Correlation Between Sasol and Absa
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By analyzing existing cross correlation between Sasol Ltd Bee and Absa Group, you can compare the effects of market volatilities on Sasol and Absa 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. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sasol and Absa.
Diversification Opportunities for Sasol and Absa
Good diversification
The 3 months correlation between Sasol and Absa is -0.18. Overlapping area represents the amount of risk that can be diversified away by holding Sasol Ltd Bee and Absa Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Absa Group 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. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Absa Group has no effect on the direction of Sasol i.e., Sasol and Absa go up and down completely randomly.
Pair Corralation between Sasol and Absa
Assuming the 90 days trading horizon Sasol Ltd Bee is expected to under-perform the Absa. In addition to that, Sasol is 2.42 times more volatile than Absa Group. It trades about -0.02 of its total potential returns per unit of risk. Absa Group is currently generating about 0.04 per unit of volatility. If you would invest 1,409,829 in Absa Group on September 4, 2024 and sell it today you would earn a total of 327,271 from holding Absa Group or generate 23.21% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 99.73% |
| Values | Daily Returns |
Sasol Ltd Bee vs. Absa Group
Performance |
| Timeline |
| Sasol Ltd Bee |
| Absa Group |
Sasol and Absa Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sasol and Absa
The main advantage of trading using opposite Sasol and Absa positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sasol position performs unexpectedly, Absa 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 will offset losses from the drop in Absa's long position.| Sasol vs. Libstar Holdings | Sasol vs. City Lodge Hotels | Sasol vs. African Media Entertainment | Sasol vs. Europa Metals |
| Absa vs. Blue Label Telecoms | Absa vs. Kumba Iron Ore | Absa vs. Standard Bank Group | Absa vs. Frontier Transport Holdings |
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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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