First Trust Correlations

FNK Etf

USD 55.65 0.52 0.93%

The current 90-days correlation between First Trust Mid and First Trust Japan is 0.58 (i.e., Very weak diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as First Trust moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if First Trust Mid moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

First Trust Correlation With Market

Poor diversification

The correlation between First Trust Mid and DJI is 0.73 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First Trust Mid and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with First Etf

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

Moving together with First Etf

0.98	VBR	Vanguard Small Cap	Pair Corr
0.95	IWN	iShares Russell 2000	Pair Corr
0.98	IJJ	iShares SP Mid	Pair Corr
0.89	DFAT	Dimensional Targeted	Pair Corr
0.89	IJS	iShares SP Small	Pair Corr
0.93	SLYV	SPDR SP 600	Pair Corr
0.89	AVUV	Avantis Small Cap	Pair Corr
0.97	DES	WisdomTree SmallCap	Pair Corr
0.98	MDYV	SPDR SP 400	Pair Corr
0.9	CALF	Pacer Small Cap	Pair Corr
0.65	ITDD	iShares Trust	Pair Corr
0.69	CPST	Calamos ETF Trust	Pair Corr
0.81	ITWO	Proshares Russell 2000	Pair Corr
0.63	PBJA	PGIM Rock ETF	Pair Corr
0.74	HYSD	Columbia ETF Trust	Pair Corr
0.67	GBUG	Sprott Active Gold	Pair Corr
0.93	FLCV	Federated Hermes ETF	Pair Corr
0.76	HEZU	iShares Currency Hedged	Pair Corr
0.77	EASG	Xtrackers MSCI EAFE	Pair Corr
0.81	DVXB	WEBs Defined Volatility	Pair Corr
0.96	SMLV	SPDR SSGA Small	Pair Corr
0.83	SIL	Global X Silver	Pair Corr
0.67	QULL	ETRACS 2x Leveraged	Pair Corr
0.64	PLTM	GraniteShares Platinum Downward Rally	Pair Corr
0.69	MYCI	SPDR SSGA My2029	Pair Corr
0.82	SAWS	AAM Sawgrass Small	Pair Corr
0.81	CSD	Invesco SP Spin	Pair Corr
0.77	TJUL	Innovator Etfs Trust	Pair Corr

Related Correlations Analysis

	FJP	FXZ	FYT	GHYG	AVXC	FDM	EPU	FAB	FDEV	EWZS
FJP		0.58	0.73	0.68	0.8	0.77	0.56	0.76	0.67	0.28	FJP
FXZ	0.58		0.88	0.8	0.47	0.79	0.69	0.9	0.7	-0.3	FXZ
FYT	0.73	0.88		0.84	0.56	0.9	0.68	0.99	0.71	-0.03	FYT
GHYG	0.68	0.8	0.84		0.62	0.82	0.84	0.87	0.88	-0.07	GHYG
AVXC	0.8	0.47	0.56	0.62		0.49	0.47	0.59	0.52	0.23	AVXC
FDM	0.77	0.79	0.9	0.82	0.49		0.82	0.89	0.85	-0.03	FDM
EPU	0.56	0.69	0.68	0.84	0.47	0.82		0.7	0.94	-0.27	EPU
FAB	0.76	0.9	0.99	0.87	0.59	0.89	0.7		0.74	-0.04	FAB
FDEV	0.67	0.7	0.71	0.88	0.52	0.85	0.94	0.74		-0.1	FDEV
EWZS	0.28	-0.3	-0.03	-0.07	0.23	-0.03	-0.27	-0.04	-0.1		EWZS
	FJP	FXZ	FYT	GHYG	AVXC	FDM	EPU	FAB	FDEV	EWZS

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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

FAB	+ 0.99	FYT
FDEV	+ 0.94	EPU
FAB	+ 0.9	FXZ
FDM	+ 0.9	FYT
FAB	+ 0.89	FDM
FYT	+ 0.88	FXZ

High negative correlations

EWZS	- 0.3	FXZ
EWZS	- 0.27	EPU
EWZS	- 0.1	FDEV
EWZS	- 0.07	GHYG
EWZS	- 0.04	FAB
EWZS	- 0.03	FDM

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
FJP	0.69	0.04	0.02	0.10	1.03	(0.67)	1.34	(1.37)	4.42
FXZ	1.09	0.05	0.00	0.67	1.28	(1.17)	2.52	(2.51)	5.85
FYT	0.83	(0.06)	(0.04)	0.00	1.12	(0.84)	1.83	(1.59)	4.40
GHYG	0.20	0.01	(0.14)	0.12	0.17	(0.22)	0.44	(0.33)	1.27
AVXC	0.68	0.06	0.05	0.14	0.88	(0.67)	1.40	(1.22)	4.65
FDM	0.86	0.02	0.03	0.07	0.93	(1.00)	2.35	(1.16)	5.50
EPU	1.28	0.32	0.15	3.04	1.45	(1.35)	2.50	(2.85)	8.25
FAB	0.67	(0.03)	(0.04)	0.02	0.83	(0.71)	1.38	(1.30)	3.59
FDEV	0.46	0.09	0.08	0.49	0.39	(0.49)	1.07	(0.94)	2.16
EWZS	1.25	(0.09)	0.00	(0.03)	0.00	0.00	2.36	(2.71)	11.14

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