Correlation Between Inflation-adjusted and Altegris Futures
Can any of the company-specific risk be diversified away by investing in both Inflation-adjusted and Altegris Futures at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Inflation-adjusted and Altegris Futures into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Inflation Adjusted Bond Fund and Altegris Futures Evolution, you can compare the effects of market volatilities on Inflation-adjusted and Altegris Futures and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Inflation-adjusted with a short position of Altegris Futures. Check out your portfolio center. Please also check ongoing floating volatility patterns of Inflation-adjusted and Altegris Futures.
Diversification Opportunities for Inflation-adjusted and Altegris Futures
-0.37 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Inflation-adjusted and Altegris is -0.37. Overlapping area represents the amount of risk that can be diversified away by holding Inflation Adjusted Bond Fund and Altegris Futures Evolution in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Altegris Futures Evo and Inflation-adjusted is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Inflation Adjusted Bond Fund are associated (or correlated) with Altegris Futures. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Altegris Futures Evo has no effect on the direction of Inflation-adjusted i.e., Inflation-adjusted and Altegris Futures go up and down completely randomly.
Pair Corralation between Inflation-adjusted and Altegris Futures
Assuming the 90 days horizon Inflation Adjusted Bond Fund is expected to under-perform the Altegris Futures. But the mutual fund apears to be less risky and, when comparing its historical volatility, Inflation Adjusted Bond Fund is 1.69 times less risky than Altegris Futures. The mutual fund trades about -0.13 of its potential returns per unit of risk. The Altegris Futures Evolution is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 651.00 in Altegris Futures Evolution on October 12, 2024 and sell it today you would earn a total of 12.00 from holding Altegris Futures Evolution or generate 1.84% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
Inflation Adjusted Bond Fund vs. Altegris Futures Evolution
Performance |
Timeline |
Inflation Adjusted Bond |
Altegris Futures Evo |
Inflation-adjusted and Altegris Futures Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Inflation-adjusted and Altegris Futures
The main advantage of trading using opposite Inflation-adjusted and Altegris Futures positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Inflation-adjusted position performs unexpectedly, Altegris Futures can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Altegris Futures will offset losses from the drop in Altegris Futures' long position.Inflation-adjusted vs. Touchstone Large Cap | Inflation-adjusted vs. Qs Large Cap | Inflation-adjusted vs. Transamerica Asset Allocation | Inflation-adjusted vs. Balanced Allocation Fund |
Altegris Futures vs. Qs Large Cap | Altegris Futures vs. Rbb Fund | Altegris Futures vs. Predex Funds | Altegris Futures vs. Rationalpier 88 Convertible |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.
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