Correlation Between Altegris Futures and Jhancock Multimanager
Can any of the company-specific risk be diversified away by investing in both Altegris Futures and Jhancock Multimanager 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 Jhancock Multimanager 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 Jhancock Multimanager 2065, you can compare the effects of market volatilities on Altegris Futures and Jhancock Multimanager 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 Jhancock Multimanager. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and Jhancock Multimanager.
Diversification Opportunities for Altegris Futures and Jhancock Multimanager
0.43 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Altegris and Jhancock is 0.43. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Jhancock Multimanager 2065 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jhancock Multimanager 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 Jhancock Multimanager. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jhancock Multimanager has no effect on the direction of Altegris Futures i.e., Altegris Futures and Jhancock Multimanager go up and down completely randomly.
Pair Corralation between Altegris Futures and Jhancock Multimanager
Assuming the 90 days horizon Altegris Futures Evolution is expected to under-perform the Jhancock Multimanager. But the mutual fund apears to be less risky and, when comparing its historical volatility, Altegris Futures Evolution is 1.98 times less risky than Jhancock Multimanager. The mutual fund trades about -0.12 of its potential returns per unit of risk. The Jhancock Multimanager 2065 is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest 1,342 in Jhancock Multimanager 2065 on December 23, 2024 and sell it today you would lose (41.00) from holding Jhancock Multimanager 2065 or give up 3.06% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Weak |
Accuracy | 100.0% |
Values | Daily Returns |
Altegris Futures Evolution vs. Jhancock Multimanager 2065
Performance |
Timeline |
Altegris Futures Evo |
Jhancock Multimanager |
Altegris Futures and Jhancock Multimanager Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Altegris Futures and Jhancock Multimanager
The main advantage of trading using opposite Altegris Futures and Jhancock Multimanager positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altegris Futures position performs unexpectedly, Jhancock Multimanager 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 Jhancock Multimanager will offset losses from the drop in Jhancock Multimanager's long position.Altegris Futures vs. Dreyfus Short Intermediate | Altegris Futures vs. Goldman Sachs Short | Altegris Futures vs. Federated Municipal Ultrashort | Altegris Futures vs. Cmg Ultra Short |
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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
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