Correlation Between Altegris Futures and Sp Midcap
Can any of the company-specific risk be diversified away by investing in both Altegris Futures and Sp Midcap 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 Sp Midcap 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 Sp Midcap Index, you can compare the effects of market volatilities on Altegris Futures and Sp Midcap 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 Sp Midcap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and Sp Midcap.
Diversification Opportunities for Altegris Futures and Sp Midcap
-0.7 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Altegris and SPMIX is -0.7. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Sp Midcap Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sp Midcap Index 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 Sp Midcap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sp Midcap Index has no effect on the direction of Altegris Futures i.e., Altegris Futures and Sp Midcap go up and down completely randomly.
Pair Corralation between Altegris Futures and Sp Midcap
Assuming the 90 days horizon Altegris Futures Evolution is expected to under-perform the Sp Midcap. But the mutual fund apears to be less risky and, when comparing its historical volatility, Altegris Futures Evolution is 1.6 times less risky than Sp Midcap. The mutual fund trades about -0.03 of its potential returns per unit of risk. The Sp Midcap Index is currently generating about 0.3 of returns per unit of risk over similar time horizon. If you would invest 2,560 in Sp Midcap Index on October 28, 2024 and sell it today you would earn a total of 113.00 from holding Sp Midcap Index or generate 4.41% 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. Sp Midcap Index
Performance |
| Timeline |
| Altegris Futures Evo |
| Sp Midcap Index |
Altegris Futures and Sp Midcap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Altegris Futures and Sp Midcap
The main advantage of trading using opposite Altegris Futures and Sp Midcap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altegris Futures position performs unexpectedly, Sp Midcap 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 Sp Midcap will offset losses from the drop in Sp Midcap's long position.| Altegris Futures vs. Hennessy Large Cap | Altegris Futures vs. Davis Financial Fund | Altegris Futures vs. Pimco Capital Sec | Altegris Futures vs. Vanguard Financials Index |
| Sp Midcap vs. Doubleline Core Fixed | Sp Midcap vs. Transamerica International Equity | Sp Midcap vs. Us Vector Equity | Sp Midcap vs. Calvert International Equity |
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 CEOs Directory module to screen CEOs from public companies around the world.
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