First Trust Correlations
FPF Fund | USD 18.81 0.04 0.21% |
The current 90-days correlation between First Trust Intermediate and Cohen Steers Limited is 0.67 (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.
First Trust Correlation With Market
Very weak diversification
The correlation between First Trust Intermediate and DJI is 0.53 (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.
First |
Moving together with First Fund
0.88 | BTO | John Hancock Financial | PairCorr |
0.95 | KF | Korea Closed | PairCorr |
0.87 | EMO | Clearbridge Energy Mlp | PairCorr |
0.98 | TWN | Taiwan Closed | PairCorr |
0.92 | TDF | Templeton Dragon Closed | PairCorr |
0.92 | SRV | Cushing Mlp Total | PairCorr |
0.96 | ADNCX | American Beacon Ark | PairCorr |
0.92 | WFEDX | Wells Fargo International | PairCorr |
0.95 | FMIMX | Common Stock | PairCorr |
0.97 | ASMMX | Invesco Summit | PairCorr |
0.96 | GABIX | Gabelli Asset | PairCorr |
0.95 | AGEAX | Arbitrage Event | PairCorr |
0.9 | PSRCX | Pioneer Strategic Income | PairCorr |
0.98 | PSBIX | Strategic Asset Mana | PairCorr |
0.99 | LENAX | Blackrock Lifepath Esg | PairCorr |
0.98 | TLATX | Transamerica Large Core | PairCorr |
0.88 | GIIAX | Nationwide International | PairCorr |
0.95 | GABTX | Gamco Global Telecom | PairCorr |
0.95 | FTZIX | Fuller Thaler Behavioral | PairCorr |
0.98 | HDGYX | Hartford Dividend | PairCorr |
0.97 | TRSZX | T Rowe Price | PairCorr |
0.97 | TCMIX | Amg Timessquare Inte | PairCorr |
0.9 | DCAVX | Dunham Dynamic Macro | PairCorr |
0.98 | GEQZX | Equity Index Investor | PairCorr |
0.98 | OWCAX | Old Westbury California | PairCorr |
0.98 | RFFTX | American Funds 2035 | PairCorr |
0.96 | DCCIX | Delaware Small Cap | PairCorr |
0.96 | FZILX | Fidelity Zero Intern | PairCorr |
0.98 | ETO | Eaton Vance Tax | PairCorr |
0.99 | FSELX | Fidelity Select Semi | PairCorr |
0.95 | APHPX | Artisan Global Uncon | PairCorr |
0.97 | MADSX | Msif Advantage Port | PairCorr |
0.98 | DHAMX | Centre American Select | PairCorr |
0.93 | GLVYX | Oppenheimer Global Val | PairCorr |
0.96 | OTCIX | Mfs Mid Cap | PairCorr |
0.98 | ANWFX | New Perspective | PairCorr |
0.72 | RFI | Cohen Steers Total | PairCorr |
0.97 | PKAAX | Pimco Rae Fundamental | PairCorr |
Moving against First Fund
Related Correlations Analysis
0.93 | 0.94 | 0.89 | 0.96 | 0.93 | 0.92 | FTF | ||
0.93 | 0.98 | 0.83 | 0.96 | 0.98 | 0.98 | FRA | ||
0.94 | 0.98 | 0.84 | 0.96 | 0.99 | 0.97 | LDP | ||
0.89 | 0.83 | 0.84 | 0.88 | 0.84 | 0.84 | JPI | ||
0.96 | 0.96 | 0.96 | 0.88 | 0.95 | 0.97 | DFP | ||
0.93 | 0.98 | 0.99 | 0.84 | 0.95 | 0.98 | FFC | ||
0.92 | 0.98 | 0.97 | 0.84 | 0.97 | 0.98 | PSF | ||
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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 | ||
---|---|---|---|---|---|---|---|---|---|---|
FTF | 0.38 | 0.11 | (0.15) | 5.60 | 0.35 | 0.83 | 2.74 | |||
FRA | 0.38 | 0.17 | (0.05) | 3.07 | 0.00 | 0.98 | 2.82 | |||
LDP | 0.36 | 0.11 | (0.07) | 0.64 | 0.21 | 0.83 | 3.25 | |||
JPI | 0.45 | 0.09 | (0.22) | 7.50 | 0.27 | 1.06 | 3.03 | |||
DFP | 0.36 | 0.12 | (0.08) | 1.75 | 0.45 | 0.96 | 4.54 | |||
FFC | 0.40 | 0.08 | (0.07) | 0.40 | 0.36 | 0.94 | 3.59 | |||
PSF | 0.30 | 0.10 | (0.23) | 1.96 | 0.00 | 0.68 | 1.79 |