Correlation Between Altegris Futures and Goldman Sachs
Can any of the company-specific risk be diversified away by investing in both Altegris Futures and Goldman Sachs 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 Goldman Sachs 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 Goldman Sachs Inflation, you can compare the effects of market volatilities on Altegris Futures and Goldman Sachs 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 Goldman Sachs. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and Goldman Sachs.
Diversification Opportunities for Altegris Futures and Goldman Sachs
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Altegris and Goldman is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Goldman Sachs Inflation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Goldman Sachs Inflation 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 Goldman Sachs. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Goldman Sachs Inflation has no effect on the direction of Altegris Futures i.e., Altegris Futures and Goldman Sachs go up and down completely randomly.
Pair Corralation between Altegris Futures and Goldman Sachs
Assuming the 90 days horizon Altegris Futures Evolution is expected to under-perform the Goldman Sachs. In addition to that, Altegris Futures is 1.9 times more volatile than Goldman Sachs Inflation. It trades about -0.01 of its total potential returns per unit of risk. Goldman Sachs Inflation is currently generating about 0.04 per unit of volatility. If you would invest 927.00 in Goldman Sachs Inflation on September 20, 2024 and sell it today you would earn a total of 24.00 from holding Goldman Sachs Inflation or generate 2.59% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Altegris Futures Evolution vs. Goldman Sachs Inflation
Performance |
| Timeline |
| Altegris Futures Evo |
| Goldman Sachs Inflation |
Altegris Futures and Goldman Sachs Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Altegris Futures and Goldman Sachs
The main advantage of trading using opposite Altegris Futures and Goldman Sachs positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altegris Futures position performs unexpectedly, Goldman Sachs 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 Goldman Sachs will offset losses from the drop in Goldman Sachs' long position.| Altegris Futures vs. 1919 Financial Services | Altegris Futures vs. Financials Ultrasector Profund | Altegris Futures vs. Vanguard Financials Index | Altegris Futures vs. Davis Financial Fund |
| Goldman Sachs vs. Icon Natural Resources | Goldman Sachs vs. Hennessy Bp Energy | Goldman Sachs vs. Firsthand Alternative Energy | Goldman Sachs vs. Franklin Natural Resources |
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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
Other Complementary Tools
| Watchlist Optimization Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm | |
| Sectors List of equity sectors categorizing publicly traded companies based on their primary business activities | |
| Alpha Finder Use alpha and beta coefficients to find investment opportunities after accounting for the risk | |
| Headlines Timeline Stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity | |
| ETF Categories List of ETF categories grouped based on various criteria, such as the investment strategy or type of investments |