First Trust Exchange Traded ETF Volatility
| FOCT ETF | USD 51.53 -0.03 -0.06% |
Sharpe Ratio = 0.1027
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For First Trust Exchange Traded, recent data highlights a Market Risk Adjusted Performance of 0.1%, a Risk of 0.64, and a Risk Adjusted Performance of 0.1%. Monthly performance data shows the ETF operating at about 8% of its measured historical range.
Key indicators related to First Trust's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for First Trust (3 Months):
Beta 0.55 | Alpha 0.04 | Risk 0.64 | Sharpe Ratio 0.1 | Expected Return 0.07 |
Assets With Similar Volatility
| 0.72 | INOV | Innovator ETFs Trust | PairCorr |
| 0.99 | BUFR | FT Vest Laddered | PairCorr |
| 0.99 | BUFD | FT Cboe Vest | PairCorr |
| 1.0 | PSEP | Innovator SAMPP 500 | PairCorr |
| 1.0 | PJAN | Innovator SAMPP 500 | PairCorr |
| 0.99 | PJUL | Innovator SAMPP 500 | PairCorr |
| 0.99 | PAUG | Innovator Equity Power | PairCorr |
| 0.9 | PMAY | Innovator SAMPP 500 | PairCorr |
| 0.72 | AMDG | Leverage Shares 2X Trending | PairCorr |
| 0.72 | AMDL | GraniteShares 2x Long Trending | PairCorr |
| 0.84 | KORU | Direxion Daily South Trending | PairCorr |
| 0.72 | AMUU | Direxion Daily AMD Trending | PairCorr |
| 0.71 | INTW | GraniteShares 2x Long Trending | PairCorr |
| 0.65 | MUU | Direxion Daily MU Trending | PairCorr |
| 0.66 | MULL | GraniteShares 2x Long Trending | PairCorr |
| 0.67 | RKLX | Defiance Daily Target Trending | PairCorr |
| 0.78 | DGS | WisdomTree Emerging Markets | PairCorr |
| 0.71 | DIS | Walt Disney | PairCorr |
| 0.79 | JPM | JPMorgan Chase Co | PairCorr |
Sensitivity To Market
First Trust Exchange Traded exhibits a beta of 0.55, representing its market-relative sensitivity. This coefficient separates systematic risk from company-specific volatility. Total return dispersion is approximately 0.64%. First Trust Exchange Traded return patterns over the selected horizon reflect a very low level of variability, based on dispersion and downside-focused statistics. Standard deviation is near 0.64%. ETF volatility often reflects both the underlying basket and the trading layer. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available. Spread stability also shapes short-term movement.
3 Months Beta |First Trust Exchange Demand TrendCurrent 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 | 0.64 |
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. For First Trust Exchange Traded, recent data highlights a Downside Deviation of 0.63, a Downside Variance of 0.39, and a Maximum Drawdown of 2.43.
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 Exchange'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
Given a 90-day horizon, First Trust has a beta of 0.553. This usually indicates as returns on the market go up, First Trust's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding First Trust Exchange Traded tends to be smaller as well.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. For First Trust Exchange Traded, recent data highlights a Downside Deviation of 0.63, a Mean Deviation of 0.48, and a Semi Deviation of 0.52.
Predicted Return Distribution |
| Density |
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 Defined Outcome 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
Given a 90-day horizon, the coefficient of variation of First Trust is 973.53. The daily returns are distributed with a variance of 0.41 and standard deviation of 0.64. The mean deviation of First Trust Exchange Traded is currently at 0.48. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.95
α | Alpha over Dow Jones | 0.04 | |
β | Beta against Dow Jones | 0.55 | |
σ | Overall volatility | 0.64 | |
Ir | Information ratio | 0.06 |
ETF Return Volatility
First Trust return volatility captures the typical daily swing in ETF returns relative to the mean over the selected period. The exchange-traded fund has volatility of 0.6376% on return distribution over a 90-day investment horizon. Meanwhile, Dow Jones Industrial reported 0.924% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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First Trust Competition 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| META | 1.71 | -0.17 | 0.00 | -0.12 | 0.00 | 2.61 | 15.22 | |||
| MSFT | 1.30 | 0.06 | 0.04 | 0.12 | 1.51 | 3.11 | 8.57 | |||
| UBER | 1.65 | 0.02 | 0.01 | 0.04 | 2.00 | 3.61 | 11.61 | |||
| F | 1.54 | -0.21 | 0.00 | -0.14 | 0.00 | 4.11 | 9.26 | |||
| T | 1.19 | -0.13 | 0.00 | 0.47 | 0.00 | 2.36 | 7.74 | |||
| A | 1.45 | -0.24 | 0.00 | -0.24 | 0.00 | 2.67 | 8.08 | |||
| CRM | 2.05 | -0.08 | 0.00 | 2.79 | 0.00 | 4.07 | 13.46 | |||
| JPM | 1.10 | -0.07 | 0.00 | -0.04 | 0.00 | 2.16 | 8.17 | |||
| MRK | 1.12 | -0.12 | 0.00 | -0.22 | 0.00 | 2.73 | 7.67 | |||
| XOM | 1.45 | 0.06 | 0.01 | -0.07 | 2.08 | 2.73 | 8.59 |
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 Exchange Traded 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: Gabriel Shpitalnik, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that First Trust Exchange Traded is less volatile than Dow Jones Industrial by approximately 1.44x over the selected horizon. This differential reflects the relative dispersion of returns and frames how each 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 5% 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 Exchange Traded exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This directional read frames the latest price swing through a simple momentum and follow-through lens. It gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. Observed price behavior reflects modest downward movement with limited trading activity. 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
Across the chosen horizon, First Trust and Dow Jones show a correlation of 0.84 and fall into the Very poor diversification bucket. This chart measures the degree of risk overlap between First Trust and Dow Jones.
Additional Risk Indicators
Risk analysis around First Trust Exchange Traded gains depth when secondary indicators confirm, refine, or challenge the basic volatility picture. These measures support both standalone risk assessment and portfolio-level analysis.
| Risk Adjusted Performance | 0.0929 | |||
| Market Risk Adjusted Performance | 0.1103 | |||
| Mean Deviation | 0.485 | |||
| Semi Deviation | 0.5245 | |||
| Downside Deviation | 0.6272 | |||
| Coefficient Of Variation | 973.53 | |||
| Standard Deviation | 0.6376 |
First Trust Suggested Diversification Pairs
Pair analysis provides a framework for evaluating relative performance between First Trust Exchange Traded and comparable securities. 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.