Correlation Between ABSA Bank and AngloGold Ashanti
Can any of the company-specific risk be diversified away by investing in both ABSA Bank and AngloGold Ashanti 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 ABSA Bank and AngloGold Ashanti into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ABSA Bank Limited and AngloGold Ashanti, you can compare the effects of market volatilities on ABSA Bank and AngloGold Ashanti 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 ABSA Bank with a short position of AngloGold Ashanti. Check out your portfolio center. Please also check ongoing floating volatility patterns of ABSA Bank and AngloGold Ashanti.
Diversification Opportunities for ABSA Bank and AngloGold Ashanti
-0.36 | Correlation Coefficient |
Very good diversification
The 3 months correlation between ABSA and AngloGold is -0.36. Overlapping area represents the amount of risk that can be diversified away by holding ABSA Bank Limited and AngloGold Ashanti in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AngloGold Ashanti and ABSA Bank 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 ABSA Bank Limited are associated (or correlated) with AngloGold Ashanti. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AngloGold Ashanti has no effect on the direction of ABSA Bank i.e., ABSA Bank and AngloGold Ashanti go up and down completely randomly.
Pair Corralation between ABSA Bank and AngloGold Ashanti
Assuming the 90 days trading horizon ABSA Bank is expected to generate 2.13 times less return on investment than AngloGold Ashanti. But when comparing it to its historical volatility, ABSA Bank Limited is 2.37 times less risky than AngloGold Ashanti. It trades about 0.07 of its potential returns per unit of risk. AngloGold Ashanti is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 3,325,546 in AngloGold Ashanti on September 2, 2024 and sell it today you would earn a total of 1,196,454 from holding AngloGold Ashanti or generate 35.98% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
ABSA Bank Limited vs. AngloGold Ashanti
Performance |
| Timeline |
| ABSA Bank Limited |
| AngloGold Ashanti |
ABSA Bank and AngloGold Ashanti Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ABSA Bank and AngloGold Ashanti
The main advantage of trading using opposite ABSA Bank and AngloGold Ashanti positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ABSA Bank position performs unexpectedly, AngloGold Ashanti 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 AngloGold Ashanti will offset losses from the drop in AngloGold Ashanti's long position.| ABSA Bank vs. Reinet Investments SCA | ABSA Bank vs. Safari Investments RSA | ABSA Bank vs. Harmony Gold Mining | ABSA Bank vs. Blue Label Telecoms |
| AngloGold Ashanti vs. ABSA Bank Limited | AngloGold Ashanti vs. Safari Investments RSA | AngloGold Ashanti vs. Zeder Investments | AngloGold Ashanti vs. eMedia Holdings Limited |
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 CEOs Directory module to screen CEOs from public companies around the world.
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