First Trust Correlations

FXZ Etf

USD 55.94 0.72 1.27%

The current 90-days correlation between First Trust Materials and First Trust IndustrialsProducer is 0.76 (i.e., Poor 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

Very weak diversification

The correlation between First Trust Materials and DJI is 0.56 (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 Materials 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 Materials. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in interest.

Moving together with First Etf

0.77	XLB	Materials Select Sector	Pair Corr
0.85	VAW	Vanguard Materials Index	Pair Corr
0.86	XME	SPDR SP Metals	Pair Corr
0.85	PHO	Invesco Water Resources	Pair Corr
0.85	FIW	First Trust Water	Pair Corr
0.66	IYM	iShares Basic Materials	Pair Corr
0.8	SIXD	AIM ETF Products	Pair Corr
0.73	CEFD	ETRACS Monthly Pay	Pair Corr
0.77	AXP	American Express Sell-off Trend	Pair Corr
0.7	JPM	JPMorgan Chase	Pair Corr

Moving against First Etf

0.42	ULE	ProShares Ultra Euro	Pair Corr
0.4	PMBS	PIMCO Mortgage Backed	Pair Corr
0.38	VZ	Verizon Communications	Pair Corr
0.32	KO	Coca Cola	Pair Corr
0.31	PG	Procter Gamble	Pair Corr

Related Correlations Analysis

	FXR	FXD	FXO	FXN	FXG
FXR		0.94	0.88	0.66	0.3	FXR
FXD	0.94		0.85	0.55	0.33	FXD
FXO	0.88	0.85		0.63	0.3	FXO
FXN	0.66	0.55	0.63		-0.14	FXN
FXG	0.3	0.33	0.3	-0.14		FXG
	FXR	FXD	FXO	FXN	FXG

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

FXD	+ 0.94	FXR
FXO	+ 0.88	FXR
FXO	+ 0.85	FXD
FXN	+ 0.66	FXR
FXN	+ 0.63	FXO
FXN	+ 0.55	FXD

High negative correlations

FXG

- 0.14

FXN

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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
FXR	0.95	(0.12)	(0.19)	1.76	(2.22)	4.64
FXD	0.91	(0.15)	(0.22)	1.55	(2.31)	4.51
FXO	0.89	(0.01)	(0.08)	1.75	(2.92)	5.74
FXN	1.21	0.03	(0.03)	2.03	(3.17)	7.86
FXG	0.68	(0.08)	(0.31)	1.44	(1.77)	4.32

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