First Trust Correlations

FTMCX Fund

24.44 0.01 0.04%

The current 90-days correlation between First Trust Multi and Vivaldi Merger Arbitrage is -0.04 (i.e., Good 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

Almost no diversification

The correlation between First Trust Multi Strategy and DJI is 0.92 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First Trust Multi Strategy 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 Multi Strategy. 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 services.

Moving together with First Mutual Fund

0.92	FTMAX	Franklin Templeton	Pair Corr
0.69	FDHIX	First Trust Short	Pair Corr
0.67	FDHAX	First Trust Short	Pair Corr
0.8	VARBX	Vivaldi Merger Arbitrage	Pair Corr
0.78	VARCX	First Trust Merger	Pair Corr
0.78	VARAX	Vivaldi Merger Arbitrage	Pair Corr
0.69	FOVIX	First Trust/confluence	Pair Corr
0.68	FOVCX	First Trust/confluence	Pair Corr
0.69	FOVAX	First Trust/confluence	Pair Corr
0.75	FPEIX	First Trust Preferred	Pair Corr
0.75	FPEFX	First Trust Preferred	Pair Corr
0.74	FPECX	First Trust Preferred	Pair Corr
0.75	FPEAX	First Trust Preferred	Pair Corr
0.75	FPERX	First Trust Preferred	Pair Corr
0.84	BXMYX	Blackstone Alternative	Pair Corr
0.87	GARTX	Goldman Sachs Absolute	Pair Corr
0.89	GCRTX	Goldman Sachs Absolute	Pair Corr
0.83	BXMIX	Blackstone Alternative	Pair Corr
0.81	BXMDX	Blackstone Alternative	Pair Corr
0.71	PDI	Pimco Dynamic Income	Pair Corr
0.77	EPGFX	Europac Gold Steady Growth	Pair Corr
0.89	BHYIX	Blackrock High Yield	Pair Corr
0.84	RBACX	American Funds Balanced	Pair Corr

Moving against First Mutual Fund

0.83	UIPIX	Ultrashort Mid Cap	Pair Corr
0.76	TCTGX	Transamerica Cleartrack	Pair Corr
0.76	TDKTX	Cleartrack 2015 Class	Pair Corr
0.76	TCTJX	Transamerica Cleartrack	Pair Corr
0.73	TCSUX	Cleartrack 2020 Class	Pair Corr
0.58	CESGX	Coho Relative Value	Pair Corr
0.38	USPSX	Profunds Ultrashort	Pair Corr
0.36	USPIX	Profunds Ultrashort	Pair Corr

Related Correlations Analysis

	CWAAX	CWAIX	FDHIX	FDHCX	FDHAX	VARBX	VARCX	VARAX
CWAAX		0.99	0.1	-0.07	0.06	0.5	0.46	0.51	CWAAX
CWAIX	0.99		0.1	-0.07	0.06	0.49	0.45	0.49	CWAIX
FDHIX	0.1	0.1		0.98	1.0	0.59	0.6	0.58	FDHIX
FDHCX	-0.07	-0.07	0.98		0.99	0.5	0.52	0.49	FDHCX
FDHAX	0.06	0.06	1.0	0.99		0.58	0.59	0.57	FDHAX
VARBX	0.5	0.49	0.59	0.5	0.58		1.0	0.96	VARBX
VARCX	0.46	0.45	0.6	0.52	0.59	1.0		0.96	VARCX
VARAX	0.51	0.49	0.58	0.49	0.57	0.96	0.96		VARAX
	CWAAX	CWAIX	FDHIX	FDHCX	FDHAX	VARBX	VARCX	VARAX

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

FDHAX	+ 1.0	FDHIX
VARCX	+ 1.0	VARBX
CWAIX	+ 0.99	CWAAX
FDHAX	+ 0.99	FDHCX
FDHCX	+ 0.98	FDHIX
VARAX	+ 0.96	VARBX

High negative correlations

FDHCX	- 0.07	CWAIX
FDHCX	- 0.07	CWAAX

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	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
CWAAX	0.06	0.02	(0.83)	(1.66)	0.00	(0.10)	0.19	(0.10)	0.59
CWAIX	0.06	0.02	(0.78)	1.42	0.00	(0.09)	0.19	(0.10)	0.59
FDHIX	0.09	0.00	(0.88)	0.46	0.03	(0.14)	0.17	(0.17)	0.78
FDHCX	0.08	0.00	(1.00)	0.68	0.05	(0.12)	0.17	(0.17)	0.67
FDHAX	0.09	0.00	(0.92)	1.41	0.04	(0.14)	0.17	(0.17)	0.78
VARBX	0.10	0.04	(0.60)	3.37	0.00	(0.22)	0.10	(0.09)	2.72
VARCX	0.10	0.03	(0.64)	1.21	0.00	(0.26)	0.10	(0.10)	2.75
VARAX	0.10	0.05	(0.55)	(1.02)	0.00	(0.25)	0.10	(0.10)	2.68

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