First Trust Correlations

FPEFX Fund

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The current 90-days correlation between First Trust Preferred and First Trust Managed is 0.1 (i.e., Average 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

Weak diversification

The correlation between First Trust Preferred and DJI is 0.34 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First Trust Preferred 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 Preferred. 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 census.

Moving together with First Mutual Fund

0.76	CWAIX	First Trust Managed	Pair Corr
0.86	FTMAX	Franklin Templeton	Pair Corr
0.86	FTMCX	First Trust Multi	Pair Corr
0.7	FDHIX	First Trust Short	Pair Corr
0.76	FDHCX	First Trust Short	Pair Corr
0.7	FDHAX	First Trust Short	Pair Corr
0.65	VARBX	Vivaldi Merger Arbitrage	Pair Corr
0.65	VARCX	First Trust Merger	Pair Corr
0.65	VARAX	Vivaldi Merger Arbitrage	Pair Corr
0.95	FPEIX	First Trust Preferred	Pair Corr
0.99	FPECX	First Trust Preferred	Pair Corr
0.95	FPEAX	First Trust Preferred	Pair Corr
0.95	FPERX	First Trust Preferred	Pair Corr
0.79	CPXIX	Cohen Steers Prfrd	Pair Corr
0.76	CPXAX	Cohen Steers Preferd	Pair Corr
0.71	CPXCX	Cohen Steers Prefrd	Pair Corr
0.85	CPRRX	Cohen Steers Preferred	Pair Corr
0.86	CPXZX	Cohen Steers Preferred	Pair Corr
0.85	CPXFX	Cohen Steers Preferred	Pair Corr
0.92	NPSAX	Nuveen Preferred Sec	Pair Corr
0.93	NPSCX	Nuveen Preferred Sec	Pair Corr
0.71	PPSJX	Preferred Securities	Pair Corr
0.71	VSTSX	Vanguard Total Stock	Pair Corr
0.72	VSMPX	Vanguard Total Stock	Pair Corr
0.71	VITSX	Vanguard Total Stock	Pair Corr
0.73	VFFSX	Vanguard 500 Index	Pair Corr
0.73	VFIAX	Vanguard 500 Index	Pair Corr
0.71	VTSAX	Vanguard Total Stock	Pair Corr
0.72	VTSNX	Vanguard Total Inter	Pair Corr
0.72	VTISX	Vanguard Total Inter	Pair Corr
0.72	VTPSX	Vanguard Total Inter	Pair Corr
0.73	VINIX	Vanguard Institutional	Pair Corr
0.77	HIBIX	Virtus Low Duration	Pair Corr

Related Correlations Analysis

	CWAIX	FTMAX	FTMCX	FDHIX	FDHCX	FDHAX	VARBX	VARCX	VARAX	FOVIX
CWAIX		0.54	0.55	0.34	0.36	0.32	0.32	0.32	0.32	-0.16	CWAIX
FTMAX	0.54		1.0	0.88	0.9	0.87	0.85	0.85	0.85	-0.08	FTMAX
FTMCX	0.55	1.0		0.87	0.9	0.87	0.83	0.83	0.83	-0.08	FTMCX
FDHIX	0.34	0.88	0.87		0.95	1.0	0.78	0.78	0.79	0.03	FDHIX
FDHCX	0.36	0.9	0.9	0.95		0.95	0.75	0.75	0.76	0.06	FDHCX
FDHAX	0.32	0.87	0.87	1.0	0.95		0.78	0.78	0.79	0.03	FDHAX
VARBX	0.32	0.85	0.83	0.78	0.75	0.78		1.0	1.0	-0.08	VARBX
VARCX	0.32	0.85	0.83	0.78	0.75	0.78	1.0		1.0	-0.07	VARCX
VARAX	0.32	0.85	0.83	0.79	0.76	0.79	1.0	1.0		-0.07	VARAX
FOVIX	-0.16	-0.08	-0.08	0.03	0.06	0.03	-0.08	-0.07	-0.07		FOVIX
	CWAIX	FTMAX	FTMCX	FDHIX	FDHCX	FDHAX	VARBX	VARCX	VARAX	FOVIX

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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

FTMCX	+ 1.0	FTMAX
FDHAX	+ 1.0	FDHIX
VARCX	+ 1.0	VARBX
VARAX	+ 1.0	VARBX
VARAX	+ 1.0	VARCX
FDHCX	+ 0.95	FDHIX

High negative correlations

FOVIX	- 0.16	CWAIX
FOVIX	- 0.08	VARBX
FOVIX	- 0.08	FTMCX
FOVIX	- 0.08	FTMAX
FOVIX	- 0.07	VARAX
FOVIX	- 0.07	VARCX

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	0.06	0.00	(0.71)	0.00	(0.09)	0.15	(0.15)	0.39
FTMAX	0.11	0.02	(0.35)	0.94	(0.12)	0.25	(0.21)	0.55
FTMCX	0.10	0.01	(0.37)	1.07	(0.12)	0.21	(0.20)	0.54
FDHIX	0.10	0.00	(0.41)	0.10	(0.14)	0.28	(0.17)	0.78
FDHCX	0.09	0.00	(0.43)	0.14	(0.14)	0.28	(0.22)	0.84
FDHAX	0.10	0.00	(0.43)	0.08	(0.15)	0.28	(0.17)	0.84
VARBX	0.10	0.05	0.00	1.65	0.00	0.10	0.00	2.63
VARCX	0.11	0.05	(0.20)	1.16	(0.24)	0.20	(0.10)	2.65
VARAX	0.11	0.05	(0.16)	1.50	(0.25)	0.20	(0.10)	2.59
FOVIX	0.96	(0.18)	0.00	1.16	0.00	1.64	(1.56)	17.96

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