First Trust Correlations

FTMCX Fund

24.65 0.02 0.08%

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 Multi Strategy and DJI is 0.71 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First Trust Multi Strategy 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 Multi Strategy. 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 interest.

Moving together with First Mutual Fund

0.97	FTMAX	Franklin Templeton	Pair Corr
0.85	FDHIX	First Trust Short	Pair Corr
0.83	FDHCX	First Trust Short	Pair Corr
0.86	FDHAX	First Trust Short	Pair Corr
0.93	VARBX	Vivaldi Merger Arbitrage	Pair Corr
0.91	VARCX	First Trust Merger	Pair Corr
0.91	VARAX	Vivaldi Merger Arbitrage	Pair Corr
0.97	FPEIX	First Trust Preferred	Pair Corr
0.97	FPECX	First Trust Preferred	Pair Corr
0.97	FPERX	First Trust Preferred	Pair Corr
0.96	BXMYX	Blackstone Alternative	Pair Corr
0.97	BXMIX	Blackstone Alternative	Pair Corr
0.97	BXMDX	Blackstone Alternative	Pair Corr
0.97	GARTX	Goldman Sachs Absolute	Pair Corr
0.98	GCRTX	Goldman Sachs Absolute	Pair Corr
0.85	BRUGX	Mfs Blended Research	Pair Corr
0.65	RJAIX	T Rowe Price	Pair Corr
0.82	EPASX	Ep Emerging Markets Potential Growth	Pair Corr
0.85	LCORX	Leuthold E Investment	Pair Corr
0.86	GMDPX	Goldman Sachs Short	Pair Corr
0.96	RGNGX	American Funds Growth	Pair Corr
0.94	TSINX	T Rowe Price	Pair Corr
0.93	AFB	Alliancebernstein	Pair Corr
0.86	AMEFX	Income Fund	Pair Corr
0.74	RPOIX	T Rowe Price	Pair Corr
0.9	LCCIX	Leader Short Term	Pair Corr
0.96	EEMAX	Columbia Emerging Markets	Pair Corr
0.95	AUNTX	Ab Municipal Bond	Pair Corr

Moving against First Mutual Fund

0.62	FOVCX	First Trust/confluence	Pair Corr
0.6	FOVIX	First Trust/confluence	Pair Corr
0.6	FOVAX	First Trust/confluence	Pair Corr

Related Correlations Analysis

	CWAIX	FTMAX	FTMCX	FDHIX	FDHCX	FDHAX	VARBX	VARCX	VARAX
CWAIX		0.75	0.78	0.65	0.65	0.68	0.78	0.78	0.78	CWAIX
FTMAX	0.75		0.97	0.82	0.81	0.87	0.93	0.91	0.92	FTMAX
FTMCX	0.78	0.97		0.85	0.83	0.86	0.93	0.91	0.91	FTMCX
FDHIX	0.65	0.82	0.85		0.96	0.92	0.69	0.66	0.67	FDHIX
FDHCX	0.65	0.81	0.83	0.96		0.96	0.64	0.61	0.63	FDHCX
FDHAX	0.68	0.87	0.86	0.92	0.96		0.7	0.67	0.68	FDHAX
VARBX	0.78	0.93	0.93	0.69	0.64	0.7		1.0	0.99	VARBX
VARCX	0.78	0.91	0.91	0.66	0.61	0.67	1.0		0.99	VARCX
VARAX	0.78	0.92	0.91	0.67	0.63	0.68	0.99	0.99		VARAX
	CWAIX	FTMAX	FTMCX	FDHIX	FDHCX	FDHAX	VARBX	VARCX	VARAX

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	0.09	0.03	(0.66)	2.33	(0.15)	0.30	(0.10)	0.70
FTMAX	0.09	0.03	(0.47)	(1.78)	(0.12)	0.21	(0.17)	0.71
FTMCX	0.09	0.01	(0.51)	0.15	(0.11)	0.20	(0.17)	0.70
FDHIX	0.08	0.00	(0.62)	0.07	(0.13)	0.22	(0.17)	0.83
FDHCX	0.09	0.01	(0.69)	(0.12)	(0.13)	0.22	(0.22)	0.83
FDHAX	0.09	0.01	(0.54)	(0.30)	(0.14)	0.22	(0.22)	0.83
VARBX	0.05	0.02	0.00	0.78	0.00	0.09	(0.09)	0.27
VARCX	0.05	0.01	(0.86)	0.41	(0.11)	0.18	(0.09)	0.28
VARAX	0.06	0.02	(0.84)	(1.26)	(0.12)	0.18	(0.09)	0.28

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