Correlation Between Sasol and Absa Multi

Can any of the company-specific risk be diversified away by investing in both Sasol and Absa Multi 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 Sasol and Absa Multi into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Sasol Ltd Bee and Absa Multi Managed, you can compare the effects of market volatilities on Sasol and Absa Multi 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 Sasol with a short position of Absa Multi. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sasol and Absa Multi.

Diversification Opportunities for Sasol and Absa Multi

-0.82

Correlation Coefficient

Sasol  Absa Multi

Pay attention - limited upside

The 3 months correlation between Sasol and Absa is -0.82. Overlapping area represents the amount of risk that can be diversified away by holding Sasol Ltd Bee and Absa Multi Managed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Absa Multi Managed and Sasol 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 Sasol Ltd Bee are associated (or correlated) with Absa Multi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Absa Multi Managed has no effect on the direction of Sasol i.e., Sasol and Absa Multi go up and down completely randomly.

Pair Corralation between Sasol and Absa Multi

Assuming the 90 days trading horizon Sasol Ltd Bee is expected to under-perform the Absa Multi. In addition to that, Sasol is 5.5 times more volatile than Absa Multi Managed. It trades about -0.18 of its total potential returns per unit of risk. Absa Multi Managed is currently generating about 0.2 per unit of volatility. If you would invest  250.00  in Absa Multi Managed on September 15, 2024 and sell it today you would earn a total of  11.00  from holding Absa Multi Managed or generate 4.4% return on investment over 90 days.

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

Sasol Ltd Bee  vs.  Absa Multi Managed

Sasol Ltd Bee

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Sasol Ltd Bee has generated negative risk-adjusted returns adding no value to investors with long positions. Despite weak performance in the last few months, the Etf's fundamental drivers remain somewhat strong which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long term up-swing for the ETF investors.

Absa Multi Managed

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Absa Multi Managed are ranked lower than 16 (%) of all funds and portfolios of funds over the last 90 days. In spite of comparatively stable basic indicators, Absa Multi is not utilizing all of its potentials. The current stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with Sasol and Absa Multi

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

The idea behind Sasol Ltd Bee and Absa Multi Managed 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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.