Altegris Futures Correlations

EVOAX Fund

USD 6.89 0.01 0.15%

The current 90-days correlation between Altegris Futures Evo and Altegrisaaca Opportunistic Real is 0.2 (i.e., Modest diversification). The correlation of Altegris Futures is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Altegris Futures Correlation With Market

Modest diversification

The correlation between Altegris Futures Evolution and DJI is 0.27 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Altegris Futures Evolution. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in nation.

Moving together with Altegris Mutual Fund

0.96	EVOIX	Altegris Futures Evo	Pair Corr
0.96	EVOCX	Altegris Futures Evo	Pair Corr
0.64	PQTAX	Pimco Trends Managed	Pair Corr
0.65	PQTNX	Pimco Trends Managed	Pair Corr
0.62	AHLPX	American Beacon Ahl	Pair Corr
0.8	AMFNX	Asg Managed Futures	Pair Corr
0.86	ABYCX	Abbey Capital Futures	Pair Corr
0.83	ABYAX	Abbey Capital Futures	Pair Corr
0.81	ABYIX	Abbey Capital Futures	Pair Corr
0.8	AMFAX	Asg Managed Futures	Pair Corr
0.81	ASFYX	Asg Managed Futures	Pair Corr

Moving against Altegris Mutual Fund

0.65	VSTSX	Vanguard Total Stock	Pair Corr
0.65	VSMPX	Vanguard Total Stock	Pair Corr
0.65	VITSX	Vanguard Total Stock	Pair Corr
0.65	VFFSX	Vanguard 500 Index	Pair Corr
0.65	VFIAX	Vanguard 500 Index	Pair Corr
0.65	VINIX	Vanguard Institutional	Pair Corr
0.89	GRFXX	Money Market Obligations	Pair Corr
0.7	CLM	Cornerstone Strategic	Pair Corr
0.69	FGRIX	Fidelity Growth Income	Pair Corr
0.67	AMGOX	Alger Mid Cap	Pair Corr
0.65	VTSAX	Vanguard Total Stock	Pair Corr
0.65	VFINX	Vanguard 500 Index	Pair Corr
0.65	FIVUX	First Investors Oppo	Pair Corr
0.64	FZROX	Fidelity Zero Total	Pair Corr
0.61	ELFNX	Elfun Trusts Elfun	Pair Corr
0.6	GVCAX	Gabelli Value	Pair Corr
0.6	FSUTX	Utilities Portfolio	Pair Corr
0.58	BTCVX	Cboe Vest Bitcoin	Pair Corr
0.5	FGB	First Trust Specialty	Pair Corr
0.5	ECDAX	Ashmore Emerging Markets	Pair Corr
0.49	AMECX	Income Fund	Pair Corr

Related Correlations Analysis

	RAAAX	RAACX	RAAIX	EVOIX	EVOCX	EVOAX
RAAAX		1.0	1.0	-0.13	-0.13	-0.09	RAAAX
RAACX	1.0		1.0	-0.11	-0.1	-0.06	RAACX
RAAIX	1.0	1.0		-0.14	-0.13	-0.09	RAAIX
EVOIX	-0.13	-0.11	-0.14		1.0	0.96	EVOIX
EVOCX	-0.13	-0.1	-0.13	1.0		0.96	EVOCX
EVOAX	-0.09	-0.06	-0.09	0.96	0.96		EVOAX
	RAAAX	RAACX	RAAIX	EVOIX	EVOCX	EVOAX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

RAACX	+ 1.0	RAAAX
RAAIX	+ 1.0	RAAAX
RAAIX	+ 1.0	RAACX
EVOCX	+ 1.0	EVOIX
EVOAX	+ 0.96	EVOIX
EVOAX	+ 0.96	EVOCX

High negative correlations

EVOIX	- 0.14	RAAIX
EVOCX	- 0.13	RAAIX
EVOCX	- 0.13	RAAAX
EVOIX	- 0.13	RAAAX
EVOIX	- 0.11	RAACX
EVOCX	- 0.1	RAACX

Risk-Adjusted Indicators

There is a big difference between Altegris Mutual Fund performing well and Altegris Futures Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Altegris Futures' multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
RAAAX	0.68	(0.03)	(0.07)	0.05	0.79	(0.79)	1.42	(1.10)	4.25
RAACX	0.68	(0.03)	(0.07)	0.05	0.81	(0.76)	1.47	(1.13)	4.23
RAAIX	0.68	(0.02)	(0.07)	0.05	0.82	(0.74)	1.40	(1.08)	4.33
EVOIX	0.47	(0.09)	0.00	(11.13)	0.00	0.00	0.74	(1.12)	2.76
EVOCX	0.45	(0.09)	0.00	(5.06)	0.00	0.00	0.74	(1.24)	2.74
EVOAX	0.45	(0.10)	0.00	(0.37)	0.00	0.00	0.83	(1.24)	2.88

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