First Trust Correlations

VARCX Fund

10.58 0.01 0.09%

The current 90-days correlation between First Trust Merger and Global Diversified Income is -0.16 (i.e., Good 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 Merger and DJI is 0.07 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First Trust Merger and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in First Trust Merger. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in main economic indicators.

Moving together with First Mutual Fund

0.84	MERIX	Merger Fund	Pair Corr
1.0	VARAX	Vivaldi Merger Arbitrage	Pair Corr
0.99	VARBX	Vivaldi Merger Arbitrage	Pair Corr
0.9	ARBNX	The Arbitrage	Pair Corr
0.61	HTD	John Hancock Tax	Pair Corr
0.62	PG	Procter Gamble	Pair Corr
0.67	MCD	McDonalds	Pair Corr
0.63	TRV	The Travelers Companies	Pair Corr
0.61	IBM	International Business	Pair Corr

Moving against First Mutual Fund

0.55	SMPIX	Semiconductor Ultrasector	Pair Corr
0.53	RGNCX	Victory Global Natural	Pair Corr
0.52	RSNRX	Victory Global Natural	Pair Corr
0.51	RSNYX	Victory Global Natural	Pair Corr
0.5	SMPSX	Semiconductor Ultrasector	Pair Corr
0.54	AA	Alcoa Corp	Pair Corr
0.53	AXP	American Express	Pair Corr
0.52	MSFT	Microsoft	Pair Corr
0.45	BAC	Bank of America	Pair Corr
0.37	HD	Home Depot	Pair Corr

Related Correlations Analysis

	PGBAX	DLTZX	HIIDX	PQCNX	TIICX	ACBPX	TFCAX	XWDIX
PGBAX		0.92	0.92	0.95	0.77	0.96	0.86	0.68	PGBAX
DLTZX	0.92		0.86	0.95	0.56	0.96	0.96	0.5	DLTZX
HIIDX	0.92	0.86		0.87	0.77	0.88	0.81	0.58	HIIDX
PQCNX	0.95	0.95	0.87		0.59	1.0	0.86	0.67	PQCNX
TIICX	0.77	0.56	0.77	0.59		0.61	0.55	0.56	TIICX
ACBPX	0.96	0.96	0.88	1.0	0.61		0.88	0.67	ACBPX
TFCAX	0.86	0.96	0.81	0.86	0.55	0.88		0.39	TFCAX
XWDIX	0.68	0.5	0.58	0.67	0.56	0.67	0.39		XWDIX
	PGBAX	DLTZX	HIIDX	PQCNX	TIICX	ACBPX	TFCAX	XWDIX

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Risk-Adjusted Indicators

There is a big difference between First Mutual Fund performing well and First Trust Mutual 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
PGBAX	0.14	0.01	0.40	0.13	0.07	(0.18)	0.34	(0.25)	0.85
DLTZX	0.08	0.01	0.46	0.67	0.00	(0.18)	0.26	(0.13)	0.64
HIIDX	0.63	0.08	0.12	0.08	0.82	(0.65)	1.27	(0.97)	5.23
PQCNX	0.25	0.02	0.25	0.35	0.22	(0.30)	0.59	(0.47)	1.43
TIICX	0.37	0.01	0.00	(0.03)	0.00	0.00	0.78	(0.68)	1.57
ACBPX	0.24	0.02	0.27	0.34	0.20	(0.30)	0.56	(0.44)	1.23
TFCAX	0.02	0.00	0.00	(0.28)	0.00	0.00	0.10	0.00	0.40
XWDIX	0.20	(0.02)	0.00	(0.34)	0.00	0.00	0.33	(0.46)	1.59

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