First Trust Correlations

FDHIX Fund

USD 18.14 0.01 0.06%

The current 90-days correlation between First Trust Short and First Trust Managed is -0.01 (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

Weak diversification

The correlation between First Trust Short and DJI is 0.34 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First Trust Short 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 Short. 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 gross domestic product.

Moving together with First Mutual Fund

0.87	CWAIX	First Trust Managed	Pair Corr
0.87	FTMAX	Franklin Templeton	Pair Corr
0.89	FTMCX	First Trust Multi	Pair Corr
0.96	FDHCX	First Trust Short	Pair Corr
0.97	FDHAX	First Trust Short	Pair Corr
0.69	VARBX	Vivaldi Merger Arbitrage	Pair Corr
0.65	VARCX	First Trust Merger	Pair Corr
0.67	VARAX	Vivaldi Merger Arbitrage	Pair Corr
0.92	FPEIX	First Trust Preferred	Pair Corr
0.91	FPEFX	First Trust Preferred	Pair Corr
0.91	FPECX	First Trust Preferred	Pair Corr
0.91	FPEAX	First Trust Preferred	Pair Corr
0.92	FPERX	First Trust Preferred	Pair Corr
0.92	OOSYX	Oppenheimer Senior	Pair Corr
0.92	OOSIX	Oppenheimer Senior	Pair Corr
0.96	LFRIX	Floating Rate	Pair Corr
0.93	LARCX	Floating Rate	Pair Corr
0.92	LFRRX	Lord Abbett Inv	Pair Corr
0.95	LFRFX	Floating Rate	Pair Corr
0.95	LRRRX	Floating Rate	Pair Corr
0.95	LRRTX	Floating Rate	Pair Corr
0.95	LRRVX	Floating Rate	Pair Corr
0.94	LRRKX	Floating Rate	Pair Corr
0.86	PFN	Pimco Income Strategy	Pair Corr
0.86	XDSMX	Dreyfus Strategic	Pair Corr
0.64	CIF	Mfs Intermediate High	Pair Corr
0.85	XNXJX	Nuveen New Jersey	Pair Corr
0.88	NXJ	Nuveen New Jersey	Pair Corr
0.86	XNBHX	Neuberger Berman Int	Pair Corr
0.91	STBCX	Invesco Short Term	Pair Corr
0.92	HBLSX	Hartford Balanced	Pair Corr
0.92	ICTEX	Icon Information Tec	Pair Corr
0.92	VBINX	Vanguard Balanced Index	Pair Corr
0.81	RIBAX	Rbc Impact Bond	Pair Corr

Related Correlations Analysis

	CWAIX	FTMCX	FDHIX	FDHCX	VARBX	VARCX	VARAX	FOVIX	FOVCX
CWAIX		0.95	0.87	0.86	0.86	0.83	0.84	-0.48	-0.51	CWAIX
FTMCX	0.95		0.89	0.87	0.88	0.86	0.86	-0.43	-0.46	FTMCX
FDHIX	0.87	0.89		0.96	0.69	0.65	0.67	-0.17	-0.2	FDHIX
FDHCX	0.86	0.87	0.96		0.64	0.59	0.62	-0.18	-0.21	FDHCX
VARBX	0.86	0.88	0.69	0.64		1.0	0.99	-0.65	-0.67	VARBX
VARCX	0.83	0.86	0.65	0.59	1.0		0.99	-0.67	-0.69	VARCX
VARAX	0.84	0.86	0.67	0.62	0.99	0.99		-0.65	-0.67	VARAX
FOVIX	-0.48	-0.43	-0.17	-0.18	-0.65	-0.67	-0.65		1.0	FOVIX
FOVCX	-0.51	-0.46	-0.2	-0.21	-0.67	-0.69	-0.67	1.0		FOVCX
	CWAIX	FTMCX	FDHIX	FDHCX	VARBX	VARCX	VARAX	FOVIX	FOVCX

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
FOVCX	+ 1.0	FOVIX
VARAX	+ 0.99	VARBX
VARAX	+ 0.99	VARCX
FDHCX	+ 0.96	FDHIX
FTMCX	+ 0.95	CWAIX

High negative correlations

FOVCX	- 0.69	VARCX
FOVCX	- 0.67	VARAX
FOVIX	- 0.67	VARCX
FOVCX	- 0.67	VARBX
FOVIX	- 0.65	VARAX
FOVIX	- 0.65	VARBX

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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
CWAIX	0.10	0.05	(0.39)	18.29	(0.16)	0.30	(0.10)	0.70
FTMCX	0.09	0.01	(0.45)	0.14	(0.11)	0.21	(0.20)	0.69
FDHIX	0.09	0.01	(0.46)	0.27	(0.15)	0.28	(0.17)	0.90
FDHCX	0.10	0.02	(0.50)	(0.30)	(0.14)	0.28	(0.22)	0.89
VARBX	0.05	0.01	(0.72)	0.56	(0.10)	0.09	(0.09)	0.27
VARCX	0.05	0.01	(0.77)	0.28	(0.11)	0.18	(0.09)	0.28
VARAX	0.06	0.01	(0.73)	(2.57)	(0.12)	0.18	(0.09)	0.28
FOVIX	0.89	(0.18)	0.00	(0.04)	0.00	2.06	(1.53)	6.45
FOVCX	0.89	(0.19)	0.00	(0.05)	0.00	2.08	(1.56)	6.49

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