Correlation Between Altegris Futures and Massmutual Premier

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

Diversification Opportunities for Altegris Futures and Massmutual Premier

-0.9

Correlation Coefficient

Altegris Futures  Massmutual Premier

Pay attention - limited upside

The 3 months correlation between Altegris and Massmutual is -0.9. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Massmutual Premier Diversified in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Massmutual Premier 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 Massmutual Premier. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Massmutual Premier has no effect on the direction of Altegris Futures i.e., Altegris Futures and Massmutual Premier go up and down completely randomly.

Pair Corralation between Altegris Futures and Massmutual Premier

Assuming the 90 days horizon Altegris Futures Evolution is expected to under-perform the Massmutual Premier. In addition to that, Altegris Futures is 1.58 times more volatile than Massmutual Premier Diversified. It trades about -0.12 of its total potential returns per unit of risk. Massmutual Premier Diversified is currently generating about 0.17 per unit of volatility. If you would invest  801.00  in Massmutual Premier Diversified on December 23, 2024 and sell it today you would earn a total of  25.00  from holding Massmutual Premier Diversified or generate 3.12% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Altegris Futures Evolution  vs.  Massmutual Premier Diversified

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.

Massmutual Premier

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Massmutual Premier Diversified are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Massmutual Premier 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 Massmutual Premier

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

The idea behind Altegris Futures Evolution and Massmutual Premier Diversified 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.