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 Small, 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

0.87

Correlation Coefficient

Altegris Futures  Neuberger Berman

Very poor diversification

The 3 months correlation between Altegris and Neuberger is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Neuberger Berman Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Neuberger Berman Small 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 Small 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 Evolution is expected to generate 0.3 times more return on investment than Neuberger Berman. However, Altegris Futures Evolution is 3.29 times less risky than Neuberger Berman. It trades about -0.09 of its potential returns per unit of risk. Neuberger Berman Small is currently generating about -0.14 per unit of risk. If you would invest  657.00  in Altegris Futures Evolution on December 28, 2024 and sell it today you would lose (17.00) from holding Altegris Futures Evolution or give up 2.59% of portfolio value over 90 days.

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

Altegris Futures Evolution  vs.  Neuberger Berman Small

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.

Neuberger Berman Small

Risk-Adjusted Performance

Very Weak

Over the last 90 days Neuberger Berman Small has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's basic indicators remain fairly strong which may send shares a bit higher in April 2025. The current disturbance may also be a sign of long term up-swing for the fund 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 Small 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 Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.