Correlation Between Altegris Futures and Equity Income
Can any of the company-specific risk be diversified away by investing in both Altegris Futures and Equity Income 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 Equity Income 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 Equity Income Fund, you can compare the effects of market volatilities on Altegris Futures and Equity Income 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 Equity Income. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and Equity Income.
Diversification Opportunities for Altegris Futures and Equity Income
-0.54 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Altegris and Equity is -0.54. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Equity Income Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Equity Income 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 Equity Income. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Equity Income has no effect on the direction of Altegris Futures i.e., Altegris Futures and Equity Income go up and down completely randomly.
Pair Corralation between Altegris Futures and Equity Income
Assuming the 90 days horizon Altegris Futures Evolution is expected to under-perform the Equity Income. But the mutual fund apears to be less risky and, when comparing its historical volatility, Altegris Futures Evolution is 1.38 times less risky than Equity Income. The mutual fund trades about -0.04 of its potential returns per unit of risk. The Equity Income Fund is currently generating about 0.32 of returns per unit of risk over similar time horizon. If you would invest 1,861 in Equity Income Fund on November 3, 2024 and sell it today you would earn a total of 89.00 from holding Equity Income Fund or generate 4.78% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Altegris Futures Evolution vs. Equity Income Fund
Performance |
| Timeline |
| Altegris Futures Evo |
| Equity Income |
Altegris Futures and Equity Income Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Altegris Futures and Equity Income
The main advantage of trading using opposite Altegris Futures and Equity Income positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altegris Futures position performs unexpectedly, Equity Income 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 Equity Income will offset losses from the drop in Equity Income's long position.| Altegris Futures vs. Ridgeworth Seix Government | Altegris Futures vs. Dws Government Money | Altegris Futures vs. Payden Government Fund | Altegris Futures vs. Dreyfus Government Cash |
| Equity Income vs. Tiaa Cref Inflation Link | Equity Income vs. Short Duration Inflation | Equity Income vs. Asg Managed Futures | Equity Income vs. Lord Abbett Inflation |
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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