Correlation Between Short Duration and Altegris Futures
Can any of the company-specific risk be diversified away by investing in both Short Duration 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 Short Duration and Altegris Futures into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Short Duration Inflation and Altegris Futures Evolution, you can compare the effects of market volatilities on Short Duration 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 Short Duration with a short position of Altegris Futures. Check out your portfolio center. Please also check ongoing floating volatility patterns of Short Duration and Altegris Futures.
Diversification Opportunities for Short Duration and Altegris Futures
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Short and Altegris is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Short Duration 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 Short Duration 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 Short Duration 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 Short Duration i.e., Short Duration and Altegris Futures go up and down completely randomly.
Pair Corralation between Short Duration and Altegris Futures
Assuming the 90 days horizon Short Duration Inflation is expected to generate 0.18 times more return on investment than Altegris Futures. However, Short Duration Inflation is 5.66 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 -0.18 per unit of risk. If you would invest 1,032 in Short Duration Inflation on October 10, 2024 and sell it today you would lose (2.00) from holding Short Duration Inflation or give up 0.19% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Short Duration Inflation vs. Altegris Futures Evolution
Performance |
| Timeline |
| Short Duration Inflation |
| Altegris Futures Evo |
Short Duration and Altegris Futures Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Short Duration and Altegris Futures
The main advantage of trading using opposite Short Duration and Altegris Futures positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Short Duration 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.| Short Duration vs. Us Vector Equity | Short Duration vs. Artisan Select Equity | Short Duration vs. Smallcap World Fund | Short Duration vs. Doubleline Core Fixed |
| Altegris Futures vs. Rationalpier 88 Convertible | Altegris Futures vs. Lord Abbett Vertible | Altegris Futures vs. Gabelli Convertible And | Altegris Futures vs. Virtus Convertible |
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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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