Correlation Between Altegris Futures and Omni Small-cap
Can any of the company-specific risk be diversified away by investing in both Altegris Futures and Omni Small-cap 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 Omni Small-cap 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 Omni Small Cap Value, you can compare the effects of market volatilities on Altegris Futures and Omni Small-cap 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 Omni Small-cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and Omni Small-cap.
Diversification Opportunities for Altegris Futures and Omni Small-cap
-0.33 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Altegris and Omni is -0.33. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Omni Small Cap Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Omni Small Cap 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 Omni Small-cap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Omni Small Cap has no effect on the direction of Altegris Futures i.e., Altegris Futures and Omni Small-cap go up and down completely randomly.
Pair Corralation between Altegris Futures and Omni Small-cap
Assuming the 90 days horizon Altegris Futures Evolution is expected to generate 0.26 times more return on investment than Omni Small-cap. However, Altegris Futures Evolution is 3.79 times less risky than Omni Small-cap. It trades about 0.06 of its potential returns per unit of risk. Omni Small Cap Value is currently generating about -0.1 per unit of risk. If you would invest 651.00 in Altegris Futures Evolution on October 14, 2024 and sell it today you would earn a total of 10.00 from holding Altegris Futures Evolution or generate 1.54% 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. Omni Small Cap Value
Performance |
| Timeline |
| Altegris Futures Evo |
| Omni Small Cap |
Altegris Futures and Omni Small-cap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Altegris Futures and Omni Small-cap
The main advantage of trading using opposite Altegris Futures and Omni Small-cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altegris Futures position performs unexpectedly, Omni Small-cap 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 Omni Small-cap will offset losses from the drop in Omni Small-cap's long position.| Altegris Futures vs. Gmo High Yield | Altegris Futures vs. Msift High Yield | Altegris Futures vs. Lord Abbett Short | Altegris Futures vs. Siit High Yield |
| Omni Small-cap vs. Invesco Vertible Securities | Omni Small-cap vs. Allianzgi Convertible Income | Omni Small-cap vs. Lord Abbett Vertible | Omni Small-cap vs. Mainstay Vertible Fund |
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 Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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