First Trust Correlations

SAUG Etf

24.37 0.10 0.41%

The current 90-days correlation between First Trust Exchange and Innovator ETFs Trust is 0.38 (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 poor diversification

The correlation between First Trust Exchange Traded and DJI is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding First Trust Exchange Traded 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 Exchange Traded. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in employment.

Moving together with First Etf

0.95	BUFR	First Trust Cboe	Pair Corr
0.95	BUFD	FT Cboe Vest	Pair Corr
0.95	PSEP	Innovator SP 500	Pair Corr
0.93	PJAN	Innovator SP 500	Pair Corr
0.94	PJUL	Innovator SP 500	Pair Corr
0.94	PAUG	Innovator Equity Power	Pair Corr
0.9	DNOV	FT Cboe Vest	Pair Corr
0.94	PMAY	Innovator SP 500	Pair Corr
0.94	PJUN	Innovator SP 500	Pair Corr
0.85	DSJA	DSJA	Pair Corr
0.85	RSPY	Tuttle Capital Management	Pair Corr
0.85	MEME	Roundhill Investments	Pair Corr
0.8	ITDD	iShares Trust	Pair Corr
0.91	BAC	Bank of America Aggressive Push	Pair Corr
0.73	HPQ	HP Inc	Pair Corr
0.86	WMT	Walmart Aggressive Push	Pair Corr
0.9	CVX	Chevron Corp Sell-off Trend	Pair Corr
0.86	JPM	JPMorgan Chase Sell-off Trend	Pair Corr
0.96	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr
0.74	T	ATT Inc Fiscal Year End 22nd of January 2025	Pair Corr

Moving against First Etf

0.8	JNJ	Johnson Johnson Sell-off Trend	Pair Corr
0.79	KO	Coca Cola Aggressive Push	Pair Corr
0.77	MRK	Merck Company Fiscal Year End 6th of February 2025	Pair Corr
0.73	PFE	Pfizer Inc Aggressive Push	Pair Corr
0.61	BA	Boeing Fiscal Year End 29th of January 2025	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.26	0.55	0.07	0.53	0.05	0.64	0.28	-0.53	0.73	META
MSFT	0.26		0.21	0.17	0.16	-0.01	0.03	-0.11	0.13	-0.2	MSFT
UBER	0.55	0.21		-0.06	-0.09	0.27	-0.03	-0.16	0.09	0.35	UBER
F	0.07	0.17	-0.06		0.28	-0.41	0.5	0.7	-0.37	0.32	F
T	0.53	0.16	-0.09	0.28		-0.5	0.81	0.64	-0.79	0.39	T
A	0.05	-0.01	0.27	-0.41	-0.5		-0.46	-0.6	0.63	0.0	A
CRM	0.64	0.03	-0.03	0.5	0.81	-0.46		0.86	-0.91	0.65	CRM
JPM	0.28	-0.11	-0.16	0.7	0.64	-0.6	0.86		-0.83	0.47	JPM
MRK	-0.53	0.13	0.09	-0.37	-0.79	0.63	-0.91	-0.83		-0.56	MRK
XOM	0.73	-0.2	0.35	0.32	0.39	0.0	0.65	0.47	-0.56		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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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

JPM	+ 0.86	CRM
CRM	+ 0.81	T
XOM	+ 0.73	META
JPM	+ 0.7	F
XOM	+ 0.65	CRM
CRM	+ 0.64	META

High negative correlations

MRK	- 0.91	CRM
MRK	- 0.83	JPM
MRK	- 0.79	T
JPM	- 0.6	A
XOM	- 0.56	MRK
MRK	- 0.53	META

First Trust Competition 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	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
META	1.07	0.07	0.02	0.23	1.41	(1.14)	2.62	(3.15)	8.02
MSFT	0.90	(0.04)	(0.05)	0.07	1.50	(0.86)	2.09	(1.85)	8.19
UBER	1.61	(0.11)	(0.04)	0.02	2.32	(1.70)	2.69	(2.53)	20.10
F	1.42	(0.15)	(0.04)	0.03	2.23	(1.39)	2.53	(2.90)	11.21
T	0.92	0.26	0.12	(7.83)	0.86	(1.06)	2.56	(1.72)	6.47
A	1.17	(0.09)	0.00	(0.06)	0.00	0.00	2.71	(2.42)	9.02
CRM	1.31	0.23	0.18	0.34	1.08	(1.53)	3.18	(1.91)	9.98
JPM	1.12	(0.04)	0.05	0.11	1.38	(1.23)	2.05	(2.00)	15.87
MRK	0.91	(0.24)	0.00	(0.86)	0.00	0.00	2.00	(2.13)	4.89
XOM	1.00	(0.03)	(0.07)	0.06	1.31	(1.04)	2.10	(2.09)	5.74

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