1.79, and a Maximum Drawdown of 5.20.

ETF Volatility Analysis

For First Trust, understanding volatility is essential to assessing portfolio risk contribution. It indicates how dramatically First Trust's price swings over a specific time horizon. For First Trust, volatility is both a risk factor and a driver of return dispersion. Sharp price movements in First Trust's are triggered by earnings surprises, macroeconomic data, or sector trends.

Transformation

This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of First Trust STOXX's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.

Projected Return Density Against Market

Over a 90-day investment horizon, First Trust STOXX has a beta of -0.1472. This usually indicates that as returns on the benchmark increase, returns on First Trust tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, First Trust STOXX tends to outperform the market.

Holders of First Trust face systematic risk from broad ETF market trends and unsystematic risk from company or sector-specific developments. Diversification reduces specific exposure, but macro-driven volatility persists. Beta remains a common sensitivity metric. First Trust STOXX reported a Downside Deviation of 1.34, a Mean Deviation of 1.00, and a Semi Deviation of 1.24.

First Trust STOXX has an alpha of 0.0643, implying that it can generate a 0.0643 percent excess return over Dow Jones Industrial after adjusting for the inherent market risk (beta).

Predicted Return Distribution

Density

First Trust's volatility is typically evaluated with standard deviation and beta. Standard deviation reflects how far First Trust's returns usually move from the mean over the selected horizon.

What Drives First Trust's Price Volatility?

Holdings and Allocation

First Trust's volatility can rise when allocation drift or holdings turnover shifts across the Europe Stock category.

Political and Economic Environment

Changes in fiscal policy, rates, and growth expectations affect market-wide risk premiums and spill into First Trust's trading.

First Trust's Fund-Specific Factors

Fund flow dynamics, expense-ratio competitiveness, and index reconstitution events can create abrupt price dispersion in First Trust.

ETF Risk Measures

Over a 90-day investment horizon, the coefficient of variation of First Trust is 1835.34. The daily returns are distributed with a variance of 1.57 and standard deviation of 1.25. The mean deviation of First Trust STOXX is currently at 0.96. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.92

α	Alpha over Dow Jones	0.06	Details
β	Beta against Dow Jones	-0.1472	Details
σ	Overall volatility	1.25	Details
Ir	Information ratio	0.07	Details

ETF Return Volatility

First Trust return volatility captures the typical daily swing in ETF returns relative to the mean over the selected period. The fund has volatility of 1.2549% on return distribution over a 90-day investment horizon. Meanwhile, Dow Jones Industrial reported 0.9164% volatility on return distribution over a 90-day investment horizon.

Performance

Timeline

Related Correlations Analysis

	FDT	IAT	JHEM	GSSC	DOL	IAK	EQAL	DBEU	BIDD	OAKM
FDT		0.63	0.95	0.85	0.96	0.65	0.87	0.89	0.91	0.67	FDT
IAT	0.63		0.59	0.74	0.78	0.78	0.63	0.75	0.83	0.92	IAT
JHEM	0.95	0.59		0.93	0.89	0.55	0.9	0.8	0.84	0.59	JHEM
GSSC	0.85	0.74	0.93		0.83	0.61	0.93	0.76	0.8	0.71	GSSC
DOL	0.96	0.78	0.89	0.83		0.74	0.84	0.96	0.96	0.8	DOL
IAK	0.65	0.78	0.55	0.61	0.74		0.66	0.79	0.81	0.88	IAK
EQAL	0.87	0.63	0.9	0.93	0.84	0.66		0.83	0.77	0.7	EQAL
DBEU	0.89	0.75	0.8	0.76	0.96	0.79	0.83		0.92	0.8	DBEU
BIDD	0.91	0.83	0.84	0.8	0.96	0.81	0.77	0.92		0.84	BIDD
OAKM	0.67	0.92	0.59	0.71	0.8	0.88	0.7	0.8	0.84		OAKM
	FDT	IAT	JHEM	GSSC	DOL	IAK	EQAL	DBEU	BIDD	OAKM

