First Trust Correlations

FPF Fund

USD 18.62 0.02 0.11%

The current 90-days correlation between First Trust Intermediate and Invesco Municipal Opportunity is 0.33 (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

Very weak diversification

The correlation between First Trust Intermediate and DJI is 0.4 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First Trust Intermediate 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 Intermediate. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in american community survey.

Moving together with First Fund

0.8	KF	Korea Closed	Pair Corr
0.72	FMY	First Trust Mortgage	Pair Corr
0.81	UTF	Cohen And Steers	Pair Corr
0.76	ARBOX	Absolute Convertible	Pair Corr
0.63	TIMUX	Transamerica Intermediate	Pair Corr
0.79	DLDFX	Destinations Low Duration	Pair Corr
0.69	VICSX	Vanguard Intermediate-ter	Pair Corr
0.83	PGLSX	Global Multi Strategy	Pair Corr
0.89	HTD	John Hancock Tax	Pair Corr
0.81	SGDLX	Sprott Gold Equity	Pair Corr
0.66	HRBDX	Harbor Bond Fund	Pair Corr
0.92	RXRPX	American Funds Retirement	Pair Corr
0.77	ABNOX	Ab Bond Inflation	Pair Corr
0.89	DBIWX	Dws Global Macro	Pair Corr
0.87	HWACX	Hotchkis Wiley Value	Pair Corr
0.69	BISMX	Brandes International	Pair Corr
0.83	GIOIX	Guggenheim Macro Opp	Pair Corr
0.84	EBSIX	Campbell Systematic Macro	Pair Corr
0.73	EMBAX	Unconstrained Emerging	Pair Corr

Moving against First Fund

0.37

TWN

Taiwan Closed

Pair Corr

Related Correlations Analysis

	JPT	RFM	KTF	MVT	MFM	FIF	FEN	FTF	FOCS	FCT
JPT		0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	JPT
RFM	0.0		0.87	0.87	0.82	0.0	0.0	0.72	0.0	0.69	RFM
KTF	0.0	0.87		0.85	0.85	0.0	0.0	0.53	0.0	0.61	KTF
MVT	0.0	0.87	0.85		0.9	0.0	0.0	0.78	0.0	0.73	MVT
MFM	0.0	0.82	0.85	0.9		0.0	0.0	0.61	0.0	0.64	MFM
FIF	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	0.0	FIF
FEN	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	FEN
FTF	0.0	0.72	0.53	0.78	0.61	0.0	0.0		0.0	0.77	FTF
FOCS	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0		0.0	FOCS
FCT	0.0	0.69	0.61	0.73	0.64	0.0	0.0	0.77	0.0		FCT
	JPT	RFM	KTF	MVT	MFM	FIF	FEN	FTF	FOCS	FCT

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

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

MFM	+ 0.9	MVT
KTF	+ 0.87	RFM
MVT	+ 0.87	RFM
MVT	+ 0.85	KTF
MFM	+ 0.85	KTF
MFM	+ 0.82	RFM

High negative correlations

FCT	- 0.0	FOCS
FOCS	- 0.0	FTF
FCT	- 0.0	FEN
FOCS	- 0.0	FEN
FTF	- 0.0	FEN
FCT	- 0.0	FIF

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
JPT	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
RFM	0.42	(0.04)	0.00	(0.25)	0.00	0.00	0.72	(0.92)	2.83
KTF	0.36	(0.03)	0.00	(0.37)	0.00	0.00	0.75	(0.95)	2.76
MVT	0.52	0.01	0.06	0.02	0.63	(0.62)	0.95	(1.22)	3.47
MFM	0.61	(0.01)	0.00	(0.10)	0.00	0.00	1.12	(1.50)	3.55
FIF	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
FEN	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
FTF	0.47	(0.01)	0.00	(0.08)	0.00	0.00	0.81	(0.92)	3.29
FOCS	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
FCT	0.35	0.00	0.08	0.05	0.40	(0.42)	0.79	(0.68)	3.38

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC