First Trust Correlations

Funds . USA . 
Fund . First Trust Intermediate
FPF Fund  USD 19.29  0.16  0.84%   
The current 90-days correlation between First Trust Intermediate and Brookfield Real Assets is 0.44 (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

  0.95NYM AB Active ETFsPairCorr
  0.83TDF Templeton Dragon ClosedPairCorr
  0.93PEO Adams Natural ResourcesPairCorr
  0.9EMD Western Asset EmergingPairCorr
  0.76ASGI Aberdeen Standard GlobalPairCorr
  0.9IAF Aberdeen AustraliaPairCorr
  0.74IHGIX Hartford DividendPairCorr
  0.92ALAAX Invesco Income AllocationPairCorr
  0.9RALAX Growth StrategyPairCorr
  0.71HGXSX Hartford Global ImpactPairCorr
  0.83RMCFX Royce Micro CapPairCorr
  0.71JOEIX Johcm Emerging MarketsPairCorr
  0.62VTSAX Vanguard Total StockPairCorr
  0.95GEMYX Emerging Markets EquityPairCorr
  0.94TIHIX Transamerica InternationalPairCorr
  0.8GARIX Gotham Absolute ReturnPairCorr
  0.73CVSCX Calamos Market NeutralPairCorr
  0.77JVARX Jpmorgan Value AdvantagePairCorr
  0.86QCSCPX Cref Social ChoicePairCorr
  0.89IRSNX Voya Target RetirementPairCorr
  0.7FBODX Oklahoma College SavingsPairCorr
  0.84QCBMIX Cref Bond MarketPairCorr
  0.7OFVIX Oshaughnessy MarketPairCorr
  0.9FTCCX Franklin ConservativePairCorr
  0.76APITX Api Growth FundPairCorr
  0.9TRRLX T Rowe PricePairCorr
  0.75SBTIX Salient Tactical PlusPairCorr
  0.83QCBMPX Cref Core BondPairCorr
  0.82VSTCX Vanguard StrategicPairCorr
  0.8LBDRX Legg Mason BwPairCorr
  0.9CUBIX Calvert UnconstrainedPairCorr
  0.89AVDVX Avantis InternationalPairCorr
  0.71VSGAX Vanguard Small CapPairCorr
  0.9FHREX Fidelity Freedom BlendPairCorr
  0.9OIBIX Oppenheimer IntlPairCorr
  0.89NAPIX Voya Multi ManagerPairCorr
  0.61IOGPX Vy Oppenheimer GlobalPairCorr

Related Correlations Analysis


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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
RA  0.30  0.08  0.11  0.44  0.00 
(0.37)
 0.63 
(0.48)
 1.65 
PRPIX  0.16  0.01 (0.16) 0.38  0.05 
(0.22)
 0.37 
(0.25)
 0.99 
TSHIX  0.29  0.02 (0.03) 0.11  0.27 
(0.34)
 0.69 
(0.62)
 2.05 
FHYTX  0.14  0.01 (0.14) 0.14  0.00 
(0.22)
 0.31 
(0.31)
 1.09 
DFP  0.29  0.04 (0.02) 0.61  0.26 
(0.31)
 0.57 
(0.48)
 1.58 
NWQAX  0.15  0.04 (0.04) 1.76  0.00 
(0.19)
 0.37 
(0.25)
 1.02 
NWQIX  0.15  0.04 (0.01) 0.30  0.00 
(0.20)
 0.40 
(0.21)
 1.02 
NWQCX  0.15  0.04 (0.05) 1.83  0.00 
(0.19)
 0.37 
(0.26)
 0.92 
BEMIX  0.59  0.20  0.28  0.42  0.00 
(0.74)
 1.57 
(0.75)
 2.94 
GGN  1.26  0.18  0.08  0.27  1.78 
(1.29)
 2.57 
(2.64)
 9.27 

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