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First Trust Constituents Risk-Adjusted Indicators

First Trust ETF can look attractive on recent price action while risk efficiency lags the peer group. Reviewing First Trust's risk-adjusted indicators gives a clearer view of whether returns are being earned efficiently. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
FDT	1.29	0.17	0.12	-1.12	1.52	-1.44	2.70	-2.75	7.46
IAT	1.12	-0.10	0.00	0.75	0.00	0.00	1.94	-2.46	6.86
JHEM	1.29	0.22	0.15	-1.79	1.43	-1.45	2.85	-2.71	7.25
GSSC	1.01	0.11	0.10	-0.97	1.25	-0.98	2.60	-1.93	5.21
DOL	1.06	0.07	0.07	-0.70	1.29	-1.21	2.68	-2.22	5.99
IAK	0.71	-0.04	0.00	-1.49	0.00	0.00	1.52	-1.71	3.59
EQAL	0.65	0.05	0.08	-0.75	0.79	-0.63	1.66	-1.24	4.46
DBEU	0.85	0.02	0.04	-0.32	1.09	-0.88	1.89	-2.11	5.22
BIDD	1.07	0.05	0.05	-1.21	1.24	-1.20	2.41	-2.23	5.51
OAKM	0.66	-0.06	0.00	2.12	0.00	0.00	1.37	-1.35	3.74

Risk Metrics, Assumptions & Methodology

Systematic risk exposure for First Trust measures how much of the fund's volatility comes from broad market movements versus idiosyncratic factors. A beta above one indicates amplified sensitivity to market swings, increasing both upside and downside exposure.

First Trust STOXX figures are aggregated from fund disclosures and market reference feeds and normalized across reporting formats. Volatility and downside metrics are estimated from historical return dispersion.

Editorial review and methodology oversight provided by: Rifka Kats, Member of Macroaxis Editorial Board

Volatility Profile Summary

Recent data suggests that First Trust STOXX is more volatile than Dow Jones Industrial by approximately 1.36x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 11% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.

First Trust STOXX with characteristics aligned to broad market upside participation. This directional read frames the latest price swing through a simple momentum and follow-through lens. It gains reliability when combined with broader risk controls and volatility-adjusted analysis. a large bullish trend. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View First Trust probability analysis.

Very poor diversification

For the present investment horizon, the measured correlation between First Trust and Dow Jones stands at 0.84, or Very poor diversification. In portfolio terms, the overlap shows how much shared movement remains after combining both positions.

View Details

Additional Risk Indicators

Risk analysis around First Trust STOXX gains depth when secondary indicators confirm, refine, or challenge the basic volatility picture. Cross-security comparison within similar growth and valuation profiles provides additional context for interpreting relative risk positioning.

	Risk Adjusted Performance	0.0579
	Market Risk Adjusted Performance	-0.45
	Mean Deviation	1.0
	Semi Deviation	1.24
	Downside Deviation	1.34
	Coefficient Of Variation	1667.06
	Standard Deviation	1.29

First Trust Suggested Diversification Pairs

A paired position built around First Trust STOXX reduces directional market exposure while expressing a relative-value view. Pair trading is less about prediction in isolation and more about identifying relative mispricing between related positions.

While pairing positions reduces portfolio risk, some forms of risk persist no matter which instruments are combined. No matter how well a pair is constructed around First Trust, market-wide risk remains. What pair trading can address is First Trust's unsystematic risk - the portion driven by company or sector-specific factors rather than broad market forces.

More Resources for First Trust ETF Analysis

The gap between First Trust's market price and NAV reflects supply-demand dynamics in the secondary market. The relationship between First Trust's cost structure, holdings, and tracking accuracy shapes the aggregate assessment.

The distinction between First Trust's trading price and NAV is an important analytical consideration. In practice, First Trust price is set by the continuous auction process on its listing exchange.

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