Correlation Between Sibanye Gold and AngloGold Ashanti
Can any of the company-specific risk be diversified away by investing in both Sibanye Gold 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 Sibanye Gold and AngloGold Ashanti into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sibanye Gold Ltd and AngloGold Ashanti plc, you can compare the effects of market volatilities on Sibanye Gold 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 Sibanye Gold with a short position of AngloGold Ashanti. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sibanye Gold and AngloGold Ashanti.
Diversification Opportunities for Sibanye Gold and AngloGold Ashanti
0.14 | Correlation Coefficient |
Average diversification
The 3 months correlation between Sibanye and AngloGold is 0.14. Overlapping area represents the amount of risk that can be diversified away by holding Sibanye Gold Ltd and AngloGold Ashanti plc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AngloGold Ashanti plc and Sibanye Gold 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 Sibanye Gold Ltd 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 plc has no effect on the direction of Sibanye Gold i.e., Sibanye Gold and AngloGold Ashanti go up and down completely randomly.
Pair Corralation between Sibanye Gold and AngloGold Ashanti
Given the investment horizon of 90 days Sibanye Gold is expected to generate 3.65 times less return on investment than AngloGold Ashanti. In addition to that, Sibanye Gold is 1.45 times more volatile than AngloGold Ashanti plc. It trades about 0.01 of its total potential returns per unit of risk. AngloGold Ashanti plc is currently generating about 0.06 per unit of volatility. If you would invest 1,922 in AngloGold Ashanti plc on August 24, 2024 and sell it today you would earn a total of 665.00 from holding AngloGold Ashanti plc or generate 34.6% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sibanye Gold Ltd vs. AngloGold Ashanti plc
Performance |
| Timeline |
| Sibanye Gold |
| AngloGold Ashanti plc |
Sibanye Gold and AngloGold Ashanti Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sibanye Gold and AngloGold Ashanti
The main advantage of trading using opposite Sibanye Gold and AngloGold Ashanti positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sibanye Gold 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.| Sibanye Gold vs. AngloGold Ashanti plc | Sibanye Gold vs. Harmony Gold Mining | Sibanye Gold vs. Eldorado Gold Corp | Sibanye Gold vs. Kinross Gold |
| AngloGold Ashanti vs. Gold Fields Ltd | AngloGold Ashanti vs. Barrick Gold Corp | AngloGold Ashanti vs. Pan American Silver | AngloGold Ashanti vs. Franco Nevada |
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 Portfolio Dashboard module to portfolio dashboard that provides centralized access to all your investments.
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