Correlation Between Vanguard Total and Altegris Futures

Can any of the company-specific risk be diversified away by investing in both Vanguard Total 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 Vanguard Total and Altegris Futures into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Vanguard Total Stock and Altegris Futures Evolution, you can compare the effects of market volatilities on Vanguard Total 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 Vanguard Total with a short position of Altegris Futures. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Total and Altegris Futures.

Diversification Opportunities for Vanguard Total and Altegris Futures

-0.65

Correlation Coefficient

Vanguard Total  Altegris Futures

Excellent diversification

The 3 months correlation between Vanguard and Altegris is -0.65. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Total Stock 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 Vanguard Total 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 Vanguard Total Stock 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 Vanguard Total i.e., Vanguard Total and Altegris Futures go up and down completely randomly.

Pair Corralation between Vanguard Total and Altegris Futures

Assuming the 90 days horizon Vanguard Total Stock is expected to generate 1.14 times more return on investment than Altegris Futures. However, Vanguard Total is 1.14 times more volatile than Altegris Futures Evolution. It trades about 0.18 of its potential returns per unit of risk. Altegris Futures Evolution is currently generating about -0.15 per unit of risk. If you would invest  13,477  in Vanguard Total Stock on September 16, 2024 and sell it today you would earn a total of  1,120  from holding Vanguard Total Stock or generate 8.31% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	100.0%
Values	Daily Returns

Vanguard Total Stock  vs.  Altegris Futures Evolution

Vanguard Total Stock

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard Total Stock are ranked lower than 14 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Vanguard Total may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Altegris Futures Evo

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Altegris Futures Evolution has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Altegris Futures is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Vanguard Total and Altegris Futures

The main advantage of trading using opposite Vanguard Total and Altegris Futures positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Total 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 Vanguard Total Stock 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.

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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.