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.

Correlation Matrix*
US StocksMFsUS Bonds
US Stocks1.00-0.110.10
MFs1.000.27
US Bonds1.00


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