Correlation Between Altegris Futures and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Altegris Futures and Loomis Sayles 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 Loomis Sayles 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 Loomis Sayles Inflation, you can compare the effects of market volatilities on Altegris Futures and Loomis Sayles 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 Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and Loomis Sayles.
Diversification Opportunities for Altegris Futures and Loomis Sayles
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Altegris and Loomis is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Loomis Sayles Inflation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles 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 Loomis Sayles. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Loomis Sayles Inflation has no effect on the direction of Altegris Futures i.e., Altegris Futures and Loomis Sayles go up and down completely randomly.
Pair Corralation between Altegris Futures and Loomis Sayles
Assuming the 90 days horizon Altegris Futures Evolution is expected to under-perform the Loomis Sayles. In addition to that, Altegris Futures is 2.46 times more volatile than Loomis Sayles Inflation. It trades about -0.02 of its total potential returns per unit of risk. Loomis Sayles Inflation is currently generating about 0.2 per unit of volatility. If you would invest 959.00 in Loomis Sayles Inflation on September 13, 2024 and sell it today you would earn a total of 9.00 from holding Loomis Sayles Inflation or generate 0.94% 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. Loomis Sayles Inflation
Performance |
| Timeline |
| Altegris Futures Evo |
| Loomis Sayles Inflation |
Altegris Futures and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Altegris Futures and Loomis Sayles
The main advantage of trading using opposite Altegris Futures and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altegris Futures position performs unexpectedly, Loomis Sayles 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 Loomis Sayles will offset losses from the drop in Loomis Sayles' long position.| Altegris Futures vs. T Rowe Price | Altegris Futures vs. T Rowe Price | Altegris Futures vs. Ab Small Cap | Altegris Futures vs. L Abbett Fundamental |
| Loomis Sayles vs. Smallcap Growth Fund | Loomis Sayles vs. Df Dent Small | Loomis Sayles vs. Lebenthal Lisanti Small | Loomis Sayles vs. Scout Small Cap |
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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