Correlation Between Altegris Futures and Pimco Trends
Can any of the company-specific risk be diversified away by investing in both Altegris Futures and Pimco Trends 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 Pimco Trends 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 Pimco Trends Managed, you can compare the effects of market volatilities on Altegris Futures and Pimco Trends 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 Pimco Trends. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and Pimco Trends.
Diversification Opportunities for Altegris Futures and Pimco Trends
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Altegris and Pimco is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Pimco Trends Managed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pimco Trends Managed 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 Pimco Trends. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pimco Trends Managed has no effect on the direction of Altegris Futures i.e., Altegris Futures and Pimco Trends go up and down completely randomly.
Pair Corralation between Altegris Futures and Pimco Trends
Assuming the 90 days horizon Altegris Futures Evolution is expected to generate 0.96 times more return on investment than Pimco Trends. However, Altegris Futures Evolution is 1.04 times less risky than Pimco Trends. It trades about 0.02 of its potential returns per unit of risk. Pimco Trends Managed is currently generating about -0.04 per unit of risk. If you would invest 647.00 in Altegris Futures Evolution on September 4, 2024 and sell it today you would earn a total of 38.00 from holding Altegris Futures Evolution or generate 5.87% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.8% |
| Values | Daily Returns |
Altegris Futures Evolution vs. Pimco Trends Managed
Performance |
| Timeline |
| Altegris Futures Evo |
| Pimco Trends Managed |
Altegris Futures and Pimco Trends Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Altegris Futures and Pimco Trends
The main advantage of trading using opposite Altegris Futures and Pimco Trends positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altegris Futures position performs unexpectedly, Pimco Trends 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 Pimco Trends will offset losses from the drop in Pimco Trends' long position.| Altegris Futures vs. Sarofim Equity | Altegris Futures vs. Nationwide Global Equity | Altegris Futures vs. Balanced Fund Retail | Altegris Futures vs. Multimedia Portfolio Multimedia |
| Pimco Trends vs. Asg Managed Futures | Pimco Trends vs. Asg Managed Futures | Pimco Trends vs. Aqr Managed Futures | Pimco Trends vs. iMGP DBi Managed |
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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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