Correlation Between GM and Altegris Futures
Can any of the company-specific risk be diversified away by investing in both GM and Altegris Futures 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 GM and Altegris Futures into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between General Motors and Altegris Futures Evolution, you can compare the effects of market volatilities on GM and Altegris Futures 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 GM with a short position of Altegris Futures. Check out your portfolio center. Please also check ongoing floating volatility patterns of GM and Altegris Futures.
Diversification Opportunities for GM and Altegris Futures
-0.61 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between GM and Altegris is -0.61. Overlapping area represents the amount of risk that can be diversified away by holding General Motors and Altegris Futures Evolution in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Altegris Futures Evo and GM 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 General Motors are associated (or correlated) with Altegris Futures. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Altegris Futures Evo has no effect on the direction of GM i.e., GM and Altegris Futures go up and down completely randomly.
Pair Corralation between GM and Altegris Futures
Allowing for the 90-day total investment horizon General Motors is expected to generate 5.33 times more return on investment than Altegris Futures. However, GM is 5.33 times more volatile than Altegris Futures Evolution. It trades about 0.14 of its potential returns per unit of risk. Altegris Futures Evolution is currently generating about -0.04 per unit of risk. If you would invest 5,180 in General Motors on September 3, 2024 and sell it today you would earn a total of 379.00 from holding General Motors or generate 7.32% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
General Motors vs. Altegris Futures Evolution
Performance |
| Timeline |
| General Motors |
| Altegris Futures Evo |
GM and Altegris Futures Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GM and Altegris Futures
The main advantage of trading using opposite GM and Altegris Futures positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GM position performs unexpectedly, Altegris Futures 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 Altegris Futures will offset losses from the drop in Altegris Futures' long position.The idea behind General Motors and Altegris Futures Evolution pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| Altegris Futures vs. Aqr Managed Futures | Altegris Futures vs. Pimco Trends Managed | Altegris Futures vs. Pimco Trends Managed | Altegris Futures vs. American Beacon Ahl |
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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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