First Trust Correlations

FMY Fund

USD 11.85 0.02 0.17%

The current 90-days correlation between First Trust Mortgage and Nuveen SP 500 is -0.21 (i.e., Very 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

Good diversification

The correlation between First Trust Mortgage and DJI is -0.18 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First Trust Mortgage 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 Mortgage. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in population.

Moving together with First Fund

0.78

Coca Cola Aggressive Push

Pair Corr

Moving against First Fund

0.81	BITW	Bitwise 10 Crypto	Pair Corr
0.8	HTY	John Hancock Tax	Pair Corr
0.65	CVX	Chevron Corp Fiscal Year End 7th of February 2025	Pair Corr
0.61	DIS	Walt Disney Aggressive Push	Pair Corr
0.59	TRV	The Travelers Companies Fiscal Year End 17th of January 2025	Pair Corr
0.56	PTY	Pimco Corporate Income	Pair Corr
0.54	NTG	Tortoise Mlp Closed	Pair Corr
0.53	WMT	Walmart Aggressive Push	Pair Corr
0.53	AA	Alcoa Corp Fiscal Year End 15th of January 2025	Pair Corr
0.47	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr
0.46	ARDEX	Amg River Road	Pair Corr
0.37	INTC	Intel Fiscal Year End 23rd of January 2025	Pair Corr
0.33	T	ATT Inc Aggressive Push	Pair Corr

Related Correlations Analysis

	FCT	JRO	NSL	GDO	EHI	BGT	GAMI	NML	BCAT	SPXX
FCT		0.33	0.53	-0.65	-0.66	0.76	-0.07	0.72	0.67	0.7	FCT
JRO	0.33		0.95	-0.75	-0.48	0.47	0.64	0.55	0.12	0.5	JRO
NSL	0.53	0.95		-0.84	-0.59	0.65	0.52	0.67	0.29	0.64	NSL
GDO	-0.65	-0.75	-0.84		0.77	-0.82	-0.39	-0.74	-0.34	-0.73	GDO
EHI	-0.66	-0.48	-0.59	0.77		-0.67	-0.22	-0.65	-0.43	-0.56	EHI
BGT	0.76	0.47	0.65	-0.82	-0.67		0.0	0.76	0.57	0.84	BGT
GAMI	-0.07	0.64	0.52	-0.39	-0.22	0.0		0.26	-0.17	0.12	GAMI
NML	0.72	0.55	0.67	-0.74	-0.65	0.76	0.26		0.73	0.92	NML
BCAT	0.67	0.12	0.29	-0.34	-0.43	0.57	-0.17	0.73		0.75	BCAT
SPXX	0.7	0.5	0.64	-0.73	-0.56	0.84	0.12	0.92	0.75		SPXX
	FCT	JRO	NSL	GDO	EHI	BGT	GAMI	NML	BCAT	SPXX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

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

NSL	+ 0.95	JRO
SPXX	+ 0.92	NML
SPXX	+ 0.84	BGT
EHI	+ 0.77	GDO
BGT	+ 0.76	FCT
NML	+ 0.76	BGT

High negative correlations

GDO	- 0.84	NSL
BGT	- 0.82	GDO
GDO	- 0.75	JRO
NML	- 0.74	GDO
SPXX	- 0.73	GDO
BGT	- 0.67	EHI

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
FCT	0.38	0.04	(0.07)	0.77	0.35	(0.48)	0.88	(0.79)	2.75
JRO	0.48	(0.01)	(0.10)	0.02	0.72	(0.45)	0.92	(1.17)	2.86
NSL	0.45	0.01	(0.11)	0.14	0.49	(0.56)	0.90	(1.09)	2.24
GDO	0.37	(0.11)	0.00	(0.95)	0.00	0.00	0.51	(1.05)	2.16
EHI	0.59	(0.04)	0.00	(0.21)	0.00	0.00	1.18	(1.16)	3.11
BGT	0.54	0.04	(0.06)	0.66	0.50	(0.65)	1.19	(1.03)	2.83
GAMI	2.12	0.16	0.03	2.68	2.25	(2.29)	4.25	(3.45)	11.83
NML	0.77	0.19	0.15	0.36	0.66	(0.85)	2.18	(1.43)	3.81
BCAT	0.46	0.00	(0.08)	0.10	0.49	(0.52)	1.10	(0.76)	2.93
SPXX	0.46	0.04	0.01	0.16	0.49	(0.51)	1.02	(0.87)	3.18

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC