Correlation Between Altegris Futures and Ishares Municipal
Can any of the company-specific risk be diversified away by investing in both Altegris Futures and Ishares Municipal 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 Ishares Municipal 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 Ishares Municipal Bond, you can compare the effects of market volatilities on Altegris Futures and Ishares Municipal 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 Ishares Municipal. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and Ishares Municipal.
Diversification Opportunities for Altegris Futures and Ishares Municipal
-0.04 | Correlation Coefficient |
Good diversification
The 3 months correlation between Altegris and Ishares is -0.04. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Ishares Municipal Bond in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ishares Municipal Bond 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 Ishares Municipal. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ishares Municipal Bond has no effect on the direction of Altegris Futures i.e., Altegris Futures and Ishares Municipal go up and down completely randomly.
Pair Corralation between Altegris Futures and Ishares Municipal
Assuming the 90 days horizon Altegris Futures Evolution is expected to generate 1.62 times more return on investment than Ishares Municipal. However, Altegris Futures is 1.62 times more volatile than Ishares Municipal Bond. It trades about 0.07 of its potential returns per unit of risk. Ishares Municipal Bond is currently generating about -0.1 per unit of risk. If you would invest 653.00 in Altegris Futures Evolution on October 26, 2024 and sell it today you would earn a total of 7.00 from holding Altegris Futures Evolution or generate 1.07% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Altegris Futures Evolution vs. Ishares Municipal Bond
Performance |
| Timeline |
| Altegris Futures Evo |
| Ishares Municipal Bond |
Altegris Futures and Ishares Municipal Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Altegris Futures and Ishares Municipal
The main advantage of trading using opposite Altegris Futures and Ishares Municipal positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altegris Futures position performs unexpectedly, Ishares Municipal 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 Ishares Municipal will offset losses from the drop in Ishares Municipal's long position.| Altegris Futures vs. Ab High Income | Altegris Futures vs. Mesirow Financial High | Altegris Futures vs. Msift High Yield | Altegris Futures vs. Virtus High Yield |
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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 Stocks Directory module to find actively traded stocks across global markets.
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