First Trust Correlations

FSMB Etf

USD 20.12 0.01 0.05%

The current 90-days correlation between First Trust Short and American Century Diversified is 0.25 (i.e., Modest 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

Average diversification

The correlation between First Trust Short and DJI is 0.13 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First Trust Short 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 Short. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in board of governors.

Moving together with First Etf

0.93	SUB	iShares Short Term Sell-off Trend	Pair Corr
0.9	SHM	SPDR Nuveen Bloomberg	Pair Corr
0.96	JMST	JPMorgan Ultra Short Sell-off Trend	Pair Corr
0.95	MEAR	iShares Short Maturity	Pair Corr
0.85	SMB	VanEck Short Muni	Pair Corr
0.96	FUMB	First Trust Ultra	Pair Corr
0.76	PVI	Invesco VRDO Tax	Pair Corr
0.9	TAFI	Ab Tax Aware	Pair Corr
0.91	SIXD	AIM ETF Products	Pair Corr
0.9	MRK	Merck Company	Pair Corr
0.89	XOM	Exxon Mobil Corp Aggressive Push	Pair Corr
0.72	WMT	Walmart Common Stock Aggressive Push	Pair Corr
0.69	BAC	Bank of America	Pair Corr
0.89	DD	Dupont De Nemours	Pair Corr
0.64	PFE	Pfizer Inc	Pair Corr

Moving against First Etf

0.88	YCL	ProShares Ultra Yen	Pair Corr
0.85	FXY	Invesco CurrencyShares	Pair Corr
0.8	VIXY	ProShares VIX Short	Pair Corr
0.79	VXX	iPath Series B	Pair Corr
0.71	VIXM	ProShares VIX Mid	Pair Corr
0.71	VXZ	iPath Series B	Pair Corr
0.91	HPQ	HP Inc	Pair Corr
0.68	PG	Procter Gamble Earnings Call This Week	Pair Corr
0.68	T	ATT Inc	Pair Corr

Related Correlations Analysis

	TAXF	MUST	DFCA	SCEC	ELM	JNUG	SIXH	SDS	USDX	IBND
TAXF		0.88	0.95	0.62	0.82	0.67	0.77	-0.64	0.81	0.34	TAXF
MUST	0.88		0.9	0.61	0.8	0.73	0.79	-0.63	0.76	0.39	MUST
DFCA	0.95	0.9		0.62	0.81	0.78	0.85	-0.6	0.89	0.42	DFCA
SCEC	0.62	0.61	0.62		0.61	0.61	0.63	-0.5	0.45	0.58	SCEC
ELM	0.82	0.8	0.81	0.61		0.74	0.73	-0.81	0.7	0.6	ELM
JNUG	0.67	0.73	0.78	0.61	0.74		0.92	-0.55	0.8	0.76	JNUG
SIXH	0.77	0.79	0.85	0.63	0.73	0.92		-0.54	0.89	0.7	SIXH
SDS	-0.64	-0.63	-0.6	-0.5	-0.81	-0.55	-0.54		-0.58	-0.52	SDS
USDX	0.81	0.76	0.89	0.45	0.7	0.8	0.89	-0.58		0.51	USDX
IBND	0.34	0.39	0.42	0.58	0.6	0.76	0.7	-0.52	0.51		IBND
	TAXF	MUST	DFCA	SCEC	ELM	JNUG	SIXH	SDS	USDX	IBND

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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

DFCA	+ 0.95	TAXF
SIXH	+ 0.92	JNUG
DFCA	+ 0.9	MUST
USDX	+ 0.89	DFCA
USDX	+ 0.89	SIXH
MUST	+ 0.88	TAXF

High negative correlations

SDS	- 0.81	ELM
SDS	- 0.64	TAXF
SDS	- 0.63	MUST
SDS	- 0.6	DFCA
USDX	- 0.58	SDS
SDS	- 0.55	JNUG

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
TAXF	0.09	0.01	(0.67)	0.37	0.00	(0.11)	0.26	(0.14)	0.58
MUST	0.22	0.00	(0.23)	0.14	0.27	(0.22)	0.49	(0.44)	1.35
DFCA	0.07	0.01	(0.73)	0.90	0.00	(0.08)	0.18	(0.14)	0.42
SCEC	0.12	(0.01)	(0.47)	(0.01)	0.12	(0.15)	0.28	(0.28)	0.83
ELM	0.35	0.05	(0.06)	0.33	0.30	(0.40)	0.78	(0.85)	1.95
JNUG	4.25	0.52	0.10	0.30	6.19	(4.32)	9.29	(9.53)	30.06
SIXH	0.35	0.03	(0.07)	0.20	0.23	(0.42)	0.92	(0.70)	2.07
SDS	1.05	0.03	0.00	0.07	0.00	0.00	2.27	(2.05)	6.18
USDX	0.05	0.02	(0.95)	1.96	0.00	(0.07)	0.12	(0.04)	0.32
IBND	0.22	(0.01)	(0.32)	(0.03)	0.24	(0.26)	0.51	(0.38)	1.29

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