Correlation Between Altegris Futures and Neuberger Berman

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

Diversification Opportunities for Altegris Futures and Neuberger Berman

-0.35

Correlation Coefficient

Altegris Futures  Neuberger Berman

Very good diversification

The 3 months correlation between Altegris and Neuberger is -0.35. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Neuberger Berman Absolute in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Neuberger Berman Absolute 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 Neuberger Berman. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Neuberger Berman Absolute has no effect on the direction of Altegris Futures i.e., Altegris Futures and Neuberger Berman go up and down completely randomly.

Pair Corralation between Altegris Futures and Neuberger Berman

Assuming the 90 days horizon Altegris Futures is expected to generate 2.23 times less return on investment than Neuberger Berman. In addition to that, Altegris Futures is 2.22 times more volatile than Neuberger Berman Absolute. It trades about 0.07 of its total potential returns per unit of risk. Neuberger Berman Absolute is currently generating about 0.34 per unit of volatility. If you would invest  1,184  in Neuberger Berman Absolute on September 16, 2024 and sell it today you would earn a total of  16.00  from holding Neuberger Berman Absolute or generate 1.35% return on investment over 90 days.

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

Altegris Futures Evolution  vs.  Neuberger Berman Absolute

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.

Neuberger Berman Absolute

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Neuberger Berman Absolute are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Neuberger Berman 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 Neuberger Berman

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

The idea behind Altegris Futures Evolution and Neuberger Berman Absolute 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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.