Correlation Between Altegris Futures and Invesco Discovery

Can any of the company-specific risk be diversified away by investing in both Altegris Futures and Invesco Discovery 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 Altegris Futures and Invesco Discovery into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Altegris Futures Evolution and Invesco Discovery, you can compare the effects of market volatilities on Altegris Futures and Invesco Discovery 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 Altegris Futures with a short position of Invesco Discovery. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and Invesco Discovery.

Diversification Opportunities for Altegris Futures and Invesco Discovery

0.33

Correlation Coefficient

Altegris Futures  Invesco Discovery

Weak diversification

The 3 months correlation between Altegris and Invesco is 0.33. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Invesco Discovery in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco Discovery and Altegris Futures 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 Altegris Futures Evolution are associated (or correlated) with Invesco Discovery. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco Discovery has no effect on the direction of Altegris Futures i.e., Altegris Futures and Invesco Discovery go up and down completely randomly.

Pair Corralation between Altegris Futures and Invesco Discovery

Assuming the 90 days horizon Altegris Futures is expected to generate 5.16 times less return on investment than Invesco Discovery. But when comparing it to its historical volatility, Altegris Futures Evolution is 2.31 times less risky than Invesco Discovery. It trades about 0.02 of its potential returns per unit of risk. Invesco Discovery is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest  7,521  in Invesco Discovery on October 11, 2024 and sell it today you would earn a total of  2,493  from holding Invesco Discovery or generate 33.15% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

Altegris Futures Evolution  vs.  Invesco Discovery

Altegris Futures Evo

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Altegris Futures Evolution has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong forward indicators, Altegris Futures is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Invesco Discovery

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Invesco Discovery has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong technical and fundamental indicators, Invesco Discovery is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Altegris Futures and Invesco Discovery

The main advantage of trading using opposite Altegris Futures and Invesco Discovery positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altegris Futures position performs unexpectedly, Invesco Discovery 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 Invesco Discovery will offset losses from the drop in Invesco Discovery's long position.

The idea behind Altegris Futures Evolution and Invesco Discovery pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.