Correlation Between Altegris Crabel and Altegris Futures
Can any of the company-specific risk be diversified away by investing in both Altegris Crabel 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 Altegris Crabel and Altegris Futures into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Altegris Crabel Multi Strategy and Altegris Futures Evolution, you can compare the effects of market volatilities on Altegris Crabel 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 Altegris Crabel with a short position of Altegris Futures. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Crabel and Altegris Futures.
Diversification Opportunities for Altegris Crabel and Altegris Futures
-0.41 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Altegris and Altegris is -0.41. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Crabel Multi Strategy 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 Altegris Crabel 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 Altegris Crabel Multi Strategy 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 Altegris Crabel i.e., Altegris Crabel and Altegris Futures go up and down completely randomly.
Pair Corralation between Altegris Crabel and Altegris Futures
Assuming the 90 days horizon Altegris Crabel Multi Strategy is expected to generate 0.92 times more return on investment than Altegris Futures. However, Altegris Crabel Multi Strategy is 1.09 times less risky than Altegris Futures. It trades about 0.04 of its potential returns per unit of risk. Altegris Futures Evolution is currently generating about -0.1 per unit of risk. If you would invest 949.00 in Altegris Crabel Multi Strategy on September 3, 2024 and sell it today you would earn a total of 11.00 from holding Altegris Crabel Multi Strategy or generate 1.16% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 75.0% |
| Values | Daily Returns |
Altegris Crabel Multi Strategy vs. Altegris Futures Evolution
Performance |
| Timeline |
| Altegris Crabel Multi |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Insignificant
| Altegris Futures Evo |
Altegris Crabel and Altegris Futures Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Altegris Crabel and Altegris Futures
The main advantage of trading using opposite Altegris Crabel and Altegris Futures positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altegris Crabel 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 Altegris Crabel Multi Strategy 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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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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
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