Correlation Between Aqr Managed and Altegris Futures

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

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

Diversification Opportunities for Aqr Managed and Altegris Futures

0.98

Correlation Coefficient

Aqr Managed  Altegris Futures

Almost no diversification

The 3 months correlation between Aqr and Altegris is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding Aqr Managed Futures 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 Aqr Managed 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 Aqr Managed Futures 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 Aqr Managed i.e., Aqr Managed and Altegris Futures go up and down completely randomly.

Pair Corralation between Aqr Managed and Altegris Futures

Assuming the 90 days horizon Aqr Managed Futures is expected to generate 1.48 times more return on investment than Altegris Futures. However, Aqr Managed is 1.48 times more volatile than Altegris Futures Evolution. It trades about 0.05 of its potential returns per unit of risk. Altegris Futures Evolution is currently generating about 0.03 per unit of risk. If you would invest  759.00  in Aqr Managed Futures on February 4, 2024 and sell it today you would earn a total of  141.00  from holding Aqr Managed Futures or generate 18.58% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	100.0%
Values	Daily Returns

Aqr Managed Futures  vs.  Altegris Futures Evolution

Aqr Managed Futures

Risk-Adjusted Performance

14 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Aqr Managed Futures are ranked lower than 14 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Aqr Managed may actually be approaching a critical reversion point that can send shares even higher in June 2024.

Altegris Futures Evo

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Altegris Futures Evolution are ranked lower than 14 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Altegris Futures may actually be approaching a critical reversion point that can send shares even higher in June 2024.

Pair Trading with Aqr Managed and Altegris Futures

The main advantage of trading using opposite Aqr Managed and Altegris Futures positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aqr Managed 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 Aqr Managed Futures 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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.