First Trust Correlations

FMY Fund

USD 12.20 0.07 0.58%

The current 90-days correlation between First Trust Mortgage and Nuveen SP 500 is 0.28 (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. 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 Mortgage and DJI is 0.06 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First Trust Mortgage 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 Mortgage. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in population.

Moving together with First Fund

0.67	NEA	Nuveen Amt Free	Pair Corr
0.68	NVG	Nuveen Amt Free	Pair Corr
0.63	NZF	Nuveen Municipal Credit	Pair Corr
0.62	NAC	Nuveen California	Pair Corr
0.73	USGDX	Morgan Stanley Government	Pair Corr
0.65	ABNOX	Ab Bond Inflation	Pair Corr
0.83	GIOIX	Guggenheim Macro Opp	Pair Corr
0.61	DBIWX	Dws Global Macro	Pair Corr
0.7	HRBDX	Harbor Bond Fund	Pair Corr
0.82	VICSX	Vanguard Intermediate-ter	Pair Corr

Moving against First Fund

0.31

CSQ

Calamos Strategic Total

Pair Corr

Related Correlations Analysis

	FCT	JRO	NSL	GDO	EHI	BGT	GAMI	NML	BCAT	SPXX
FCT		0.0	0.0	0.6	0.76	0.18	0.0	0.57	0.66	0.69	FCT
JRO	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	JRO
NSL	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	NSL
GDO	0.6	0.0	0.0		0.77	0.13	0.0	0.29	0.37	0.13	GDO
EHI	0.76	0.0	0.0	0.77		-0.11	0.0	0.59	0.62	0.48	EHI
BGT	0.18	0.0	0.0	0.13	-0.11		0.0	-0.28	0.23	0.04	BGT
GAMI	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	GAMI
NML	0.57	0.0	0.0	0.29	0.59	-0.28	0.0		0.56	0.52	NML
BCAT	0.66	0.0	0.0	0.37	0.62	0.23	0.0	0.56		0.64	BCAT
SPXX	0.69	0.0	0.0	0.13	0.48	0.04	0.0	0.52	0.64		SPXX
	FCT	JRO	NSL	GDO	EHI	BGT	GAMI	NML	BCAT	SPXX

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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

EHI	+ 0.77	GDO
EHI	+ 0.76	FCT
SPXX	+ 0.69	FCT
BCAT	+ 0.66	FCT
SPXX	+ 0.64	BCAT
BCAT	+ 0.62	EHI

High negative correlations

NML	- 0.28	BGT
BGT	- 0.11	EHI
SPXX	- 0.0	GAMI
BCAT	- 0.0	GAMI
NML	- 0.0	GAMI
GAMI	- 0.0	BGT

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
FCT	0.35	0.01	0.15	(0.01)	0.40	(0.42)	0.79	(0.68)	3.38
JRO	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
NSL	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GDO	0.46	0.07	0.19	0.33	0.55	(0.57)	1.05	(0.79)	3.07
EHI	0.45	0.07	0.21	0.18	0.42	(0.56)	0.91	(0.74)	3.66
BGT	0.51	(0.05)	0.00	(0.32)	0.00	0.00	1.05	(1.11)	4.09
GAMI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
NML	1.03	0.10	0.08	0.07	1.38	(1.05)	2.17	(2.45)	6.55
BCAT	0.62	(0.03)	0.00	(0.13)	0.00	0.00	1.14	(1.46)	4.22
SPXX	0.65	0.00	0.06	(0.12)	1.06	(0.60)	1.32	(1.63)	5.24

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