Correlation Between Altegris Futures and Smallcap Fund
Can any of the company-specific risk be diversified away by investing in both Altegris Futures and Smallcap Fund 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 Smallcap Fund 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 Smallcap Fund Fka, you can compare the effects of market volatilities on Altegris Futures and Smallcap Fund 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 Smallcap Fund. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and Smallcap Fund.
Diversification Opportunities for Altegris Futures and Smallcap Fund
-0.45 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Altegris and Smallcap is -0.45. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Smallcap Fund Fka in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Smallcap Fund Fka 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 Smallcap Fund. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Smallcap Fund Fka has no effect on the direction of Altegris Futures i.e., Altegris Futures and Smallcap Fund go up and down completely randomly.
Pair Corralation between Altegris Futures and Smallcap Fund
Assuming the 90 days horizon Altegris Futures Evolution is expected to under-perform the Smallcap Fund. But the mutual fund apears to be less risky and, when comparing its historical volatility, Altegris Futures Evolution is 2.02 times less risky than Smallcap Fund. The mutual fund trades about -0.04 of its potential returns per unit of risk. The Smallcap Fund Fka is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest 2,573 in Smallcap Fund Fka on November 4, 2024 and sell it today you would earn a total of 75.00 from holding Smallcap Fund Fka or generate 2.91% 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. Smallcap Fund Fka
Performance |
| Timeline |
| Altegris Futures Evo |
| Smallcap Fund Fka |
Altegris Futures and Smallcap Fund Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Altegris Futures and Smallcap Fund
The main advantage of trading using opposite Altegris Futures and Smallcap Fund positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altegris Futures position performs unexpectedly, Smallcap Fund 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 Smallcap Fund will offset losses from the drop in Smallcap Fund's long position.| Altegris Futures vs. Rreef Property Trust | Altegris Futures vs. Tiaa Cref Real Estate | Altegris Futures vs. Baron Real Estate | Altegris Futures vs. Forum Real Estate |
| Smallcap Fund vs. Virtus Convertible | Smallcap Fund vs. Advent Claymore Convertible | Smallcap Fund vs. Absolute Convertible Arbitrage | Smallcap Fund vs. Rationalpier 88 Convertible |
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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
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