First Trust Correlations

FTMCX Fund

24.52 0.01 0.04%

The current 90-days correlation between First Trust Multi and American Beacon Small is 0.35 (i.e., 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. If the correlation is 0, the equities are not correlated; they are entirely random.

First Trust Correlation With Market

Poor diversification

The correlation between First Trust Multi Strategy and DJI is 0.77 (i.e., Poor 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 private.

Moving together with First Mutual Fund

0.77	FTMAX	Franklin Templeton	Pair Corr
0.87	FDHIX	First Trust Short	Pair Corr
0.68	FDHAX	First Trust Short	Pair Corr
0.87	VARBX	Vivaldi Merger Arbitrage	Pair Corr
0.86	VARCX	First Trust Merger	Pair Corr
0.83	VARAX	Vivaldi Merger Arbitrage	Pair Corr
0.83	FOVIX	First Trust/confluence	Pair Corr
0.69	FOVCX	First Trust/confluence	Pair Corr
0.61	FOVAX	First Trust/confluence	Pair Corr
0.8	FPEIX	First Trust Preferred	Pair Corr
0.81	FPEFX	First Trust Preferred	Pair Corr
0.79	FPECX	First Trust Preferred	Pair Corr
0.85	FPEAX	First Trust Preferred	Pair Corr
0.81	FPERX	First Trust Preferred	Pair Corr
0.68	BMBCX	Blackrock Alternative	Pair Corr
0.69	BKMBX	Blackrock Systematic	Pair Corr
0.83	BXMYX	Blackstone Alternative	Pair Corr
0.95	GARTX	Goldman Sachs Absolute	Pair Corr
0.95	GCRTX	Goldman Sachs Absolute	Pair Corr
0.87	BXMIX	Blackstone Alternative	Pair Corr
0.85	BXMDX	Blackstone Alternative	Pair Corr
0.65	HLDIX	Hartford Emerging	Pair Corr
0.66	HLDRX	Hartford Emerging	Pair Corr
0.64	HLDAX	Hartford Emerging	Pair Corr
0.88	HLDCX	Hartford Emerging	Pair Corr
0.88	HLDTX	Hartford Emerging	Pair Corr
0.76	BFGUX	Baron Focused Growth	Pair Corr
0.88	RACTX	American Funds 2020	Pair Corr
0.91	SSCGX	Simt Small Cap	Pair Corr
0.9	SCIJX	Hartford Schroders	Pair Corr

Related Correlations Analysis

	DRSVX	WBVNX	AVCNX	ABYSX	LRSOX	VVSCX	BOSVX	AASSX
DRSVX		0.98	0.96	0.97	0.95	0.96	0.96	0.94	DRSVX
WBVNX	0.98		0.96	0.97	0.98	0.99	0.96	0.95	WBVNX
AVCNX	0.96	0.96		0.96	0.94	0.94	0.95	0.91	AVCNX
ABYSX	0.97	0.97	0.96		0.97	0.95	0.98	0.96	ABYSX
LRSOX	0.95	0.98	0.94	0.97		0.96	0.97	0.97	LRSOX
VVSCX	0.96	0.99	0.94	0.95	0.96		0.93	0.91	VVSCX
BOSVX	0.96	0.96	0.95	0.98	0.97	0.93		0.96	BOSVX
AASSX	0.94	0.95	0.91	0.96	0.97	0.91	0.96		AASSX
	DRSVX	WBVNX	AVCNX	ABYSX	LRSOX	VVSCX	BOSVX	AASSX

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
DRSVX	0.79	0.15	0.16	0.22	0.58	(0.95)	2.29	(1.37)	4.30
WBVNX	0.73	0.21	0.17	1.23	0.53	(0.84)	2.14	(1.13)	4.46
AVCNX	0.97	0.25	0.26	0.30	0.55	(1.20)	2.91	(1.39)	7.32
ABYSX	0.86	0.19	0.24	0.24	0.41	(1.09)	2.41	(1.23)	8.01
LRSOX	0.85	0.21	0.15	1.18	0.68	(1.04)	2.44	(1.52)	6.99
VVSCX	0.81	0.15	0.08	1.28	0.79	(0.93)	1.86	(1.38)	4.55
BOSVX	1.04	0.33	0.34	0.41	0.46	(1.31)	2.84	(1.44)	9.89
AASSX	1.10	0.32	0.33	0.33	0.48	(1.36)	2.72	(1.46)	13.99

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First Trust Correlations

First Trust Correlation With Market

Poor diversification

Moving together with First Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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