First Trust Correlations

FTMCX Fund

24.57 0.01 0.04%

The current 90-days correlation between First Trust Multi and Absolute Convertible Arbitrage is -0.16 (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

Significant diversification

The correlation between First Trust Multi Strategy and DJI is 0.07 (i.e., Significant 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

1.0	FTMAX	Franklin Templeton	Pair Corr
0.87	FDHIX	First Trust Short	Pair Corr
0.87	FDHCX	First Trust Short	Pair Corr
0.87	FDHAX	First Trust Short	Pair Corr
0.83	VARBX	Vivaldi Merger Arbitrage	Pair Corr
0.83	VARCX	First Trust Merger	Pair Corr
0.83	VARAX	Vivaldi Merger Arbitrage	Pair Corr
0.84	FPEIX	First Trust Preferred	Pair Corr
0.86	FPEFX	First Trust Preferred	Pair Corr
0.8	FPECX	First Trust Preferred	Pair Corr
0.83	FPEAX	First Trust Preferred	Pair Corr
0.82	FPERX	First Trust Preferred	Pair Corr
0.72	BIMBX	Blackrock Alternative Potential Growth	Pair Corr
0.71	BAMBX	Blackrock Alternative	Pair Corr
0.68	BMBCX	Blackrock Alternative	Pair Corr
0.72	BKMBX	Blackrock Systematic	Pair Corr
0.66	CFNTX	California Tax Free	Pair Corr
0.84	HLDIX	Hartford Emerging	Pair Corr
0.77	AEDNX	Arbitrage Event	Pair Corr
0.81	HIAOX	Hartford International	Pair Corr
0.77	RCRAX	Pioneer Dynamic Credit	Pair Corr
0.88	WWICX	Westwood Income Oppo	Pair Corr
0.87	VTMFX	Vanguard Tax Managed	Pair Corr
0.65	PATFX	T Rowe Price	Pair Corr
0.88	NSOPX	North Star Opportunity	Pair Corr
0.82	FAVWX	Fidelity Freedom Index	Pair Corr

Related Correlations Analysis

	ARBOX	NCIDX	VAADX	XNCVX	CCD	GCV	PBXIX
ARBOX		0.07	0.69	0.29	0.02	0.07	-0.04	ARBOX
NCIDX	0.07		0.38	0.92	0.91	0.89	0.61	NCIDX
VAADX	0.69	0.38		0.5	0.29	0.3	0.22	VAADX
XNCVX	0.29	0.92	0.5		0.84	0.84	0.57	XNCVX
CCD	0.02	0.91	0.29	0.84		0.86	0.53	CCD
GCV	0.07	0.89	0.3	0.84	0.86		0.42	GCV
PBXIX	-0.04	0.61	0.22	0.57	0.53	0.42		PBXIX
	ARBOX	NCIDX	VAADX	XNCVX	CCD	GCV	PBXIX

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

XNCVX	+ 0.92	NCIDX
CCD	+ 0.91	NCIDX
GCV	+ 0.89	NCIDX
GCV	+ 0.86	CCD
CCD	+ 0.84	XNCVX
GCV	+ 0.84	XNCVX

High negative correlations

PBXIX

- 0.04

ARBOX

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
ARBOX	0.11	(0.04)	0.00	(0.31)	0.00	0.00	0.09	(0.08)	3.34
NCIDX	0.78	(0.01)	(0.02)	0.06	1.03	(0.74)	1.29	(1.76)	4.78
VAADX	0.85	(0.14)	0.00	(0.09)	0.00	0.00	1.21	(1.76)	10.69
XNCVX	0.74	(0.04)	(0.05)	0.02	0.97	(0.82)	1.29	(1.74)	5.47
CCD	0.89	(0.03)	(0.03)	0.04	1.14	(0.89)	1.90	(2.11)	4.70
GCV	0.83	0.05	0.01	0.18	0.89	(0.97)	2.19	(1.68)	4.42
PBXIX	0.36	(0.05)	0.00	(0.02)	0.00	0.00	0.63	(0.73)	2.07

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