Correlation Between Altegris Futures and Inflation-protected
Can any of the company-specific risk be diversified away by investing in both Altegris Futures and Inflation-protected 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 Inflation-protected 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 Inflation Protected Bond Fund, you can compare the effects of market volatilities on Altegris Futures and Inflation-protected 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 Inflation-protected. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and Inflation-protected.
Diversification Opportunities for Altegris Futures and Inflation-protected
-0.09 | Correlation Coefficient |
Good diversification
The 3 months correlation between Altegris and Inflation-protected is -0.09. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Inflation Protected Bond Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Inflation Protected 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 Inflation-protected. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Inflation Protected has no effect on the direction of Altegris Futures i.e., Altegris Futures and Inflation-protected go up and down completely randomly.
Pair Corralation between Altegris Futures and Inflation-protected
Assuming the 90 days horizon Altegris Futures Evolution is expected to under-perform the Inflation-protected. In addition to that, Altegris Futures is 1.07 times more volatile than Inflation Protected Bond Fund. It trades about -0.07 of its total potential returns per unit of risk. Inflation Protected Bond Fund is currently generating about 0.07 per unit of volatility. If you would invest 991.00 in Inflation Protected Bond Fund on October 25, 2024 and sell it today you would earn a total of 41.00 from holding Inflation Protected Bond Fund or generate 4.14% 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. Inflation Protected Bond Fund
Performance |
| Timeline |
| Altegris Futures Evo |
| Inflation Protected |
Altegris Futures and Inflation-protected Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Altegris Futures and Inflation-protected
The main advantage of trading using opposite Altegris Futures and Inflation-protected positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altegris Futures position performs unexpectedly, Inflation-protected 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 Inflation-protected will offset losses from the drop in Inflation-protected's long position.| Altegris Futures vs. Transamerica High Yield | Altegris Futures vs. Tiaa Cref High Yield Fund | Altegris Futures vs. Pace High Yield | Altegris Futures vs. Prudential High Yield |
| Inflation-protected vs. Putnman Retirement Ready | Inflation-protected vs. Hartford Moderate Allocation | Inflation-protected vs. Jp Morgan Smartretirement | Inflation-protected vs. American Funds Retirement |
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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.
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