First Trust Correlations

FPEFX Fund

USD 20.03 0.01 0.05%

The current 90-days correlation between First Trust Preferred and First Trust Managed is 0.48 (i.e., Very 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. 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 Preferred and DJI is 0.54 (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 Preferred 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 Preferred. 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 census.

Moving together with First Mutual Fund

0.72	CWAIX	First Trust Managed	Pair Corr
0.96	FTMAX	Franklin Templeton	Pair Corr
0.99	FTMCX	First Trust Multi	Pair Corr
0.99	FDHIX	First Trust Short	Pair Corr
0.99	FDHCX	First Trust Short	Pair Corr
0.99	FDHAX	First Trust Short	Pair Corr
0.94	VARBX	Vivaldi Merger Arbitrage	Pair Corr
0.93	VARCX	First Trust Merger	Pair Corr
0.94	VARAX	Vivaldi Merger Arbitrage	Pair Corr
0.73	FOVIX	First Trust/confluence	Pair Corr
0.71	FOVCX	First Trust/confluence	Pair Corr
0.72	FOVAX	First Trust/confluence	Pair Corr
1.0	FPEIX	First Trust Preferred	Pair Corr
1.0	FPECX	First Trust Preferred	Pair Corr
1.0	FPEAX	First Trust Preferred	Pair Corr
1.0	FPERX	First Trust Preferred	Pair Corr
1.0	CPXIX	Cohen Steers Prfrd	Pair Corr
1.0	CPXAX	Cohen Steers Preferd	Pair Corr
1.0	CPXCX	Cohen Steers Prefrd	Pair Corr
1.0	CPRRX	Cohen Steers Preferred	Pair Corr
1.0	CPXZX	Cohen Steers Preferred	Pair Corr
1.0	CPXFX	Cohen Steers Preferred	Pair Corr
1.0	PRFCX	Preferred Securities	Pair Corr
1.0	PPSIX	Preferred Securities	Pair Corr
1.0	PPSAX	Preferred Securities	Pair Corr
0.81	GAAKX	Gmo Alternative Allo	Pair Corr
0.8	GAAGX	Gmo Alternative Allo	Pair Corr
0.75	GPBFX	Gmo E Plus	Pair Corr
0.99	FMSDX	Fidelity Advisor Multi	Pair Corr
0.89	KNGLX	Cboe Vest Sp	Pair Corr
0.96	QTSSX	Quantified Tactical	Pair Corr
0.98	VWINX	Vanguard Wellesley Income	Pair Corr
0.95	XHYIX	Western Asset High	Pair Corr
0.97	OAAIX	Oppenheimer Aggrssv	Pair Corr

Moving against First Mutual Fund

0.35

GPMFX

Guidepath Managed Futures

Pair Corr

Related Correlations Analysis

	CWAIX	FTMAX	FTMCX	FDHIX	FDHCX	FDHAX	VARBX	VARCX	VARAX	FOVIX
CWAIX		0.66	0.69	0.75	0.76	0.75	0.67	0.66	0.67	0.66	CWAIX
FTMAX	0.66		0.98	0.96	0.96	0.96	0.91	0.9	0.91	0.76	FTMAX
FTMCX	0.69	0.98		0.99	0.99	0.99	0.95	0.94	0.95	0.72	FTMCX
FDHIX	0.75	0.96	0.99		1.0	1.0	0.95	0.94	0.94	0.75	FDHIX
FDHCX	0.76	0.96	0.99	1.0		1.0	0.94	0.93	0.94	0.76	FDHCX
FDHAX	0.75	0.96	0.99	1.0	1.0		0.94	0.93	0.94	0.76	FDHAX
VARBX	0.67	0.91	0.95	0.95	0.94	0.94		1.0	1.0	0.58	VARBX
VARCX	0.66	0.9	0.94	0.94	0.93	0.93	1.0		1.0	0.57	VARCX
VARAX	0.67	0.91	0.95	0.94	0.94	0.94	1.0	1.0		0.58	VARAX
FOVIX	0.66	0.76	0.72	0.75	0.76	0.76	0.58	0.57	0.58		FOVIX
	CWAIX	FTMAX	FTMCX	FDHIX	FDHCX	FDHAX	VARBX	VARCX	VARAX	FOVIX

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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
CWAIX	0.12	(0.01)	(0.68)	(0.14)	0.13	(0.15)	0.25	(0.25)	0.91
FTMAX	0.13	0.01	(0.42)	0.20	0.03	(0.15)	0.30	(0.30)	1.23
FTMCX	0.11	0.03	(0.50)	0.36	0.00	(0.15)	0.29	(0.17)	0.79
FDHIX	0.11	0.04	(0.68)	0.55	0.00	(0.16)	0.45	(0.11)	0.75
FDHCX	0.10	0.04	(0.76)	0.51	0.00	(0.16)	0.45	(0.11)	0.69
FDHAX	0.10	0.04	(0.73)	0.55	0.00	(0.15)	0.45	(0.11)	0.67
VARBX	0.08	0.02	(0.58)	0.58	0.00	(0.13)	0.18	(0.09)	0.83
VARCX	0.07	0.01	(0.77)	0.49	0.00	(0.11)	0.19	(0.09)	0.75
VARAX	0.08	0.02	(0.58)	0.81	0.00	(0.13)	0.19	(0.09)	0.85
FOVIX	0.96	(0.06)	(0.04)	0.08	1.08	(0.99)	2.05	(1.68)	5.96

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