First Trust Correlations

FPF Fund

USD 19.27 0.02 0.10%

The current 90-days correlation between First Trust Intermediate and Brookfield Real Assets is 0.45 (i.e., Very weak 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 Intermediate and DJI is 0.81 (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 Intermediate 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 Intermediate. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in employment.

Moving together with First Fund

0.96	NYM	AB Active ETFs	Pair Corr
0.81	TDF	Templeton Dragon Closed	Pair Corr
0.93	PEO	Adams Natural Resources	Pair Corr
0.92	EMD	Western Asset Emerging	Pair Corr
0.79	ASGI	Aberdeen Standard Global	Pair Corr
0.92	IAF	Aberdeen Australia	Pair Corr
0.72	IHGIX	Hartford Dividend	Pair Corr
0.92	ALAAX	Invesco Income Allocation	Pair Corr
0.91	RALAX	Growth Strategy	Pair Corr
0.94	HGXSX	Hartford Global Impact	Pair Corr
0.83	RMCFX	Royce Micro Cap	Pair Corr
0.95	JOEIX	Johcm Emerging Markets	Pair Corr
0.61	VTSAX	Vanguard Total Stock	Pair Corr
0.95	GEMYX	Emerging Markets Equity	Pair Corr
0.94	TIHIX	Transamerica International	Pair Corr
0.78	GARIX	Gotham Absolute Return	Pair Corr
0.91	CVSCX	Calamos Market Neutral	Pair Corr
0.77	JVARX	Jpmorgan Value Advantage	Pair Corr
0.86	QCSCPX	Cref Social Choice	Pair Corr
0.68	IRSNX	Voya Target Retirement	Pair Corr
0.69	FBODX	Oklahoma College Savings	Pair Corr
0.84	QCBMIX	Cref Bond Market	Pair Corr
0.7	OFVIX	Oshaughnessy Market	Pair Corr
0.89	FTCCX	Franklin Conservative	Pair Corr
0.91	TRRLX	T Rowe Price	Pair Corr
0.84	QCBMPX	Cref Core Bond	Pair Corr
0.83	VSTCX	Vanguard Strategic	Pair Corr
0.91	CUBIX	Calvert Unconstrained	Pair Corr
0.76	GOIAX	Goldman Sachs Growth	Pair Corr
0.9	AVDVX	Avantis International	Pair Corr
0.71	VSGAX	Vanguard Small Cap	Pair Corr
0.91	FHREX	Fidelity Freedom Blend	Pair Corr
0.63	OIBIX	Oppenheimer Intl	Pair Corr
0.65	NAPIX	Voya Multi Manager	Pair Corr
0.61	IOGPX	Vy Oppenheimer Global	Pair Corr

Related Correlations Analysis

	RA	PRPIX	TSHIX	FHYTX	DFP	NWQAX	NWQIX	NWQCX	BEMIX	GGN
RA		0.86	0.76	0.68	0.91	0.83	0.82	0.83	0.87	0.77	RA
PRPIX	0.86		0.85	0.78	0.77	0.84	0.84	0.84	0.8	0.77	PRPIX
TSHIX	0.76	0.85		0.93	0.71	0.95	0.95	0.95	0.86	0.9	TSHIX
FHYTX	0.68	0.78	0.93		0.6	0.93	0.93	0.93	0.81	0.87	FHYTX
DFP	0.91	0.77	0.71	0.6		0.8	0.8	0.8	0.91	0.73	DFP
NWQAX	0.83	0.84	0.95	0.93	0.8		1.0	1.0	0.95	0.93	NWQAX
NWQIX	0.82	0.84	0.95	0.93	0.8	1.0		1.0	0.95	0.93	NWQIX
NWQCX	0.83	0.84	0.95	0.93	0.8	1.0	1.0		0.95	0.93	NWQCX
BEMIX	0.87	0.8	0.86	0.81	0.91	0.95	0.95	0.95		0.91	BEMIX
GGN	0.77	0.77	0.9	0.87	0.73	0.93	0.93	0.93	0.91		GGN
	RA	PRPIX	TSHIX	FHYTX	DFP	NWQAX	NWQIX	NWQCX	BEMIX	GGN

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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
RA	0.30	0.08	0.06	0.43	0.00	(0.38)	0.63	(0.48)	1.66
PRPIX	0.16	0.02	(0.22)	0.54	0.00	(0.22)	0.37	(0.25)	0.99
TSHIX	0.29	0.02	(0.05)	0.13	0.24	(0.35)	0.69	(0.62)	2.05
FHYTX	0.15	0.01	(0.20)	0.15	0.00	(0.22)	0.31	(0.31)	1.09
DFP	0.30	0.04	(0.04)	0.33	0.24	(0.33)	0.57	(0.53)	1.63
NWQAX	0.14	0.04	(0.09)	0.32	0.00	(0.19)	0.37	(0.21)	1.02
NWQIX	0.14	0.04	(0.09)	0.32	0.00	(0.19)	0.40	(0.21)	1.02
NWQCX	0.14	0.04	(0.11)	0.29	0.00	(0.18)	0.37	(0.25)	0.92
BEMIX	0.59	0.19	0.25	0.43	0.00	(0.74)	1.57	(0.75)	2.94
GGN	1.26	0.18	0.08	0.30	1.81	(1.29)	2.57	(2.64)	9.27

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First Trust Correlations

First Trust Correlation With Market

Very poor diversification

Moving together with First Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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