Correlation Between SANLAM and OLD MUTUAL
Can any of the company-specific risk be diversified away by investing in both SANLAM and OLD MUTUAL 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 SANLAM and OLD MUTUAL into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SANLAM LTD RC 01 and OLD MUTUAL LTD, you can compare the effects of market volatilities on SANLAM and OLD MUTUAL 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 SANLAM with a short position of OLD MUTUAL. Check out your portfolio center. Please also check ongoing floating volatility patterns of SANLAM and OLD MUTUAL.
Diversification Opportunities for SANLAM and OLD MUTUAL
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between SANLAM and OLD is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding SANLAM LTD RC 01 and OLD MUTUAL LTD in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on OLD MUTUAL LTD and SANLAM 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 SANLAM LTD RC 01 are associated (or correlated) with OLD MUTUAL. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of OLD MUTUAL LTD has no effect on the direction of SANLAM i.e., SANLAM and OLD MUTUAL go up and down completely randomly.
Pair Corralation between SANLAM and OLD MUTUAL
Assuming the 90 days trading horizon SANLAM LTD RC 01 is expected to generate 1.06 times more return on investment than OLD MUTUAL. However, SANLAM is 1.06 times more volatile than OLD MUTUAL LTD. It trades about -0.08 of its potential returns per unit of risk. OLD MUTUAL LTD is currently generating about -0.17 per unit of risk. 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 |
SANLAM LTD RC 01 vs. OLD MUTUAL LTD
Performance |
| Timeline |
| SANLAM LTD RC |
| OLD MUTUAL LTD |
SANLAM and OLD MUTUAL Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SANLAM and OLD MUTUAL
The main advantage of trading using opposite SANLAM and OLD MUTUAL positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SANLAM position performs unexpectedly, OLD MUTUAL 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 OLD MUTUAL will offset losses from the drop in OLD MUTUAL's long position.| SANLAM vs. REINET INVESTMENTS SCA | SANLAM vs. MidCap Financial Investment | SANLAM vs. Maple Leaf Foods | SANLAM vs. PennantPark Investment |
| OLD MUTUAL vs. Thai Beverage Public | OLD MUTUAL vs. TreeHouse Foods | OLD MUTUAL vs. PULSION Medical Systems | OLD MUTUAL vs. Medical Properties Trust |
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 Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.
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