First Trust Correlations

FXD Etf

USD 70.16 0.65 0.92%

The current 90-days correlation between First Trust Consumer and First Trust Energy 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.

First Trust Correlation With Market

Poor diversification

The correlation between First Trust Consumer and DJI is 0.78 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First Trust Consumer 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 Consumer. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in median.

Moving together with First Etf

0.83	XLY	Consumer Discretionary Sell-off Trend	Pair Corr
0.85	VCR	Vanguard Consumer	Pair Corr
0.85	FDIS	Fidelity MSCI Consumer	Pair Corr
0.83	IYC	iShares Consumer Dis	Pair Corr
0.89	PEJ	Invesco Dynamic Leisure	Pair Corr
0.95	XRT	SPDR SP Retail	Pair Corr
0.85	ITDD	iShares Trust	Pair Corr
0.87	CPST	Calamos ETF Trust	Pair Corr
0.92	ITWO	Proshares Russell 2000	Pair Corr
0.76	CPSL	Calamos Laddered	Pair Corr
0.85	DDFO	Innovator Equity Dual	Pair Corr
0.89	PJFM	PGIM ETF Trust	Pair Corr
0.66	CALI	iShares Short Term	Pair Corr
0.79	WMT	Walmart Common Stock	Pair Corr
0.62	MRK	Merck Company Sell-off Trend	Pair Corr
0.79	AA	Alcoa Corp	Pair Corr

Moving against First Etf

0.71	RCD	Ready Capital	Pair Corr
0.52	PG	Procter Gamble	Pair Corr
0.48	T	ATT Inc	Pair Corr
0.35	MSFT	Microsoft	Pair Corr

Related Correlations Analysis

	FXN	FXG	FEP	FXZ	IDLV	RSPF	ENFR	EWN	FEMS	XRT
FXN		-0.4	0.48	0.46	0.55	0.32	0.81	0.24	0.41	0.32	FXN
FXG	-0.4		-0.38	-0.16	-0.3	-0.18	-0.18	-0.17	-0.13	0.16	FXG
FEP	0.48	-0.38		0.94	0.88	0.88	0.45	0.77	0.62	0.75	FEP
FXZ	0.46	-0.16	0.94		0.85	0.9	0.5	0.74	0.69	0.87	FXZ
IDLV	0.55	-0.3	0.88	0.85		0.76	0.51	0.6	0.44	0.63	IDLV
RSPF	0.32	-0.18	0.88	0.9	0.76		0.47	0.62	0.64	0.8	RSPF
ENFR	0.81	-0.18	0.45	0.5	0.51	0.47		0.16	0.52	0.4	ENFR
EWN	0.24	-0.17	0.77	0.74	0.6	0.62	0.16		0.76	0.64	EWN
FEMS	0.41	-0.13	0.62	0.69	0.44	0.64	0.52	0.76		0.6	FEMS
XRT	0.32	0.16	0.75	0.87	0.63	0.8	0.4	0.64	0.6		XRT
	FXN	FXG	FEP	FXZ	IDLV	RSPF	ENFR	EWN	FEMS	XRT

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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

FXZ	+ 0.94	FEP
RSPF	+ 0.9	FXZ
IDLV	+ 0.88	FEP
RSPF	+ 0.88	FEP
XRT	+ 0.87	FXZ
IDLV	+ 0.85	FXZ

High negative correlations

FXG	- 0.4	FXN
FEP	- 0.38	FXG
IDLV	- 0.3	FXG
ENFR	- 0.18	FXG
RSPF	- 0.18	FXG
EWN	- 0.17	FXG

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
FXN	1.13	(0.02)	(0.03)	0.03	1.64	(1.01)	2.31	(1.99)	6.13
FXG	0.57	(0.10)	0.00	(0.25)	0.00	0.00	1.33	(1.20)	3.91
FEP	0.61	0.06	0.04	0.14	0.66	(0.63)	1.40	(1.41)	2.87
FXZ	1.17	0.04	0.05	0.09	1.22	(1.27)	2.68	(2.51)	5.85
IDLV	0.40	0.04	(0.02)	0.33	0.42	(0.42)	0.73	(0.84)	2.51
RSPF	0.69	0.05	0.00	0.32	0.99	(0.73)	1.36	(2.20)	4.37
ENFR	0.69	(0.09)	0.00	(0.22)	0.00	0.00	1.21	(1.85)	4.06
EWN	0.80	(0.01)	(0.01)	0.06	1.02	(0.76)	1.65	(1.52)	4.64
FEMS	0.65	(0.04)	(0.07)	0.00	0.93	(0.64)	1.33	(1.53)	3.56
XRT	1.03	(0.06)	(0.03)	0.02	1.24	(1.17)	2.44	(2.25)	6.28

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