First Trust Correlations

AFMC Etf

USD 35.96 0.28 0.78%

The current 90-days correlation between First Trust Active and Intech SP Small Mid is 0.97 (i.e., Almost no 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

Very poor diversification

The correlation between First Trust Active and DJI is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First Trust Active and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with First Etf

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in First Trust Active. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in board of governors.

Moving together with First Etf

0.85	VO	Vanguard Mid Cap	Pair Corr
0.83	VXF	Vanguard Extended Market	Pair Corr
0.99	IJH	iShares Core SP	Pair Corr
0.94	IWR	iShares Russell Mid	Pair Corr
0.99	MDY	SPDR SP MIDCAP	Pair Corr
0.91	FV	First Trust Dorsey	Pair Corr
0.99	IVOO	Vanguard SP Mid	Pair Corr
0.99	JHMM	John Hancock Multifactor	Pair Corr
0.99	BBMC	JPMorgan BetaBuilders Mid	Pair Corr
0.95	XMMO	Invesco SP MidCap	Pair Corr
0.75	UPRO	ProShares UltraPro SP500	Pair Corr
0.88	QTJA	Innovator ETFs Trust	Pair Corr
0.82	QTOC	Innovator ETFs Trust	Pair Corr
0.92	XTOC	Innovator ETFs Trust	Pair Corr
0.92	QTAP	Innovator Growth 100	Pair Corr
0.89	XTJA	Innovator ETFs Trust	Pair Corr
0.92	XTAP	Innovator Equity Acc	Pair Corr
0.67	DD	Dupont De Nemours	Pair Corr
0.9	AA	Alcoa Corp	Pair Corr
0.75	MRK	Merck Company Aggressive Push	Pair Corr
0.83	BAC	Bank of America Earnings Call This Week	Pair Corr
0.65	JNJ	Johnson Johnson	Pair Corr
0.67	CAT	Caterpillar	Pair Corr
0.64	XOM	Exxon Mobil Corp	Pair Corr

Moving against First Etf

0.45	HPQ	HP Inc	Pair Corr
0.67	PG	Procter Gamble	Pair Corr
0.63	T	ATT Inc	Pair Corr

Related Correlations Analysis

	SMDX	CIL	BKF	IFGL	LSAT	RIET	SLX	STNC	PBJ	EEMX
SMDX		0.89	0.01	0.73	0.3	0.84	0.86	0.89	0.44	0.58	SMDX
CIL	0.89		0.08	0.76	0.0	0.76	0.95	0.86	0.21	0.7	CIL
BKF	0.01	0.08		0.39	0.2	0.01	-0.06	0.27	-0.28	0.65	BKF
IFGL	0.73	0.76	0.39		0.36	0.74	0.61	0.88	0.33	0.76	IFGL
LSAT	0.3	0.0	0.2	0.36		0.41	-0.14	0.4	0.65	0.05	LSAT
RIET	0.84	0.76	0.01	0.74	0.41		0.67	0.77	0.61	0.42	RIET
SLX	0.86	0.95	-0.06	0.61	-0.14	0.67		0.77	0.11	0.61	SLX
STNC	0.89	0.86	0.27	0.88	0.4	0.77	0.77		0.36	0.72	STNC
PBJ	0.44	0.21	-0.28	0.33	0.65	0.61	0.11	0.36		-0.21	PBJ
EEMX	0.58	0.7	0.65	0.76	0.05	0.42	0.61	0.72	-0.21		EEMX
	SMDX	CIL	BKF	IFGL	LSAT	RIET	SLX	STNC	PBJ	EEMX

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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

SLX	+ 0.95	CIL
CIL	+ 0.89	SMDX
STNC	+ 0.89	SMDX
STNC	+ 0.88	IFGL
SLX	+ 0.86	SMDX
STNC	+ 0.86	CIL

High negative correlations

PBJ	- 0.28	BKF
EEMX	- 0.21	PBJ
SLX	- 0.14	LSAT
SLX	- 0.06	BKF
LSAT	- 0.0	CIL

First Trust Constituents Risk-Adjusted Indicators

There is a big difference between First Etf performing well and First Trust ETF 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
SMDX	0.79	(0.01)	0.01	0.08	0.95	(0.81)	1.80	(1.64)	4.13
CIL	0.47	0.04	0.02	0.15	0.51	(0.48)	0.95	(1.04)	2.46
BKF	0.61	(0.07)	0.00	(0.03)	0.00	0.00	1.34	(1.13)	3.43
IFGL	0.45	0.02	(0.04)	0.13	0.54	(0.44)	0.89	(0.88)	2.38
LSAT	0.59	(0.08)	0.00	(0.03)	0.00	0.00	1.26	(1.47)	3.38
RIET	0.62	0.00	(0.05)	0.09	0.70	(0.68)	1.53	(1.20)	3.41
SLX	1.10	0.16	0.14	0.19	1.12	(1.22)	2.72	(1.94)	6.84
STNC	0.71	(0.01)	(0.02)	0.07	0.77	(0.75)	1.31	(1.36)	3.02
PBJ	0.58	(0.07)	0.00	(0.09)	0.00	0.00	1.57	(1.34)	3.58
EEMX	0.76	0.03	0.01	0.11	0.87	(0.84)	1.57	(1.19)	5.16

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