Correlation Between OLD MUTUAL and SANLAM
Can any of the company-specific risk be diversified away by investing in both OLD MUTUAL and SANLAM 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 OLD MUTUAL and SANLAM into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between OLD MUTUAL LTD and SANLAM LTD RC 01, you can compare the effects of market volatilities on OLD MUTUAL and SANLAM 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 OLD MUTUAL with a short position of SANLAM. Check out your portfolio center. Please also check ongoing floating volatility patterns of OLD MUTUAL and SANLAM.
Diversification Opportunities for OLD MUTUAL and SANLAM
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between OLD and SANLAM is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding OLD MUTUAL LTD and SANLAM LTD RC 01 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SANLAM LTD RC and OLD MUTUAL 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 OLD MUTUAL LTD are associated (or correlated) with SANLAM. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SANLAM LTD RC has no effect on the direction of OLD MUTUAL i.e., OLD MUTUAL and SANLAM go up and down completely randomly.
Pair Corralation between OLD MUTUAL and SANLAM
Assuming the 90 days horizon OLD MUTUAL LTD is expected to under-perform the SANLAM. But the stock apears to be less risky and, when comparing its historical volatility, OLD MUTUAL LTD is 1.06 times less risky than SANLAM. The stock trades about -0.17 of its potential returns per unit of risk. The SANLAM LTD RC 01 is currently generating about -0.08 of returns per unit of risk over similar time horizon. If you would invest 875.00 in SANLAM LTD RC 01 on October 25, 2024 and sell it today you would lose (30.00) from holding SANLAM LTD RC 01 or give up 3.43% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
OLD MUTUAL LTD vs. SANLAM LTD RC 01
Performance |
| Timeline |
| OLD MUTUAL LTD |
| SANLAM LTD RC |
OLD MUTUAL and SANLAM Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with OLD MUTUAL and SANLAM
The main advantage of trading using opposite OLD MUTUAL and SANLAM positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if OLD MUTUAL position performs unexpectedly, SANLAM 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 SANLAM will offset losses from the drop in SANLAM's long position.| OLD MUTUAL vs. Thai Beverage Public | OLD MUTUAL vs. TreeHouse Foods | OLD MUTUAL vs. PULSION Medical Systems | OLD MUTUAL vs. Medical Properties Trust |
| SANLAM vs. REINET INVESTMENTS SCA | SANLAM vs. MidCap Financial Investment | SANLAM vs. Maple Leaf Foods | SANLAM vs. PennantPark Investment |
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 Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..
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