Correlation Between Altegris Futures and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both Altegris Futures and Loomis Sayles 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 Loomis Sayles 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 Loomis Sayles Inflation, you can compare the effects of market volatilities on Altegris Futures and Loomis Sayles 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 Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altegris Futures and Loomis Sayles.
Diversification Opportunities for Altegris Futures and Loomis Sayles
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Altegris and Loomis is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Altegris Futures Evolution and Loomis Sayles Inflation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Inflation 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 Loomis Sayles. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Loomis Sayles Inflation has no effect on the direction of Altegris Futures i.e., Altegris Futures and Loomis Sayles go up and down completely randomly.
Pair Corralation between Altegris Futures and Loomis Sayles
Assuming the 90 days horizon Altegris Futures Evolution is expected to generate 2.95 times more return on investment than Loomis Sayles. However, Altegris Futures is 2.95 times more volatile than Loomis Sayles Inflation. It trades about 0.22 of its potential returns per unit of risk. Loomis Sayles Inflation is currently generating about 0.19 per unit of risk. If you would invest 609.00 in Altegris Futures Evolution on July 21, 2025 and sell it today you would earn a total of 55.00 from holding Altegris Futures Evolution or generate 9.03% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Altegris Futures Evolution vs. Loomis Sayles Inflation
Performance |
| Timeline |
| Altegris Futures Evo |
| Loomis Sayles Inflation |
Altegris Futures and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Altegris Futures and Loomis Sayles
The main advantage of trading using opposite Altegris Futures and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altegris Futures position performs unexpectedly, Loomis Sayles 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 Loomis Sayles will offset losses from the drop in Loomis Sayles' long position.| Altegris Futures vs. Global Resources Fund | Altegris Futures vs. Tortoise Energy Infrastructure | Altegris Futures vs. Thrivent Natural Resources | Altegris Futures vs. Franklin Natural Resources |
| Loomis Sayles vs. Msift High Yield | Loomis Sayles vs. Nuveen High Yield | Loomis Sayles vs. Strategic Advisers Income | Loomis Sayles vs. Tax Exempt High Yield |
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 Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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