Correlation Between Altegris Futures and Altegris Crabel
Can any of the company-specific risk be diversified away by investing in both Altegris Futures and Altegris Crabel 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 Futures and Altegris Crabel into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Altegris Futures Evolution and Altegris Crabel Multi Strategy, you can compare the effects of market volatilities on Altegris Futures and Altegris Crabel 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 Futures with a short position of Altegris Crabel. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and Altegris Crabel.
Diversification Opportunities for Altegris Futures and Altegris Crabel
-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 Futures Evolution and Altegris Crabel Multi Strategy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Altegris Crabel Multi and Altegris Futures 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 Futures Evolution are associated (or correlated) with Altegris Crabel. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Altegris Crabel Multi has no effect on the direction of Altegris Futures i.e., Altegris Futures and Altegris Crabel go up and down completely randomly.
Pair Corralation between Altegris Futures and Altegris Crabel
Assuming the 90 days horizon Altegris Futures Evolution is expected to under-perform the Altegris Crabel. But the mutual fund apears to be less risky and, when comparing its historical volatility, Altegris Futures Evolution is 1.12 times less risky than Altegris Crabel. The mutual fund trades about -0.11 of its potential returns per unit of risk. The Altegris Crabel Multi Strategy is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 947.00 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 Futures Evolution vs. Altegris Crabel Multi Strategy
Performance |
| Timeline |
| Altegris Futures Evo |
| Altegris Crabel Multi |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Weak
Altegris Futures and Altegris Crabel Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Altegris Futures and Altegris Crabel
The main advantage of trading using opposite Altegris Futures and Altegris Crabel positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altegris Futures position performs unexpectedly, Altegris Crabel 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 Crabel will offset losses from the drop in Altegris Crabel's long position.| Altegris Futures vs. Aqr Managed Futures | Altegris Futures vs. Pimco Trends Managed | Altegris Futures vs. Pimco Trends Managed | Altegris Futures vs. American Beacon Ahl |
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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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