Correlation Between Altegris Futures and Vanguard Total

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

Diversification Opportunities for Altegris Futures and Vanguard Total

0.25

Correlation Coefficient

Altegris Futures  Vanguard Total

Modest diversification

The 3 months correlation between Altegris and Vanguard is 0.25. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Vanguard Total International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Total Inter 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 Vanguard Total. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Total Inter has no effect on the direction of Altegris Futures i.e., Altegris Futures and Vanguard Total go up and down completely randomly.

Pair Corralation between Altegris Futures and Vanguard Total

Assuming the 90 days horizon Altegris Futures Evolution is expected to under-perform the Vanguard Total. In addition to that, Altegris Futures is 2.2 times more volatile than Vanguard Total International. It trades about -0.06 of its total potential returns per unit of risk. Vanguard Total International is currently generating about -0.11 per unit of volatility. If you would invest  982.00  in Vanguard Total International on October 27, 2024 and sell it today you would lose (5.00) from holding Vanguard Total International or give up 0.51% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	95.0%
Values	Daily Returns

Altegris Futures Evolution  vs.  Vanguard Total International

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.

Vanguard Total Inter

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Vanguard Total International has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong fundamental drivers, Vanguard Total 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 Vanguard Total

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

The idea behind Altegris Futures Evolution and Vanguard Total International 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 Commodity Directory module to find actively traded commodities issued by global exchanges.