Correlation Between Altegris Futures and Gnma Fund

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

Diversification Opportunities for Altegris Futures and Gnma Fund

-0.11

Correlation Coefficient

Altegris Futures  Gnma Fund

Good diversification

The 3 months correlation between Altegris and Gnma is -0.11. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Gnma Fund C in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gnma Fund C 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 Gnma Fund. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gnma Fund C has no effect on the direction of Altegris Futures i.e., Altegris Futures and Gnma Fund go up and down completely randomly.

Pair Corralation between Altegris Futures and Gnma Fund

Assuming the 90 days horizon Altegris Futures Evolution is expected to generate 1.22 times more return on investment than Gnma Fund. However, Altegris Futures is 1.22 times more volatile than Gnma Fund C. It trades about 0.04 of its potential returns per unit of risk. Gnma Fund C is currently generating about 0.01 per unit of risk. If you would invest  598.00  in Altegris Futures Evolution on October 26, 2024 and sell it today you would earn a total of  64.00  from holding Altegris Futures Evolution or generate 10.7% 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.  Gnma Fund C

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.

Gnma Fund C

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Gnma Fund C has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Gnma Fund 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 Gnma Fund

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

The idea behind Altegris Futures Evolution and Gnma Fund C 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 Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.