Correlation Between Altegris Futures and Pimco Trends

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

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

Diversification Opportunities for Altegris Futures and Pimco Trends

0.95

Correlation Coefficient

Altegris Futures  Pimco Trends

Almost no diversification

The 3 months correlation between Altegris and Pimco is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Pimco Trends Managed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pimco Trends Managed and Altegris Futures 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 Altegris Futures Evolution are associated (or correlated) with Pimco Trends. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pimco Trends Managed has no effect on the direction of Altegris Futures i.e., Altegris Futures and Pimco Trends go up and down completely randomly.

Pair Corralation between Altegris Futures and Pimco Trends

Assuming the 90 days horizon Altegris Futures Evolution is expected to generate 1.04 times more return on investment than Pimco Trends. However, Altegris Futures is 1.04 times more volatile than Pimco Trends Managed. It trades about 0.25 of its potential returns per unit of risk. Pimco Trends Managed is currently generating about 0.16 per unit of risk. If you would invest  761.00  in Altegris Futures Evolution on January 28, 2024 and sell it today you would earn a total of  38.00  from holding Altegris Futures Evolution or generate 4.99% return on investment over 90 days.

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

Altegris Futures Evolution  vs.  Pimco Trends Managed

Altegris Futures Evo

Risk-Adjusted Performance

27 of 100

Strong

Compared to the overall equity markets, risk-adjusted returns on investments in Altegris Futures Evolution are ranked lower than 27 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak fundamental indicators, Altegris Futures may actually be approaching a critical reversion point that can send shares even higher in May 2024.

Pimco Trends Managed

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Pimco Trends Managed are ranked lower than 16 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Pimco Trends is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Altegris Futures and Pimco Trends

The main advantage of trading using opposite Altegris Futures and Pimco Trends positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altegris Futures position performs unexpectedly, Pimco Trends 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 Pimco Trends will offset losses from the drop in Pimco Trends' long position.

The idea behind Altegris Futures Evolution and Pimco Trends Managed 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.

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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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.