Correlation Between Altegris Futures and Johcm International
Can any of the company-specific risk be diversified away by investing in both Altegris Futures and Johcm International 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 Johcm International 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 Johcm International Opportunities, you can compare the effects of market volatilities on Altegris Futures and Johcm International 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 Johcm International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and Johcm International.
Diversification Opportunities for Altegris Futures and Johcm International
-0.62 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Altegris and Johcm is -0.62. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Johcm International Opportunit in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Johcm International 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 Johcm International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Johcm International has no effect on the direction of Altegris Futures i.e., Altegris Futures and Johcm International go up and down completely randomly.
Pair Corralation between Altegris Futures and Johcm International
Assuming the 90 days horizon Altegris Futures Evolution is expected to under-perform the Johcm International. But the mutual fund apears to be less risky and, when comparing its historical volatility, Altegris Futures Evolution is 1.53 times less risky than Johcm International. The mutual fund trades about -0.02 of its potential returns per unit of risk. The Johcm International Opportunities is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 1,191 in Johcm International Opportunities on November 3, 2024 and sell it today you would earn a total of 26.00 from holding Johcm International Opportunities or generate 2.18% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Altegris Futures Evolution vs. Johcm International Opportunit
Performance |
| Timeline |
| Altegris Futures Evo |
| Johcm International |
Altegris Futures and Johcm International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Altegris Futures and Johcm International
The main advantage of trading using opposite Altegris Futures and Johcm International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altegris Futures position performs unexpectedly, Johcm International 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 Johcm International will offset losses from the drop in Johcm International'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 |
| Johcm International vs. Baron Health Care | Johcm International vs. Blackrock Health Sciences | Johcm International vs. The Gabelli Healthcare | Johcm International vs. Deutsche Health And |
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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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