First Trust Correlations

FGB Fund

USD 4.42 0.06 1.34%

The current 90-days correlation between First Trust Specialty and MFS High Income is 0.24 (i.e., Modest 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

Significant diversification

The correlation between First Trust Specialty and DJI is 0.01 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First Trust Specialty 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 Specialty. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in price.

Moving together with First Fund

0.84	PTY	Pimco Corporate Income	Pair Corr
0.9	FFC	Flaherty Crumrine	Pair Corr
0.76	HYT	Blackrock Corporate High	Pair Corr
0.85	HIO	Western Asset High	Pair Corr
0.75	PYLMX	Payden Limited Maturity	Pair Corr
0.69	RQEAX	Resq Dynamic Allocation	Pair Corr
0.81	WARIX	Western Asset Total	Pair Corr
0.9	JAAAX	Alternative Asset	Pair Corr
0.88	JAACX	Alternative Asset	Pair Corr
0.9	JAARX	Alternative Asset	Pair Corr
0.66	DIEFX	Destinations International	Pair Corr
0.91	0P0001GXZ7	Oaktree (lux)	Pair Corr
0.87	PHIYX	High Yield Fund	Pair Corr
0.9	UASBX	Short Term Bond	Pair Corr
0.84	BSIIX	Blackrock Strategic	Pair Corr
0.89	RFXCX	Rational Special Sit	Pair Corr
0.85	LBHIX	Thrivent High Yield	Pair Corr
0.71	EISAX	Eagle International Stock	Pair Corr
0.67	PDVAX	Diversified Income	Pair Corr
0.77	MISAX	Victory Trivalent	Pair Corr
0.77	FIGFX	Fidelity International	Pair Corr
0.89	QRPNX	Aqr Alternative Risk	Pair Corr
0.8	PBBIX	Fundvantage Trust	Pair Corr
0.8	ADX	Adams Diversified Equity	Pair Corr
0.77	PQDMX	Prudential Qma Intl	Pair Corr
0.86	JHYUX	Jpmorgan High Yield	Pair Corr
0.81	BTSIX	Bts Managed Income	Pair Corr
0.91	CRDSX	Catholic Responsible	Pair Corr
0.78	AGDZX	Ab High Income	Pair Corr

Moving against First Fund

0.73	CHY	Calamos Convertible And	Pair Corr
0.68	CHI	Calamos Convertible	Pair Corr
0.65	RCS	Pimco Strategic Income	Pair Corr

Related Correlations Analysis

	CXE	CMU	MUE	MGF	CBH	MHI	JSD	VLT	FINS
CXE		0.9	0.89	0.62	0.0	0.75	0.0	0.67	-0.04	CXE
CMU	0.9		0.86	0.64	0.0	0.79	0.0	0.72	-0.03	CMU
MUE	0.89	0.86		0.59	0.0	0.77	0.0	0.68	-0.16	MUE
MGF	0.62	0.64	0.59		0.0	0.62	0.0	0.57	0.22	MGF
CBH	0.0	0.0	0.0	0.0		0.0	0.0	0.0	0.0	CBH
MHI	0.75	0.79	0.77	0.62	0.0		0.0	0.66	0.05	MHI
JSD	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	JSD
VLT	0.67	0.72	0.68	0.57	0.0	0.66	0.0		-0.31	VLT
FINS	-0.04	-0.03	-0.16	0.22	0.0	0.05	0.0	-0.31		FINS
	CXE	CMU	MUE	MGF	CBH	MHI	JSD	VLT	FINS

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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

CMU	+ 0.9	CXE
MUE	+ 0.89	CXE
MUE	+ 0.86	CMU
MHI	+ 0.79	CMU
MHI	+ 0.77	MUE
MHI	+ 0.75	CXE

High negative correlations

FINS	- 0.31	VLT
FINS	- 0.16	MUE
FINS	- 0.04	CXE
FINS	- 0.03	CMU
FINS	- 0.0	JSD
VLT	- 0.0	JSD

Risk-Adjusted Indicators

There is a big difference between First Fund performing well and First Trust 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
CXE	0.58	0.02	0.01	(0.13)	0.72	(0.63)	1.34	(1.33)	4.08
CMU	0.40	0.02	0.02	(0.19)	0.47	(0.48)	0.87	(0.86)	2.27
MUE	0.54	0.00	(0.01)	(0.01)	0.78	(0.52)	1.21	(1.23)	3.29
MGF	0.53	0.04	0.05	0.13	0.58	(0.68)	0.99	(0.98)	3.27
CBH	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
MHI	0.48	0.00	0.00	(0.01)	0.60	(0.49)	0.85	(0.96)	3.01
JSD	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
VLT	0.29	0.03	0.03	0.70	0.44	(0.31)	0.65	(0.55)	2.39
FINS	0.39	0.10	0.16	(1.96)	0.39	(0.44)	0.88	(0.82)	2.13

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