Some properties of exact ensemble density functionals can be determined by examining the particle number dependence of ground state ensemble density matrices for systems where the integer ground state energies satisfy a convexity condition. The results include the observation that the integral of the product of the functional derivative and Fukui function of functionals that can be expressed as the trace of an operator is particle number independent for particle numbers between successive integers and the integral itself is equal to the difference between functionals evaluated at successive integer particle numbers. Expressions that must be satisfied by 2nd and higher order functional derivatives are formulated and equations that must be satisfied point by point in space are derived. Using the analytic Hooke's atom model, it is shown that commonly used correlation functional approximations do not bear any resemblance to a spatially dependent expression derived from the exact second order functional derivative of the correlation functional. It is also shown that two expressions for the mutual Coulomb energy are not equal when approximate exchange and correlation functionals are used.
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