Correlation Between Altegris Futures and Pimco Inflation

Can any of the company-specific risk be diversified away by investing in both Altegris Futures and Pimco Inflation 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 Inflation 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 Inflation Response, you can compare the effects of market volatilities on Altegris Futures and Pimco Inflation 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 Inflation. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and Pimco Inflation.

Diversification Opportunities for Altegris Futures and Pimco Inflation

0.06

Correlation Coefficient

Altegris Futures  Pimco Inflation

Significant diversification

The 3 months correlation between Altegris and Pimco is 0.06. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Pimco Inflation Response in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pimco Inflation Response 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 Inflation. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pimco Inflation Response has no effect on the direction of Altegris Futures i.e., Altegris Futures and Pimco Inflation go up and down completely randomly.

Pair Corralation between Altegris Futures and Pimco Inflation

Assuming the 90 days horizon Altegris Futures is expected to generate 140.14 times less return on investment than Pimco Inflation. In addition to that, Altegris Futures is 1.66 times more volatile than Pimco Inflation Response. It trades about 0.0 of its total potential returns per unit of risk. Pimco Inflation Response is currently generating about 0.44 per unit of volatility. If you would invest  853.00  in Pimco Inflation Response on March 25, 2025 and sell it today you would earn a total of  16.00  from holding Pimco Inflation Response or generate 1.88% return on investment over 90 days.

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

Altegris Futures Evolution  vs.  Pimco Inflation Response

Altegris Futures Evo

Risk-Adjusted Performance

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 latest weak performance, the Fund's forward indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pimco Inflation Response

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Pimco Inflation Response are ranked lower than 6 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong primary indicators, Pimco Inflation 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 Inflation

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

The idea behind Altegris Futures Evolution and Pimco Inflation Response 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 Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.