Correlation Between Altegris Futures and Catalyst/millburn

Can any of the company-specific risk be diversified away by investing in both Altegris Futures and Catalyst/millburn 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 Catalyst/millburn 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 Catalystmillburn Hedge Strategy, you can compare the effects of market volatilities on Altegris Futures and Catalyst/millburn 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 Catalyst/millburn. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and Catalyst/millburn.

Diversification Opportunities for Altegris Futures and Catalyst/millburn

0.33

Correlation Coefficient

Altegris Futures  Catalyst/millburn

Weak diversification

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

Pair Corralation between Altegris Futures and Catalyst/millburn

Assuming the 90 days horizon Altegris Futures Evolution is expected to under-perform the Catalyst/millburn. But the mutual fund apears to be less risky and, when comparing its historical volatility, Altegris Futures Evolution is 1.19 times less risky than Catalyst/millburn. The mutual fund trades about -0.09 of its potential returns per unit of risk. The Catalystmillburn Hedge Strategy is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest  3,812  in Catalystmillburn Hedge Strategy on December 5, 2024 and sell it today you would earn a total of  17.00  from holding Catalystmillburn Hedge Strategy or generate 0.45% 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.  Catalystmillburn Hedge Strateg

Altegris Futures Evo

Risk-Adjusted Performance

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.

Catalystmillburn Hedge

Risk-Adjusted Performance

Very Weak

Over the last 90 days Catalystmillburn Hedge Strategy has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong forward indicators, Catalyst/millburn 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 Catalyst/millburn

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

The idea behind Altegris Futures Evolution and Catalystmillburn Hedge Strategy 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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.