Correlations
A key element of many contemporary investment theories involves diversification. Specifically, these theories are based on the idea that the risk of any investment can be reduced and/or performance increased by forming a portfolio of non-correlated assets—assets that have a low or near-zero correlation to one another.
The following charts allow for the comparison of correlations between the Altegris 40™ Index (representative of CTA performance) and well known stock and bond indices.
Correlations will change over time. Not all CTA programs provide low correlation to traditional markets or to each other. There is no guarantee that the addition of CTAs to a portfolio will increase returns or avoid losses.
| US Stocks | MFs | US Bonds | |
|---|---|---|---|
| US Stocks | 1.00 | -0.12 | 0.12 |
| MFs | 1.00 | 0.23 | |
| US Bonds | 1.00 |
PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
The correlations shown in the cells of the matrix above are calculated based on the common date range of each pair of indices being compared.
*US Stocks are represented by the S&P Total Return Index
MFs are represented by the Altegris 40 Index®
US Bonds are represented by the US Aggregate Bond Index
Date Ranges of Indices used in this Correlation Matrix:
US Stocks
:
12/1989
to
04/2013
,
MFs
:
12/1989
to
04/2013
,
US Bonds
:
12/1989
to
04/2013
