Correlation Between Timothy Large/mid-cap and Altegris Futures

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

By analyzing existing cross correlation between Timothy Largemid Cap Value and Altegris Futures Evolution, you can compare the effects of market volatilities on Timothy Large/mid-cap 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 Timothy Large/mid-cap with a short position of Altegris Futures. Check out your portfolio center. Please also check ongoing floating volatility patterns of Timothy Large/mid-cap and Altegris Futures.

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

0.72

Correlation Coefficient

Timothy Large/mid-cap  Altegris Futures

Poor diversification

The 3 months correlation between Timothy and Altegris is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Timothy Largemid Cap 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 Timothy Large/mid-cap 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 Timothy Largemid Cap 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 Timothy Large/mid-cap i.e., Timothy Large/mid-cap and Altegris Futures go up and down completely randomly.

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

Assuming the 90 days horizon Timothy Largemid Cap Value is expected to under-perform the Altegris Futures. In addition to that, Timothy Large/mid-cap is 2.66 times more volatile than Altegris Futures Evolution. It trades about -0.16 of its total potential returns per unit of risk. Altegris Futures Evolution is currently generating about -0.05 per unit of volatility. If you would invest  675.00  in Altegris Futures Evolution on October 10, 2024 and sell it today you would lose (13.00) from holding Altegris Futures Evolution or give up 1.93% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	98.39%
Values	Daily Returns

Timothy Largemid Cap Value  vs.  Altegris Futures Evolution

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 weak performance in the last few months, the Fund's fundamental indicators remain fairly strong which may send shares a bit higher in February 2025. The current disturbance may also be a sign of long term up-swing for the fund 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 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.

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

The main advantage of trading using opposite Timothy Large/mid-cap and Altegris Futures positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Timothy Large/mid-cap 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 Timothy Largemid Cap 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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.