Correlation Between Altegris Futures and City National
Can any of the company-specific risk be diversified away by investing in both Altegris Futures and City National 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 City National 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 City National Rochdale, you can compare the effects of market volatilities on Altegris Futures and City National 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 City National. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and City National.
Diversification Opportunities for Altegris Futures and City National
-0.67 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Altegris and City is -0.67. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and City National Rochdale in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on City National Rochdale 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 City National. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of City National Rochdale has no effect on the direction of Altegris Futures i.e., Altegris Futures and City National go up and down completely randomly.
Pair Corralation between Altegris Futures and City National
Assuming the 90 days horizon Altegris Futures is expected to generate 2.25 times less return on investment than City National. In addition to that, Altegris Futures is 3.73 times more volatile than City National Rochdale. It trades about 0.03 of its total potential returns per unit of risk. City National Rochdale is currently generating about 0.25 per unit of volatility. If you would invest 1,657 in City National Rochdale on September 19, 2024 and sell it today you would earn a total of 325.00 from holding City National Rochdale or generate 19.61% 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. City National Rochdale
Performance |
| Timeline |
| Altegris Futures Evo |
| City National Rochdale |
Altegris Futures and City National Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Altegris Futures and City National
The main advantage of trading using opposite Altegris Futures and City National positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altegris Futures position performs unexpectedly, City National 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 City National will offset losses from the drop in City National's long position.| Altegris Futures vs. Great West Loomis Sayles | Altegris Futures vs. Victory Rs Partners | Altegris Futures vs. Lord Abbett Small | Altegris Futures vs. Royce Opportunity Fund |
| City National vs. American Funds Inflation | City National vs. Altegris Futures Evolution | City National vs. Deutsche Global Inflation | City National vs. Guidepath Managed Futures |
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 Commodity Directory module to find actively traded commodities issued by global exchanges.
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