Correlation Between Tiaa-cref Inflation-linked and Altegris Futures

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

By analyzing existing cross correlation between Tiaa Cref Inflation Linked Bond and Altegris Futures Evolution, you can compare the effects of market volatilities on Tiaa-cref Inflation-linked 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 Tiaa-cref Inflation-linked with a short position of Altegris Futures. Check out your portfolio center. Please also check ongoing floating volatility patterns of Tiaa-cref Inflation-linked and Altegris Futures.

Diversification Opportunities for Tiaa-cref Inflation-linked and Altegris Futures

-0.13

Correlation Coefficient

Tiaa-cref Inflation-linked  Altegris Futures

Good diversification

The 3 months correlation between Tiaa-cref and Altegris is -0.13. Overlapping area represents the amount of risk that can be diversified away by holding Tiaa Cref Inflation Linked Bon 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 Tiaa-cref Inflation-linked 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 Tiaa Cref Inflation Linked Bond 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 Tiaa-cref Inflation-linked i.e., Tiaa-cref Inflation-linked and Altegris Futures go up and down completely randomly.

Pair Corralation between Tiaa-cref Inflation-linked and Altegris Futures

Assuming the 90 days horizon Tiaa Cref Inflation Linked Bond is expected to generate 0.34 times more return on investment than Altegris Futures. However, Tiaa Cref Inflation Linked Bond is 2.91 times less risky than Altegris Futures. It trades about -0.03 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  1,016  in Tiaa Cref Inflation Linked Bond on February 4, 2024 and sell it today you would lose (2.00) from holding Tiaa Cref Inflation Linked Bond or give up 0.2% of portfolio value over 90 days.

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

Tiaa Cref Inflation Linked Bon  vs.  Altegris Futures Evolution

Tiaa-cref Inflation-linked

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Tiaa Cref Inflation Linked Bond are ranked lower than 3 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong essential indicators, Tiaa-cref Inflation-linked is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Altegris Futures Evo

Risk-Adjusted Performance

17 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Altegris Futures Evolution are ranked lower than 17 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward indicators, Altegris Futures may actually be approaching a critical reversion point that can send shares even higher in June 2024.

Pair Trading with Tiaa-cref Inflation-linked and Altegris Futures

The main advantage of trading using opposite Tiaa-cref Inflation-linked and Altegris Futures positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Tiaa-cref Inflation-linked 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 Tiaa Cref Inflation Linked Bond 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.

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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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.