First Trust Correlations

FTPCX Fund

USD 10.03 0.01 0.1%

The current 90-days correlation between First Trust Private and Madison Diversified Income is 0.09 (i.e., Significant 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 Private and DJI is 0.75 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First Trust Private 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 Private. 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 unemployment.

Moving together with First Mutual Fund

0.73	GFAFX	Growth Fund	Pair Corr
0.73	FAFGX	American Funds	Pair Corr
0.73	FFAFX	American Funds	Pair Corr
0.74	CGFFX	Growth Fund	Pair Corr
0.71	PFN	Pimco Income Strategy	Pair Corr
0.9	WMT	Walmart Common Stock Aggressive Push	Pair Corr
0.91	DD	Dupont De Nemours	Pair Corr
0.86	CAT	Caterpillar	Pair Corr
0.91	JNJ	Johnson Johnson Sell-off Trend	Pair Corr
0.88	MRK	Merck Company Earnings Call This Week	Pair Corr
0.62	INTC	Intel Aggressive Push	Pair Corr
0.76	PFE	Pfizer Inc Earnings Call This Week	Pair Corr
0.87	AA	Alcoa Corp	Pair Corr

Moving against First Mutual Fund

0.54	XNBHX	Neuberger Berman Int	Pair Corr
0.48	XNXJX	Nuveen New Jersey	Pair Corr
0.45	XDSMX	Dreyfus Strategic	Pair Corr
0.36	NXJ	Nuveen New Jersey	Pair Corr
0.86	HPQ	HP Inc	Pair Corr
0.85	MSFT	Microsoft	Pair Corr
0.51	T	ATT Inc Earnings Call This Week	Pair Corr
0.37	MMM	3M Company	Pair Corr

Related Correlations Analysis

	EKBCX	QDARX	ELDFX	WDIAX	DDFIX	PASVX	MBLAX
EKBCX		0.92	0.93	0.91	0.92	0.94	0.93	EKBCX
QDARX	0.92		0.89	0.85	0.81	0.86	0.92	QDARX
ELDFX	0.93	0.89		0.85	0.81	0.84	0.91	ELDFX
WDIAX	0.91	0.85	0.85		0.94	0.95	0.95	WDIAX
DDFIX	0.92	0.81	0.81	0.94		0.99	0.86	DDFIX
PASVX	0.94	0.86	0.84	0.95	0.99		0.91	PASVX
MBLAX	0.93	0.92	0.91	0.95	0.86	0.91		MBLAX
	EKBCX	QDARX	ELDFX	WDIAX	DDFIX	PASVX	MBLAX

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
EKBCX	0.92	0.25	0.20	0.32	0.83	(1.00)	2.00	(1.90)	10.68
QDARX	0.06	0.01	(0.20)	1.51	0.00	(0.11)	0.16	(0.08)	0.31
ELDFX	0.43	0.09	0.13	0.25	0.28	(0.47)	0.82	(0.77)	6.39
WDIAX	0.53	0.06	0.07	0.11	0.48	(0.60)	0.98	(1.03)	3.44
DDFIX	0.70	0.23	0.39	0.22	0.00	(0.94)	1.31	(0.87)	15.15
PASVX	0.96	0.21	0.25	0.18	0.60	(1.17)	2.24	(1.48)	14.45
MBLAX	0.24	0.02	(0.01)	0.10	0.18	(0.29)	0.55	(0.47)	1.25

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