First Trust Correlations

FPF Fund

USD 18.80 0.01 0.05%

The current 90-days correlation between First Trust Intermediate and BlackRock Credit Allocation is 0.37 (i.e., Weak 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.

First Trust Correlation With Market

Modest diversification

The correlation between First Trust Intermediate and DJI is 0.25 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First Trust Intermediate 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 Intermediate. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in producer price index.

Moving together with First Fund

0.77	JOF	Japan Smaller Capita	Pair Corr
0.64	HYSCX	Prudential Short Duration	Pair Corr

Moving against First Fund

0.36	NMFIX	Multi Manager Global	Pair Corr
0.39	MMUKX	Mfs Utilities	Pair Corr

Related Correlations Analysis

	BTZ	PINCX	RNP	SSIZX	SSIRX	ABCVX	ARSVX	BAEIX	GTSCX	NBXG
BTZ		0.93	-0.34	0.93	0.93	-0.33	-0.29	-0.51	0.22	0.69	BTZ
PINCX	0.93		-0.28	0.98	0.97	-0.24	-0.21	-0.42	0.26	0.68	PINCX
RNP	-0.34	-0.28		-0.31	-0.27	0.58	0.75	0.7	0.52	-0.04	RNP
SSIZX	0.93	0.98	-0.31		0.98	-0.2	-0.23	-0.43	0.27	0.75	SSIZX
SSIRX	0.93	0.97	-0.27	0.98		-0.17	-0.23	-0.41	0.32	0.74	SSIRX
ABCVX	-0.33	-0.24	0.58	-0.2	-0.17		0.46	0.71	0.44	0.05	ABCVX
ARSVX	-0.29	-0.21	0.75	-0.23	-0.23	0.46		0.85	0.58	-0.13	ARSVX
BAEIX	-0.51	-0.42	0.7	-0.43	-0.41	0.71	0.85		0.41	-0.29	BAEIX
GTSCX	0.22	0.26	0.52	0.27	0.32	0.44	0.58	0.41		0.33	GTSCX
NBXG	0.69	0.68	-0.04	0.75	0.74	0.05	-0.13	-0.29	0.33		NBXG
	BTZ	PINCX	RNP	SSIZX	SSIRX	ABCVX	ARSVX	BAEIX	GTSCX	NBXG

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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

SSIZX	+ 0.98	PINCX
SSIRX	+ 0.98	SSIZX
SSIRX	+ 0.97	PINCX
PINCX	+ 0.93	BTZ
SSIZX	+ 0.93	BTZ
SSIRX	+ 0.93	BTZ

High negative correlations

BAEIX	- 0.51	BTZ
BAEIX	- 0.43	SSIZX
BAEIX	- 0.42	PINCX
BAEIX	- 0.41	SSIRX
RNP	- 0.34	BTZ
ABCVX	- 0.33	BTZ

Risk-Adjusted Indicators

There is a big difference between First Fund performing well and First Trust 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
BTZ	0.30	0.01	(0.19)	0.14	0.28	(0.36)	0.74	(0.63)	1.65
PINCX	0.17	0.02	(0.24)	0.65	0.00	(0.26)	0.40	(0.39)	1.18
RNP	0.58	(0.12)	0.00	(0.09)	0.00	0.00	1.06	(1.17)	3.49
SSIZX	0.11	0.02	(0.58)	(9.62)	0.00	(0.16)	0.26	(0.15)	0.76
SSIRX	0.11	0.01	(0.59)	0.17	0.00	(0.14)	0.26	(0.15)	0.67
ABCVX	0.39	(0.06)	(0.16)	0.00	0.55	(0.40)	0.77	(0.85)	3.15
ARSVX	0.68	(0.01)	0.00	0.14	0.00	0.00	1.88	(1.34)	5.16
BAEIX	0.47	(0.04)	0.00	0.66	0.00	0.00	0.92	(1.14)	3.05
GTSCX	0.85	(0.10)	(0.04)	0.03	0.96	(0.99)	2.28	(1.51)	7.45
NBXG	0.67	(0.05)	(0.06)	0.04	0.97	(0.66)	1.33	(1.38)	4.51

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