First Trust Correlations

FXD Etf

USD 68.90 0.74 1.06%

The current 90-days correlation between First Trust Consumer and SPDR SP Retail is 0.92 (i.e., Almost no 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

Almost no diversification

The correlation between First Trust Consumer 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 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 american community survey.

Moving together with First Etf

0.84	XLY	Consumer Discretionary	Pair Corr
0.86	VCR	Vanguard Consumer	Pair Corr
0.62	ITB	iShares Home Construction	Pair Corr
0.86	FDIS	Fidelity MSCI Consumer	Pair Corr
0.7	XHB	SPDR SP Homebuilders	Pair Corr
0.89	IYC	iShares Consumer Dis	Pair Corr
0.91	PEJ	Invesco Dynamic Leisure	Pair Corr
0.98	XRT	SPDR SP Retail	Pair Corr
0.82	SIXD	AIM ETF Products	Pair Corr
0.85	GAL	SPDR SSgA Global	Pair Corr
0.62	DIS	Walt Disney Earnings Call This Week	Pair Corr
0.89	AA	Alcoa Corp	Pair Corr
0.62	INTC	Intel	Pair Corr
0.87	WMT	Walmart Common Stock	Pair Corr
0.73	MRK	Merck Company Earnings Call This Week	Pair Corr
0.8	BA	Boeing	Pair Corr
0.61	XOM	Exxon Mobil Corp Earnings Call Today	Pair Corr

Moving against First Etf

0.93	VIXM	ProShares VIX Mid Low Volatility	Pair Corr
0.93	VXZ	iPath Series B Low Volatility	Pair Corr
0.91	VXX	iPath Series B Low Volatility	Pair Corr
0.91	VIXY	ProShares VIX Short Low Volatility	Pair Corr
0.79	RCD	Ready Capital	Pair Corr
0.51	YCL	ProShares Ultra Yen	Pair Corr
0.44	FXY	Invesco CurrencyShares	Pair Corr
0.71	T	ATT Inc Earnings Call This Week	Pair Corr
0.49	MSFT	Microsoft	Pair Corr

Related Correlations Analysis

	FXN	FXG	FEP	FXZ	IDLV	RSPF	ENFR	EWN	FEMS	XRT
FXN		0.56	0.71	0.76	0.73	0.44	0.91	0.69	0.8	0.57	FXN
FXG	0.56		0.54	0.63	0.5	0.1	0.61	0.66	0.73	0.48	FXG
FEP	0.71	0.54		0.96	0.93	0.76	0.73	0.92	0.89	0.84	FEP
FXZ	0.76	0.63	0.96		0.92	0.74	0.75	0.91	0.94	0.86	FXZ
IDLV	0.73	0.5	0.93	0.92		0.8	0.77	0.78	0.81	0.79	IDLV
RSPF	0.44	0.1	0.76	0.74	0.8		0.44	0.54	0.52	0.84	RSPF
ENFR	0.91	0.61	0.73	0.75	0.77	0.44		0.65	0.74	0.57	ENFR
EWN	0.69	0.66	0.92	0.91	0.78	0.54	0.65		0.95	0.74	EWN
FEMS	0.8	0.73	0.89	0.94	0.81	0.52	0.74	0.95		0.72	FEMS
XRT	0.57	0.48	0.84	0.86	0.79	0.84	0.57	0.74	0.72		XRT
	FXN	FXG	FEP	FXZ	IDLV	RSPF	ENFR	EWN	FEMS	XRT

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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	1.07	0.20	0.12	0.67	1.09	(1.09)	2.61	(1.84)	6.12
FXG	0.63	0.03	(0.02)	0.19	0.70	(0.72)	1.35	(1.11)	3.17
FEP	0.57	0.19	0.19	1.23	0.42	(0.63)	1.46	(1.19)	2.87
FXZ	1.03	0.20	0.18	0.21	0.92	(1.15)	2.43	(1.94)	4.43
IDLV	0.44	0.06	0.06	0.21	0.43	(0.48)	0.83	(0.87)	2.69
RSPF	0.69	(0.02)	(0.03)	0.03	0.87	(0.75)	1.46	(1.36)	4.56
ENFR	0.67	0.16	0.11	(0.93)	0.60	(0.70)	1.60	(1.23)	4.06
EWN	0.83	0.15	0.10	5.04	0.92	(0.87)	1.65	(1.49)	4.87
FEMS	0.58	0.10	0.11	0.27	0.49	(0.66)	1.28	(0.87)	2.96
XRT	0.96	0.03	(0.01)	0.20	1.02	(1.23)	1.80	(1.77)	6.33

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