Altegris Futures Correlations

EVOIX Fund

USD 6.16 0.03 0.49%

The current 90-days correlation between Altegris Futures Evo and Asg Managed Futures is 0.74 (i.e., Poor 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

Average diversification

The correlation between Altegris Futures Evolution and DJI is 0.13 (i.e., Average 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 gross domestic product.

Moving together with Altegris Mutual Fund

0.99	EVOCX	Altegris Futures Evo	Pair Corr
0.89	EVOAX	Altegris Futures Evo	Pair Corr
0.9	PQTAX	Pimco Trends Managed	Pair Corr
0.87	PQTNX	Pimco Trends Managed	Pair Corr
0.83	AHLPX	American Beacon Ahl	Pair Corr
0.74	AMFNX	Asg Managed Futures	Pair Corr
0.72	AMFAX	Asg Managed Futures	Pair Corr
0.63	ASFCX	Asg Managed Futures	Pair Corr

Related Correlations Analysis

	AMFAX	LFTAX	NWXNX	PFRMX	WAFAX	EVOIX	DIPSX	FIFGX	FIPRX
AMFAX		0.12	0.32	0.01	0.18	0.72	0.26	-0.17	0.37	AMFAX
LFTAX	0.12		0.73	0.93	0.81	0.63	0.75	0.82	0.71	LFTAX
NWXNX	0.32	0.73		0.73	0.98	0.77	0.99	0.42	0.99	NWXNX
PFRMX	0.01	0.93	0.73		0.82	0.6	0.77	0.8	0.69	PFRMX
WAFAX	0.18	0.81	0.98	0.82		0.7	0.99	0.52	0.95	WAFAX
EVOIX	0.72	0.63	0.77	0.6	0.7		0.74	0.34	0.79	EVOIX
DIPSX	0.26	0.75	0.99	0.77	0.99	0.74		0.45	0.98	DIPSX
FIFGX	-0.17	0.82	0.42	0.8	0.52	0.34	0.45		0.38	FIFGX
FIPRX	0.37	0.71	0.99	0.69	0.95	0.79	0.98	0.38		FIPRX
	AMFAX	LFTAX	NWXNX	PFRMX	WAFAX	EVOIX	DIPSX	FIFGX	FIPRX

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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

DIPSX	+ 0.99	NWXNX
FIPRX	+ 0.99	NWXNX
DIPSX	+ 0.99	WAFAX
WAFAX	+ 0.98	NWXNX
FIPRX	+ 0.98	DIPSX
FIPRX	+ 0.95	WAFAX

High negative correlations

FIFGX

- 0.17

AMFAX

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
AMFAX	0.33	(0.01)	(0.34)	(0.06)	0.52	(0.35)	0.57	(0.97)	2.66
LFTAX	0.32	0.00	(0.36)	0.25	0.44	(0.35)	0.70	(0.58)	2.00
NWXNX	0.21	0.00	(0.65)	0.31	0.25	(0.22)	0.34	(0.45)	1.23
PFRMX	0.25	0.07	(0.44)	(1.44)	0.10	(0.32)	0.59	(0.47)	1.65
WAFAX	0.22	0.01	(0.62)	0.64	0.25	(0.23)	0.43	(0.54)	1.30
EVOIX	0.37	0.02	(0.32)	0.53	0.42	(0.40)	0.67	(0.83)	1.84
DIPSX	0.22	0.01	(0.64)	1.16	0.26	(0.22)	0.37	(0.54)	1.28
FIFGX	0.78	0.06	(0.15)	1.16	1.03	(0.88)	1.89	(1.45)	7.43
FIPRX	0.23	0.01	(0.60)	0.46	0.27	(0.25)	0.41	(0.51)	1.43

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