Altegris Futures Evolution Fund Market Value
| EVOAX Fund | USD 7.79 0.01 0.13% |
| Symbol | Altegris |
Altegris Futures 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Altegris Futures' mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Altegris Futures.
| 02/18/2024 |
| 05/18/2024 |
If you would invest 0.00 in Altegris Futures on February 18, 2024 and sell it all today you would earn a total of 0.00 from holding Altegris Futures Evolution or generate 0.0% return on investment in Altegris Futures over 90 days. Altegris Futures is related to or competes with Altegrisaaca Opportunistic, Mfs Lifetime, Kinetics Market, New World, Pace Smallmedium, and Sierra Tactical. The fund seeks to achieve its investment objective by allocating its assets between a Managed Futures strategy and a Fix... More
Altegris Futures Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Altegris Futures' mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Altegris Futures Evolution upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6564 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 3.04 | |||
| Value At Risk | (0.79) | |||
| Potential Upside | 0.7958 |
Altegris Futures Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Altegris Futures' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Altegris Futures' standard deviation. In reality, there are many statistical measures that can use Altegris Futures historical prices to predict the future Altegris Futures' volatility.| Risk Adjusted Performance | 0.0718 | |||
| Jensen Alpha | 0.0482 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.5769 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Altegris Futures' price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Altegris Futures Evo Backtested Returns
We consider Altegris Futures very steady. Altegris Futures Evo secures Sharpe Ratio (or Efficiency) of 0.13, which signifies that the fund had a 0.13% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Altegris Futures Evolution, which you can use to evaluate the volatility of the entity. Please confirm Altegris Futures' Risk Adjusted Performance of 0.0718, downside deviation of 0.6564, and Mean Deviation of 0.4226 to double-check if the risk estimate we provide is consistent with the expected return of 0.0691%. The fund shows a Beta (market volatility) of 0.0989, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Altegris Futures' returns are expected to increase less than the market. However, during the bear market, the loss of holding Altegris Futures is expected to be smaller as well.
Auto-correlation | -0.76 |
Almost perfect reverse predictability
Altegris Futures Evolution has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Altegris Futures time series from 18th of February 2024 to 3rd of April 2024 and 3rd of April 2024 to 18th of May 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Altegris Futures Evo price movement. The serial correlation of -0.76 indicates that around 76.0% of current Altegris Futures price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.76 | |
| Spearman Rank Test | -0.38 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Altegris Futures Evo lagged returns against current returns
Autocorrelation, which is Altegris Futures mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Altegris Futures' mutual fund expected returns. We can calculate the autocorrelation of Altegris Futures returns to help us make a trade decision. For example, suppose you find that Altegris Futures has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Altegris Futures regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Altegris Futures mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Altegris Futures mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Altegris Futures mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Altegris Futures Lagged Returns
When evaluating Altegris Futures' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Altegris Futures mutual fund have on its future price. Altegris Futures autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Altegris Futures autocorrelation shows the relationship between Altegris Futures mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Altegris Futures Evolution.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.| C | Citigroup | |
| CRM | Salesforce | |
| MSFT | Microsoft |
Check out Altegris Futures Correlation, Altegris Futures Volatility and Altegris Futures Alpha and Beta module to complement your research on Altegris Futures. Note that the Altegris Futures Evo information on this page should be used as a complementary analysis to other Altegris Futures' statistical models used 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 Content Syndication module to quickly integrate customizable finance content to your own investment portal.
Altegris Futures technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.