Correlation Between Altegris Futures and American Funds
Can any of the company-specific risk be diversified away by investing in both Altegris Futures and American Funds 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 American Funds 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 American Funds 2020, you can compare the effects of market volatilities on Altegris Futures and American Funds 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 American Funds. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and American Funds.
Diversification Opportunities for Altegris Futures and American Funds
-0.36 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Altegris and American is -0.36. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and American Funds 2020 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on American Funds 2020 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 American Funds. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of American Funds 2020 has no effect on the direction of Altegris Futures i.e., Altegris Futures and American Funds go up and down completely randomly.
Pair Corralation between Altegris Futures and American Funds
Assuming the 90 days horizon Altegris Futures Evolution is expected to under-perform the American Funds. But the mutual fund apears to be less risky and, when comparing its historical volatility, Altegris Futures Evolution is 1.55 times less risky than American Funds. The mutual fund trades about -0.16 of its potential returns per unit of risk. The American Funds 2020 is currently generating about -0.06 of returns per unit of risk over similar time horizon. If you would invest 1,352 in American Funds 2020 on October 24, 2024 and sell it today you would lose (11.00) from holding American Funds 2020 or give up 0.81% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Altegris Futures Evolution vs. American Funds 2020
Performance |
| Timeline |
| Altegris Futures Evo |
| American Funds 2020 |
Altegris Futures and American Funds Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Altegris Futures and American Funds
The main advantage of trading using opposite Altegris Futures and American Funds positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altegris Futures position performs unexpectedly, American Funds 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 American Funds will offset losses from the drop in American Funds' long position.| Altegris Futures vs. Fidelity Advisor Financial | Altegris Futures vs. Prudential Financial Services | Altegris Futures vs. Davis Financial Fund | Altegris Futures vs. Financial Industries Fund |
| American Funds vs. Aqr Managed Futures | American Funds vs. Short Duration Inflation | American Funds vs. Great West Inflation Protected Securities | American Funds vs. Altegris Futures Evolution |
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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
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