First Trust Correlations

FPEFX Fund

USD 20.51 0.07 0.34%

The current 90-days correlation between First Trust Preferred and Vivaldi Merger Arbitrage is -0.07 (i.e., Good diversification). The correlation of First Trust 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 correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

First Trust Correlation With Market

Poor diversification

The correlation between First Trust Preferred and DJI is 0.68 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First Trust Preferred and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in First Trust Preferred. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in price.

Moving together with FIRST Mutual Fund

0.97	CWAAX	First Trust Managed	Pair Corr
0.95	CWAIX	First Trust Managed	Pair Corr
0.85	FTMAX	Franklin Templeton	Pair Corr
0.8	FTMCX	First Trust Multi	Pair Corr
0.67	FOVIX	First Trust/confluence	Pair Corr
0.65	FOVCX	First Trust/confluence	Pair Corr
0.67	FOVAX	First Trust/confluence	Pair Corr
1.0	FPEIX	First Trust Preferred	Pair Corr
0.98	FPECX	First Trust Preferred	Pair Corr
0.97	FPEAX	First Trust Preferred	Pair Corr
1.0	FPERX	First Trust Preferred	Pair Corr
0.98	CPXIX	Cohen Steers Prfrd	Pair Corr
0.97	CPXAX	Cohen Steers Preferd	Pair Corr
0.97	CPXCX	Cohen Steers Prefrd	Pair Corr
0.98	CPRRX	Cohen Steers Preferred	Pair Corr
0.98	CPXZX	Cohen Steers Preferred	Pair Corr
0.98	CPXFX	Cohen Steers Preferred	Pair Corr
0.97	NPSAX	Nuveen Preferred Sec	Pair Corr
0.97	NPSCX	Nuveen Preferred Sec	Pair Corr
0.97	PPSJX	Preferred Securities	Pair Corr
0.88	RSNRX	Victory Global Natural	Pair Corr
0.79	UJPIX	Ultrajapan Profund	Pair Corr
0.77	FSAGX	Gold Portfolio Gold	Pair Corr
0.86	GOLDX	Gabelli Gold	Pair Corr
0.84	EKWAX	Wells Fargo Advantage	Pair Corr
0.86	OPGSX	Oppenheimer Gold Spec	Pair Corr
0.87	PSPFX	Global Resources	Pair Corr
0.85	FKRCX	Franklin Gold Precious	Pair Corr
0.8	KF	Korea Closed	Pair Corr
0.7	SGGDX	First Eagle Gold	Pair Corr
0.96	FHIPX	Fa529 Hg In	Pair Corr
0.96	OTRFX	Ontrack E Fund	Pair Corr
0.88	FEFRX	First Eagle Fund	Pair Corr

Moving against FIRST Mutual Fund

0.31

FDHCX

First Trust Short

Pair Corr

Related Correlations Analysis

	CWAAX	CWAIX	FTMAX	FTMCX	FDHIX	FDHCX	FDHAX	VARBX	VARCX	VARAX
CWAAX		0.99	0.84	0.75	-0.3	-0.42	-0.3	0.51	0.44	0.51	CWAAX
CWAIX	0.99		0.82	0.72	-0.33	-0.43	-0.31	0.49	0.42	0.48	CWAIX
FTMAX	0.84	0.82		0.87	-0.01	-0.09	0.03	0.64	0.59	0.64	FTMAX
FTMCX	0.75	0.72	0.87		0.13	0.01	0.11	0.59	0.55	0.59	FTMCX
FDHIX	-0.3	-0.33	-0.01	0.13		0.93	0.93	0.07	0.1	0.07	FDHIX
FDHCX	-0.42	-0.43	-0.09	0.01	0.93		0.99	0.01	0.04	0.02	FDHCX
FDHAX	-0.3	-0.31	0.03	0.11	0.93	0.99		0.07	0.1	0.08	FDHAX
VARBX	0.51	0.49	0.64	0.59	0.07	0.01	0.07		1.0	0.93	VARBX
VARCX	0.44	0.42	0.59	0.55	0.1	0.04	0.1	1.0		0.92	VARCX
VARAX	0.51	0.48	0.64	0.59	0.07	0.02	0.08	0.93	0.92		VARAX
	CWAAX	CWAIX	FTMAX	FTMCX	FDHIX	FDHCX	FDHAX	VARBX	VARCX	VARAX

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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

VARCX	+ 1.0	VARBX
CWAIX	+ 0.99	CWAAX
FDHAX	+ 0.99	FDHCX
FDHCX	+ 0.93	FDHIX
FDHAX	+ 0.93	FDHIX
VARAX	+ 0.93	VARBX

High negative correlations

FDHCX	- 0.43	CWAIX
FDHCX	- 0.42	CWAAX
FDHIX	- 0.33	CWAIX
FDHAX	- 0.31	CWAIX
FDHAX	- 0.3	CWAAX
FDHIX	- 0.3	CWAAX

Risk-Adjusted Indicators

There is a big difference between FIRST Mutual Fund performing well and First Trust Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze First Trust's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
CWAAX	0.08	0.02	0.09	(7.28)	0.00	(0.10)	0.19	(0.10)	0.92
CWAIX	0.08	0.02	0.08	1.04	0.00	(0.10)	0.25	(0.20)	0.88
FTMAX	0.10	0.00	0.00	(0.07)	0.10	(0.11)	0.21	(0.21)	0.67
FTMCX	0.10	(0.01)	(0.04)	(0.07)	0.13	(0.10)	0.21	(0.25)	0.62
FDHIX	0.09	(0.02)	0.00	(0.32)	0.00	0.00	0.28	(0.22)	0.73
FDHCX	0.08	(0.02)	0.00	0.91	0.00	0.00	0.23	(0.17)	0.67
FDHAX	0.09	(0.02)	0.00	1.43	0.00	0.00	0.28	(0.17)	0.73
VARBX	0.10	0.04	0.35	1.86	0.00	(0.22)	0.09	(0.09)	2.72
VARCX	0.10	0.04	0.32	0.93	0.00	(0.26)	0.10	(0.10)	2.75
VARAX	0.10	0.04	0.32	(1.22)	0.00	(0.25)	0.10	(0.10)	2.68

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