Correlation Between Gabelli Value and Altegris Futures

Can any of the company-specific risk be diversified away by investing in both Gabelli Value and Altegris Futures 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 Gabelli Value and Altegris Futures into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between The Gabelli Value and Altegris Futures Evolution, you can compare the effects of market volatilities on Gabelli Value and Altegris Futures 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 Gabelli Value with a short position of Altegris Futures. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gabelli Value and Altegris Futures.

Diversification Opportunities for Gabelli Value and Altegris Futures

-0.62

Correlation Coefficient

Gabelli Value  Altegris Futures

Excellent diversification

The 3 months correlation between Gabelli and Altegris is -0.62. Overlapping area represents the amount of risk that can be diversified away by holding The Gabelli Value and Altegris Futures Evolution in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Altegris Futures Evo and Gabelli Value 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 The Gabelli Value are associated (or correlated) with Altegris Futures. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Altegris Futures Evo has no effect on the direction of Gabelli Value i.e., Gabelli Value and Altegris Futures go up and down completely randomly.

Pair Corralation between Gabelli Value and Altegris Futures

Assuming the 90 days horizon The Gabelli Value is expected to generate 1.17 times more return on investment than Altegris Futures. However, Gabelli Value is 1.17 times more volatile than Altegris Futures Evolution. It trades about 0.11 of its potential returns per unit of risk. Altegris Futures Evolution is currently generating about -0.13 per unit of risk. If you would invest  1,045  in The Gabelli Value on September 18, 2024 and sell it today you would earn a total of  50.00  from holding The Gabelli Value or generate 4.78% return on investment over 90 days.

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

The Gabelli Value  vs.  Altegris Futures Evolution

Gabelli Value

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in The Gabelli Value are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Gabelli Value is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

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 basic indicators, Altegris Futures is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Gabelli Value and Altegris Futures

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

The idea behind The Gabelli Value and Altegris Futures Evolution 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.