Correlation Between Altegris Futures and Glg Intl
Can any of the company-specific risk be diversified away by investing in both Altegris Futures and Glg Intl 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 Glg Intl 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 Glg Intl Small, you can compare the effects of market volatilities on Altegris Futures and Glg Intl 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 Glg Intl. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and Glg Intl.
Diversification Opportunities for Altegris Futures and Glg Intl
0.37 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Altegris and Glg is 0.37. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Glg Intl Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Glg Intl Small 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 Glg Intl. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Glg Intl Small has no effect on the direction of Altegris Futures i.e., Altegris Futures and Glg Intl go up and down completely randomly.
Pair Corralation between Altegris Futures and Glg Intl
Assuming the 90 days horizon Altegris Futures Evolution is expected to under-perform the Glg Intl. But the mutual fund apears to be less risky and, when comparing its historical volatility, Altegris Futures Evolution is 1.95 times less risky than Glg Intl. The mutual fund trades about -0.02 of its potential returns per unit of risk. The Glg Intl Small is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest 7,306 in Glg Intl Small on November 3, 2024 and sell it today you would earn a total of 1,605 from holding Glg Intl Small or generate 21.97% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Altegris Futures Evolution vs. Glg Intl Small
Performance |
| Timeline |
| Altegris Futures Evo |
| Glg Intl Small |
Altegris Futures and Glg Intl Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Altegris Futures and Glg Intl
The main advantage of trading using opposite Altegris Futures and Glg Intl positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altegris Futures position performs unexpectedly, Glg Intl 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 Glg Intl will offset losses from the drop in Glg Intl's long position.| Altegris Futures vs. Columbia Global Technology | Altegris Futures vs. Technology Ultrasector Profund | Altegris Futures vs. Pgim Jennison Technology | Altegris Futures vs. Icon Information Technology |
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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
Other Complementary Tools
| Crypto Correlations Use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins | |
| USA ETFs Find actively traded Exchange Traded Funds (ETF) in USA | |
| Global Markets Map Get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes | |
| Portfolio Manager State of the art Portfolio Manager to monitor and improve performance of your invested capital | |
| My Watchlist Analysis Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like |