Altegris Futures Correlations

EVOIX Fund

USD 6.40 0.01 0.16%

The current 90-days correlation between Altegris Futures Evo and Eip Growth And is -0.09 (i.e., Good diversification). The correlation of Altegris Futures is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Altegris Futures Correlation With Market

Good diversification

The correlation between Altegris Futures Evolution and DJI is -0.05 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Altegris Futures Evolution. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in gross domestic product.

Moving together with Altegris Mutual Fund

0.86	RAAAX	Altegrisaaca Opportunistic	Pair Corr
0.86	RAAIX	Altegris/aaca Opportunistic	Pair Corr
1.0	EVOCX	Altegris Futures Evo	Pair Corr
1.0	EVOAX	Altegris Futures Evo	Pair Corr
0.89	PQTAX	Pimco Trends Managed	Pair Corr
0.89	PQTNX	Pimco Trends Managed	Pair Corr
0.94	AHLPX	American Beacon Ahl	Pair Corr
0.92	AMFNX	Asg Managed Futures	Pair Corr
0.91	ABYCX	Abbey Capital Futures	Pair Corr
0.9	ABYAX	Abbey Capital Futures	Pair Corr
0.89	ABYIX	Abbey Capital Futures	Pair Corr
0.92	AMFAX	Asg Managed Futures	Pair Corr
0.92	ASFYX	Asg Managed Futures	Pair Corr
0.77	GCAVX	Gmo Small Cap	Pair Corr
0.7	GMCQX	Gmo Equity Allocation	Pair Corr

Moving against Altegris Mutual Fund

0.93	GABFX	Gmo Asset Allocation	Pair Corr
0.91	GF	New Germany Closed	Pair Corr
0.87	GAAVX	Gmo Alternative Allo	Pair Corr
0.81	UTF	Cohen And Steers	Pair Corr
0.73	AQMRX	Aqr Managed Futures	Pair Corr
0.72	GHVIX	Gmo High Yield	Pair Corr
0.96	VSGDX	Vanguard Short Term	Pair Corr
0.93	USGDX	Morgan Stanley Government	Pair Corr
0.93	HRBDX	Harbor Bond Fund	Pair Corr
0.93	ABNOX	Ab Bond Inflation	Pair Corr
0.92	BISMX	Brandes International	Pair Corr
0.92	PSDNX	Putnam Ultra Short	Pair Corr
0.91	VICSX	Vanguard Intermediate-ter	Pair Corr
0.9	ARBOX	Absolute Convertible	Pair Corr
0.9	EPDPX	Europac International	Pair Corr
0.89	EMBAX	Unconstrained Emerging	Pair Corr
0.88	GIOIX	Guggenheim Macro Opp	Pair Corr
0.88	MEERX	Massmutual Premier	Pair Corr
0.84	RMDUX	American Funds Multi	Pair Corr
0.79	HTD	John Hancock Tax	Pair Corr
0.77	DLDFX	Destinations Low Duration	Pair Corr

Related Correlations Analysis

	EIPIX	GETFX	PIGDX	WPASX	GGRYX
EIPIX		0.49	0.64	0.0	0.63	EIPIX
GETFX	0.49		0.41	0.71	0.93	GETFX
PIGDX	0.64	0.41		-0.26	0.69	PIGDX
WPASX	0.0	0.71	-0.26		0.46	WPASX
GGRYX	0.63	0.93	0.69	0.46		GGRYX
	EIPIX	GETFX	PIGDX	WPASX	GGRYX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

GGRYX	+ 0.93	GETFX
WPASX	+ 0.71	GETFX
GGRYX	+ 0.69	PIGDX
PIGDX	+ 0.64	EIPIX
GGRYX	+ 0.63	EIPIX
GETFX	+ 0.49	EIPIX

High negative correlations

WPASX	- 0.26	PIGDX
WPASX	- 0.0	EIPIX

Risk-Adjusted Indicators

There is a big difference between Altegris Mutual Fund performing well and Altegris Futures Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Altegris Futures' multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
EIPIX	0.70	0.12	0.15	0.17	0.85	(0.72)	1.68	(1.63)	4.24
GETFX	0.55	0.03	0.00	(0.01)	0.00	0.00	1.04	(1.18)	3.31
PIGDX	0.83	0.09	0.08	0.06	1.14	(0.84)	1.84	(1.68)	7.09
WPASX	0.73	(0.05)	0.00	(0.11)	0.00	0.00	1.48	(1.52)	3.93
GGRYX	0.52	0.03	0.06	(0.01)	0.69	(0.52)	1.01	(1.15)	3.13

Trending Assets

PIGDX

Pnc International Growth

14.79 -0.3 -1.99

WPASX

Ab Centrated Growth

48.97 -1.01 -2.02

EIPIX

Eip Growth And

18.66 0.02 0.11

GETFX

Morningstar Growth Etf

12.37 -0.13 -1.04

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