Correlation Between Altegris Futures and Timothy Large/mid-cap

Can any of the company-specific risk be diversified away by investing in both Altegris Futures and Timothy Large/mid-cap 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 Timothy Large/mid-cap 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 Timothy Largemid Cap Value, you can compare the effects of market volatilities on Altegris Futures and Timothy Large/mid-cap 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 Timothy Large/mid-cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and Timothy Large/mid-cap.

Diversification Opportunities for Altegris Futures and Timothy Large/mid-cap

-0.67

Correlation Coefficient

Altegris Futures  Timothy Large/mid-cap

Excellent diversification

The 3 months correlation between Altegris and Timothy is -0.67. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Timothy Largemid Cap Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Timothy Large/mid-cap 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 Timothy Large/mid-cap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Timothy Large/mid-cap has no effect on the direction of Altegris Futures i.e., Altegris Futures and Timothy Large/mid-cap go up and down completely randomly.

Pair Corralation between Altegris Futures and Timothy Large/mid-cap

Assuming the 90 days horizon Altegris Futures Evolution is expected to generate 0.4 times more return on investment than Timothy Large/mid-cap. However, Altegris Futures Evolution is 2.51 times less risky than Timothy Large/mid-cap. It trades about -0.07 of its potential returns per unit of risk. Timothy Largemid Cap Value is currently generating about -0.05 per unit of risk. If you would invest  690.00  in Altegris Futures Evolution on October 25, 2024 and sell it today you would lose (31.00) from holding Altegris Futures Evolution or give up 4.49% of portfolio value over 90 days.

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

Altegris Futures Evolution  vs.  Timothy Largemid Cap Value

Altegris Futures Evo

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Altegris Futures Evolution are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. 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.

Timothy Large/mid-cap

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Timothy Largemid Cap Value has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's fundamental indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Altegris Futures and Timothy Large/mid-cap

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

The idea behind Altegris Futures Evolution and Timothy Largemid Cap Value 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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.