Correlation Between Ab Bond and Altegris Futures
Can any of the company-specific risk be diversified away by investing in both Ab Bond 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 Ab Bond and Altegris Futures into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ab Bond Inflation and Altegris Futures Evolution, you can compare the effects of market volatilities on Ab Bond 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 Ab Bond with a short position of Altegris Futures. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ab Bond and Altegris Futures.
Diversification Opportunities for Ab Bond and Altegris Futures
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between ABNYX and Altegris is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Ab Bond Inflation 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 Ab Bond 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 Ab Bond Inflation 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 Ab Bond i.e., Ab Bond and Altegris Futures go up and down completely randomly.
Pair Corralation between Ab Bond and Altegris Futures
Assuming the 90 days horizon Ab Bond Inflation is expected to generate 0.39 times more return on investment than Altegris Futures. However, Ab Bond Inflation is 2.57 times less risky than Altegris Futures. It trades about 0.07 of its potential returns per unit of risk. Altegris Futures Evolution is currently generating about -0.01 per unit of risk. If you would invest 1,000.00 in Ab Bond Inflation on September 20, 2024 and sell it today you would earn a total of 37.00 from holding Ab Bond Inflation or generate 3.7% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Ab Bond Inflation vs. Altegris Futures Evolution
Performance |
| Timeline |
| Ab Bond Inflation |
| Altegris Futures Evo |
Ab Bond and Altegris Futures Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ab Bond and Altegris Futures
The main advantage of trading using opposite Ab Bond and Altegris Futures positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ab Bond 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.| Ab Bond vs. Ab Global E | Ab Bond vs. Ab Global E | Ab Bond vs. Ab Global E | Ab Bond vs. Ab Minnesota Portfolio |
| Altegris Futures vs. 1919 Financial Services | Altegris Futures vs. Financials Ultrasector Profund | Altegris Futures vs. Vanguard Financials Index | Altegris Futures vs. Davis Financial Fund |
Check out your portfolio center.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 Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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