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 Stock, 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

0.37

Correlation Coefficient

Altegris Futures  Vanguard Total

Weak diversification

The 3 months correlation between Altegris and Vanguard is 0.37. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Vanguard Total Stock in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Total Stock 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 Stock 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. But the mutual fund apears to be less risky and, when comparing its historical volatility, Altegris Futures Evolution is 2.22 times less risky than Vanguard Total. The mutual fund trades about -0.08 of its potential returns per unit of risk. The Vanguard Total Stock is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest  14,065  in Vanguard Total Stock on October 20, 2024 and sell it today you would earn a total of  217.00  from holding Vanguard Total Stock or generate 1.54% return on investment over 90 days.

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

Altegris Futures Evolution  vs.  Vanguard Total Stock

Altegris Futures Evo

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Altegris Futures Evolution are ranked lower than 1 (%) 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.

Vanguard Total Stock

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard Total Stock are ranked lower than 3 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong primary indicators, 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 Stock 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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.