Correlation Between Alliancebernstein and Altegris Futures
Can any of the company-specific risk be diversified away by investing in both Alliancebernstein 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 Alliancebernstein and Altegris Futures into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Alliancebernstein Global Highome and Altegris Futures Evolution, you can compare the effects of market volatilities on Alliancebernstein 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 Alliancebernstein with a short position of Altegris Futures. Check out your portfolio center. Please also check ongoing floating volatility patterns of Alliancebernstein and Altegris Futures.
Diversification Opportunities for Alliancebernstein and Altegris Futures
-0.2 | Correlation Coefficient |
Good diversification
The 3 months correlation between Alliancebernstein and Altegris is -0.2. Overlapping area represents the amount of risk that can be diversified away by holding Alliancebernstein Global Higho 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 Alliancebernstein 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 Alliancebernstein Global Highome 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 Alliancebernstein i.e., Alliancebernstein and Altegris Futures go up and down completely randomly.
Pair Corralation between Alliancebernstein and Altegris Futures
Assuming the 90 days horizon Alliancebernstein is expected to generate 2.16 times less return on investment than Altegris Futures. But when comparing it to its historical volatility, Alliancebernstein Global Highome is 1.85 times less risky than Altegris Futures. It trades about 0.04 of its potential returns per unit of risk. Altegris Futures Evolution is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 598.00 in Altegris Futures Evolution on October 28, 2024 and sell it today you would earn a total of 64.00 from holding Altegris Futures Evolution or generate 10.7% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Alliancebernstein Global Higho vs. Altegris Futures Evolution
Performance |
| Timeline |
| Alliancebernstein |
| Altegris Futures Evo |
Alliancebernstein and Altegris Futures Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Alliancebernstein and Altegris Futures
The main advantage of trading using opposite Alliancebernstein and Altegris Futures positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Alliancebernstein 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.| Alliancebernstein vs. Vanguard Total Stock | Alliancebernstein vs. Vanguard 500 Index | Alliancebernstein vs. Vanguard Total Stock | Alliancebernstein vs. Vanguard Total Stock |
| Altegris Futures vs. Hennessy Large Cap | Altegris Futures vs. Davis Financial Fund | Altegris Futures vs. Pimco Capital Sec | Altegris Futures vs. Vanguard Financials Index |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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